Download:
pdf |
pdfBoard of Governors of the Federal Reserve System
Instructions for the Preparation of
Single-Counterparty Credit Limits Reporting Form
Reporting Form FR 2590
Effective March 2020
Page 1 of 38
Page 2 of 38
Contents
Instructions for the Preparation of Single-Counterparty Credit Limits Reporting Form
.............................................................................................................................. GEN-1
Where to Submit the Report ............................................................................................................... GEN-2
When to Submit the Report ................................................................................................................ GEN-2
How to Prepare the Report ................................................................................................................. GEN-2
Who Must Report
CONTENTS-1
FR 2590
March 2020
Page 3 of 38
Contents
Instructions for Preparation of Single-Counterparty Credit Limits Reporting Form
................................................................................ RES-1
General Information on Counterparties .................................................................................................. CP-1
Schedule G-1—General Exposures ........................................................................................................ G-1-1
Schedule G-2—Repurchase Agreement Exposures ................................................................................. G-2-1
Schedule G-3—Securities Lending Exposures ........................................................................................ G-3-1
Schedule G-4—Derivatives Exposures ................................................................................................... G-4-1
Schedule G-5—Risk Shifting Exposures ................................................................................................ G-5-1
Schedule M-1—Eligible Collateral ........................................................................................................ M-1-1
Schedule M-2—General Risk Mitigants ................................................................................................ M-2-1
Summary of Net Credit Exposures ..................................................................................................... SUM-1
Schedule A-1—Economic Interdependence ............................................................................................ A-1-1
Schedule A-2—Control Relationships .................................................................................................... A-2-1
General Information on Respondent Organization
CONTENTS-2
March 2020
FR 2590
Page 4 of 38
INSTRUCTIONS FOR THE PREPARATION OF
Single-Counterparty Credit Limits
Reporting Form
FR 2590
General Instructions
The Single-Counterparty Credit Limits Reporting
Form (“FR 2590”) provides the Federal Reserve with
information to monitor a covered company’s or a covered foreign entity’s compliance with the singlecounterparty credit limits (“SCCL”) rule. A covered
company is any U.S. bank holding company or savings
and loan holding company that is subject to Category
I, II, or III standards. A covered foreign entity is any
foreign banking organization (“FBO”) that is subject
to Category II or III standards or that has total global
consolidated assets that equal or exceed $250 billion
and any U.S. intermediate holding company (“IHC”)
that is subject to Category II or III standards. Categories I, II, and III standards are defined pursuant to
12 CFR 252.5 or 238.10 as applicable.
The SCCL rule prohibits any covered company that is
not a G-SIB from having an aggregate net credit exposure to an unaffiliated counterparty in excess of 25 percent of the covered company’s tier 1 capital. A major
covered company—that is, a G-SIB—is prohibited
from having aggregate net credit exposure to any systemically important financial institution (“SIFI”) in
excess of 15 percent of its tier 1 capital and faces a
25 percent of tier 1 capital limit for other counterparties. The SCCL rule applies similar credit limits to
FBOs with respect to their combined U.S. operations.
However, an FBO that is subject to a comparable home
country SCCL regime consistent with the large exposures framework published by the Basel Committee in
2014, can comply with these limits by certifying to the
Board that it complies with that similar regime.
The SCCL rule also applies credit limits to any U.S.
IHC that is subject to Category II or III standards.
Such a U.S. IHC generally is prohibited from having
aggregate net credit exposure to a single counterparty
in excess of 25 percent of the U.S. IHC’s tier 1 capital.
However, until January 1, 2021, a U.S. IHC that is subject to Category II or III standards and has less than
$250 billion in total consolidated assets is prohibited
from having an aggregate net credit exposure that
exceeds 25 percent of the consolidated capital stock
and surplus of the U.S. IHC, rather than 25 percent of
the U.S. IHC’s tier 1 capital.
The FR 2590 requests data required to calculate the
respondent organization’s credit exposures, which are
reported on nine schedules. Five of these schedules
(Schedules G-1 through G-5) collect information
related to the gross exposures of the respondent organization to various counterparties. The form requires
identification of counterparties by name and by entity
type. A respondent organization must add the exposure amounts in the five G schedules to calculate its
aggregate gross credit exposure. A respondent organization would then calculate its net credit exposure by
adjusting its gross credit exposures using Schedules
M-1 and M-2, which collect information related to
eligible collateral and other eligible risk mitigants,
respectively. The respondent organization must take
into account special provisions in the SCCL rule that
require aggregation of certain counterparties due to
economic interdependence—meaning the underlying
risk of one counterparty’s financial distress or failure
would cause the financial distress or failure of another
counterparty, as indicated by the presence of certain
enumerated factors in the SCCL rule—or due to the
presence of certain control relationships described in
the rule. Data relevant to understanding the presence
of any relationships that require such aggregation are
reported in Schedules A-1 and A-2.
Who Must Report
All covered companies and covered foreign entities as
defined in the SCCL rule are required to comply with
GEN-1
FR 2590
March 2020
Page 5 of 38
General Instructions
the Board’s SCCL rule and are required to submit the
FR 2590.
Where to Submit the Report
All covered companies and covered foreign entities
must submit their completed reports electronically.
Covered companies and covered foreign entities should
contact their district Reserve Bank or go to https://
www.frbservices.org/central-bank/reporting-central/
index.html for procedures on electronic submission.
When to Submit the Report
The FR 2590 is required to be submitted as of
March 31, June 30, September 30, and December 31.
The submission date for covered companies and covered foreign entities is 40 calendar days after the
March 31, June 30, and September 30 as of dates
unless that day falls on a weekend or holiday (subject
to timely filing provisions). The submission date for
covered companies and covered foreign entities is
45 calendar days after the December 31 as of date. For
example, the June 30 report must be received by
August 9, and the December 31 report by February 14.
The term “submission date” is defined as the date by
which the Federal Reserve must receive the covered
company’s or covered foreign entity’s FR 2590.
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 Reserve
Bank).
How to Prepare the Report
Consolidation
The data reported in FR 2590 should be reported at the
level of the covered company or the covered foreign
entity. The credit limits of the SCCL rule applies to
aggregate net credit exposure, which means the sum of
all net credit exposures of a covered company and all of
its subsidiaries to a single counterparty, including all of
its affiliates. The SCCL rule employs a financial consolidation standard to define “affiliates” and “subsidiaries.” In particular, a “subsidiary” includes a company that is consolidated with the covered company on
financial statements prepared in accordance with U.S.
Generally Accepted Accounting Principles, the International Financial Reporting Standards, or other similar standards. A subsidiary also includes a company
that is not subject to such principles or standards, if
consolidation would have occurred if such principles
or standards had applied. An “affiliate” is defined with
respect to a company as any subsidiary of the company
and any other company that is consolidated with the
company under applicable accounting standards; or, if
the company is not subject to such principles or standards, any subsidiary of the company and any other
company that would be consolidated with the company if such principles or standards had applied.
Adjusted Market Value
Report the adjusted market value of assets, in thousands of United States dollars. Adjusted market value
means:
(1) With respect to the value of cash, securities, or
other eligible collateral transferred by the covered
company to a counterparty, the sum of: (i) The
market value of the cash, securities, or other eligible collateral; and (ii) The product of the market value of the securities or other eligible collateral multiplied by the applicable collateral haircut
in Table 1 to § 217.132 of the Board’s Regulation Q (12 CFR 217.132); and
(2) With respect to cash, securities, or other eligible
collateral received by the covered company from a
counterparty: (i) The market value of the cash,
securities, or other eligible collateral; minus
(ii) The market value of the securities or other eligible collateral multiplied by the applicable collateral haircut in Table 1 to § 217.132 of the Board’s
Regulation Q (12 CFR 217.132).
Rounding
All dollar amounts must be reported in thousands,
with the figures rounded to the nearest thousand.
Items less than $500 will be reported as zero.
GEN-2
March 2020
FR 2590
Page 6 of 38
General Instructions
Report each ratio as a percentage, rounded to four
decimal places. For example, if the resulting net credit
exposure ratio is .1234558, then record it as a percentage “12.3456” in the appropriate cell.
Confidentiality
The Board generally considers the information
obtained through this report as confidential on the
basis that disclosure of specific commercial or financial
information relating to investments held for extended
periods of time could result in substantial harm to the
competitive position of the covered company or covered foreign entity. If, for any reason, the Board
believes that particular information cannot be withheld
from disclosure, the Board will inform the reporter of
its views and give the reporter an opportunity to
object, as required under section 261.15 of the Board’s
Rules Regarding Availability of Information, 12 CFR
261.15.
Verification and Signatures
Verification. All arithmetic should be double-checked
before reports are submitted. Totals and subtotals in
supporting materials should be cross-checked to corresponding items elsewhere in the reports. Before a
report is submitted, all amounts should be compared
with the corresponding amounts in the previous
report, if possible.
Signatures. The submitted FR 2590 must be signed by
a senior officer. A senior officer may be the executive
officer responsible for SCCL compliance or the Chief
Financial Officer of the covered company or of the
covered foreign entity (or by the individual performing
this equivalent function). By signing the cover page of
this report, the senior 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.
Amended Reports
When the Federal Reserve’s interpretation of how
these instructions should be applied to a specified
event or transaction (or series of related events or
transactions) differs from the reporting covered company’s or the covered foreign entity’s interpretation,
the Federal Reserve may require the covered company
or covered foreign entity to reflect the event(s) or transaction(s) in its FR 2590 in accordance with the Federal
Reserve’s interpretation and to amend previously submitted reports.
The Federal Reserve may require the filing of amended
FR 2590 if reports as previously submitted contain
significant errors. In addition, a covered company or
covered foreign entity should file an amended report
when internal or external auditors make audit adjustments that result in a restatement of financial statements previously submitted to the Federal Reserve.
GEN-3
FR 2590
March 2020
Page 7 of 38
Page 8 of 38
General Information on Respondent
Organization
The reporting form begins by asking for the respondent organization’s general information. The line items
ask for the respondent organization’s (i) certification,
(ii) tier 1 capital, (iii) capital stock and surplus, (iv) total
consolidated assets, and (v) major status.
Table 1 below provides an illustration. Suppose XYZ
Corporation is a U.S. bank holding company that is a
G-SIB and is submitting the FR 2590 for the first quarter of 2020. Because XYZ Corporation is not a foreign
banking organization, the certification question does
not apply. XYZ Corporation has $70 billion in tier 1
capital and $1 trillion in total consolidated assets. XYZ
Corporation records these figures in thousands of
United States dollars. Finally, XYZ Corporation is a
major covered company because it is a G-SIB.
Table 1. General Information on Respondent
Organization
Respondent Organization Information
Line Item 1: Certification
Line Item 2: Tier 1 Capital
Line Item 3: Capital Stock and Surplus
Line Item 4: Total Consolidated Assets
Line Item 5: Major Status
Responses
Line Item 2 Tier 1 Capital
Report the amount of tier 1 capital, as defined in section 252.71 of the SCCL rule for U.S. bank holding
companies and in section 252.171 of the SCCL rule for
FBOs and U.S. IHCs.
Line Item 3 Capital Stock and Surplus
Report the amount of capital stock and surplus
defined in section 252.171 of the SCCL rule. This
applies only to U.S. IHCs that are subject to Category
II or III standards and have less than $250 billion in
total consolidated assets and only until January 1,
2021. For all covered companies and other covered
foreign entities, the eligible capital base is tier 1 capital;
these covered companies and covered foreign entities
should leave the cell blank. After January 1, 2021, the
eligible capital base for U.S. IHCs that are subject to
Category II or III standards and have less than
$250 billion in total consolidated assets also is tier 1
capital, and they too should leave the cell blank.
70,000,000
1,000,000,000
1
Line Item 1 Certification
If the respondent is a foreign banking organization,
has it certified to the Board that it meets large exposure
standards on a consolidated basis established by its
home-country supervisor that are consistent with the
large exposures framework published by the Basel
Committee on Banking Supervision? The entries
should be yes (enter “1”) or no (enter “0”). If the
respondent enters “1” here, then the respondent does not
need to complete the rest of this reporting form.
Line Item 4 Total Consolidated Assets
Report the amount of total consolidated assets, as
defined in section 252.71 of the SCCL rule for covered
companies and in section 252.171 of the SCCL rule for
FBOs and U.S. IHCs.
Line Item 5 Major Status
Report the major (or non-major) status of the respondent organization, as defined in section 252.70 of the
SCCL rule for covered companies and in section 252.170 for FBOs and U.S. IHCs. The entries
should be major (enter “1”) or non-major (enter “0”).
RES-1
FR 2590
March 2020
Page 9 of 38
Page 10 of 38
General Information on Counterparties
In filling out the five G schedules and the two M schedules, the respondent organization must report exposures by counterparty, with a single counterparty in
each row. The form requires each respondent organization to report its top 50 counterparties. The counterparty rows should be the same across the G and M
schedules. For example, if “ABC Corp.” is the counterparty listed in row 3, then row 3 in every subsequent
schedule (besides Schedules A-1 and A-2) should correspond to exposures from “ABC Corp.”
The first column asks for the name of the counterparty; the second column asks for the type of the counterparty; the third asks for the counterparty’s classification; and the fourth asks for exemption status.
Table 2 below provides an illustration. The first counterparty is XYZ Corp., which is a company and categorized as major counterparty. It is also non-exempt for
the purposes of credit limits. The second counterparty
listed is Mr. Smith, who is a natural person, not a
major counterparty, and non-exempt from the credit
limits. The third counterparty is ABC Corp., which is a
company, not a major counterparty, and non-exempt.
For the five G schedules, the two M schedules, and the
one summary schedule, row 1 will correspond to XYZ
Corp., row 2 will correspond to Mr. Smith, and row 3
will correspond to ABC Corp.
Column A Counterparty Name
Report the full legal name of the counterparty.
Column B Counterparty Type
Report the counterparty’s entity type. A counterparty’s type should be one of the following options:
(i) natural person, consistent with Section 252.71(e)(1)
or 252.171(f)(1); (ii) company; (iii) CCP; (iv) U.S. state
or municipality; (v) U.S. government; (vi) U.S. government agency; (vii) foreign sovereign (non-zero percent
risk weight); (viii) foreign sovereign (zero percent risk
weight); (ix) political subdivision of a foreign sovereign; (x) multi-lateral development bank, as well as an
institution like the International Monetary Fund
(IMF), the European Central Bank (ECB), or the
European Commission; (xi) securitization, subject to
Section 252.75 or 252.175; (xii) unknown single
counterparty.
Column C Counterparty Classification
Report the major (or non-major) status of the counterparty. The classification is binary, as defined in the
SCCL rule. The entries should be major (enter “1”) or
non-major (enter “0”).
Column D Counterparty Exemption Status
Report the exemption status of the counterparty. The
exemption status is binary—the entries should be
exempt (enter “1”) or non-exempt (enter “0”). The
SCCL rule provides exemptions or exclusions for:
(1) credit exposures to the U.S. government (including
U.S. government agencies as well as Fannie Mae and
Freddie Mac, while in conservatorship); (2) credit
Table 2. Counterparty Information on Counterparties
[1]
[2]
[3]
Column A
Column B
Column C
Column D
Counterparty Name
Counterparty Type
Counterparty Classification
Counterparty Exemption Status
XYZ Corp.
Mr. Smith
ABC Corp.
Company
Natural Person
Company
1
0
0
0
0
0
CP-1
FR 2590
March 2020
Page 11 of 38
General Information on Counterparties
exposures to foreign sovereign entities that are assigned
a zero percent risk weight under the Board’s capital
rules; (3) intraday credit exposure to a counterparty;
(4) trade exposures to qualifying central counterparties; (5) any credit transaction with the Bank for Inter-
national Settlements, the IMF, and the World Bank;
(6) any credit transaction with the European Commission and the ECB.
CP-2
March 2020
FR 2590
Page 12 of 38
General Exposures
Schedule G-1
This schedule contains seven general gross credit exposure categories that are described in sections 252.73,
252.75, 252.173, and 252.175 of the SCCL rule:
(i) deposits; (ii) loans and leases; (iii) debt securities or
investments; (iv) equity securities or investments;
(v) committed credit lines; (vi) guarantees and letters of
credit; and (vii) securitization arising from the lookthrough approach. Notably, calculation of gross credit
exposure as a result of item (vii) (securitization arising
from the look-through approach) is described in sections 252.75 and 252.175 of the SCCL rule. Gross
credit exposure to a securitization that does not require
application of the look-through approach would be
reported as either item (iii) (debt securities or investments) or item (iv) (equity securities or investments), as
applicable. These seven gross exposures are summed
together, by counterparty, in the final column of
Schedule G-1.
Table 3 provides an illustration. Row 1 corresponds to
the same counterparty listed in row 1 of Counterparty
Information (namely, XYZ Corp.); row 2 corresponds
to Mr. Smith; row 3 corresponds to ABC Corp. Each
value is recorded in thousands of United States dollars.
The final column sums across the seven rows.
Column A Deposits
Report gross credit exposure arising from deposits.
Column B Loans and Leases
Report gross credit exposure arising from loans and
leases.
Column C Debt Securities or Investments
Report gross credit exposure arising from debt securities or investments.
Column D Equity Securities or Investments
Report gross credit exposure arising from equity securities or investments.
Column E Committed Credit Lines
Report gross credit exposure arising from committed
credit lines.
Column F Guarantees and Letters of Credit
Report gross credit exposure arising from guarantees
and letters of credit.
Table 3. General Exposures
Column A
Column B
Column C
Column D
Column E
Column F
Column G
Column H
Deposits
Loans and
Leases
Debt
Securities or
Investments
Equity
Securities or
Investments
Committed
Credit Lines
Guarantees
and Letters of
Credit
Securitization
Arising from
Look-Through
Total Gross
Exposure:
Schedule
[1]
x1
x2
x3
x4
x5
x6
x7
[2]
y1
y2
y3
y4
y5
y6
y7
[3]
z1
z2
z3
z4
z5
z6
z7
G-1-1
FR 2590
March 2020
Page 13 of 38
Schedule G-1
Column G Securitization Arising from Look-Through
Report the gross credit exposure that arise in the context of investments in securitizations, investment funds,
and other special purpose vehicles (collectively,
“SPVs”). The look-through approach requires a covered company or covered foreign entity to recognize an
exposure to the issuer of the assets held by the SPV
that exceed 0.25 percent of tier 1 capital.
Column H Total Gross Exposures: G-1 Schedule
Report the sum of exposures from columns A
through G.
G-1-2
March 2020
FR 2590
Page 14 of 38
Repurchase Agreement Exposures
Schedule G-2
This schedule collects gross credit exposures arising
from repurchase agreements and reverse repurchase
agreements as provided in sections 252.73 and 252.173
of the SCCL rule. It requires the respondent organization to identify the assets transferred and received in
the transaction. Examples include sovereign debt, nonsovereign debt, main index equities, and cash. Notably,
these values do not necessarily sum to the values in the
penultimate column or the final column, as respondent
organizations are allowed to use internal models or
other risk-sensitive standardized methodology to calculate their exposures to repurchase and reverse repurchase agreements. If the respondent organization has
been approved by the Board to use an internal model,
then it can report its exposures using the “Internal
Model Method” columns. If the respondent organization has not been approved by the Board to use an
internal model, these columns should remain blank.
The penultimate column asks for the total gross credit
exposure under qualified master netting agreements,
which is defined in sections 252.71(cc) and
252.171(ee) of the SCCL rule. The final column tallies
the total gross credit exposure resulting from these
transactions by counterparty.
Column A One Year or Less
Report the amount of such assets with maturities of
one year or less.
When recording data on values of assets transferred
and received in certain categories—sovereign issuers,
non-sovereign issuers, and investment grade
securitization—separate the assets by maturity. There
are three maturity categories: one year or shorter;
between one and five years; more than five years. For
other categories—main index equities, other publicly
traded equities, cash, and other—the assets do not
need to be separated by maturity.
Column E Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Sovereign Issuers (Zero Percent Risk Weight),
Transferred
Report the amount of sovereign issuers’ assets transferred in repurchase agreements or reverse repurchase
agreements.
Sovereign Issuers (20 or 50 Percent Risk Weight),
Transferred
Report the amount of sovereign issuers’ assets transferred in repurchase agreements or reverse repurchase
agreements.
Column B Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column C Over Five Years
Report the amount of such assets with maturities
greater than five years.
Sovereign Issuers (Zero Percent Risk Weight), Received
Report the amount of sovereign issuers’ assets received
in repurchase agreements or reverse repurchase
agreements.
Column D One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column F Over Five Years
Report the amount of such assets with maturities
greater than five years.
G-2-1
FR 2590
March 2020
Page 15 of 38
Schedule G-2
Column G One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column O Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column H Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Sovereign Issuers (100 Percent Risk Weight), Received
Report the amount of sovereign issuers’ assets received
in repurchase agreements or reverse repurchase
agreements.
Column I Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column P One Year or Less
Report the amount of such assets with maturities of
one year or less.
Sovereign Issuers (20 or 50 Percent Risk Weight),
Received
Report the amount of sovereign issuers’ assets received
in repurchase agreements or reverse repurchase
agreements.
Column Q Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column J One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column R Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column K Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Non-sovereign Issuers (20 Percent Risk Weight),
Transferred
Report the amount of non-sovereign issuers’ assets
transferred in repurchase agreements or reverse repurchase agreements.
Column L Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column S One Year or Less
Report the amount of such assets with maturities of
one year or less.
Sovereign Issuers (100 Percent Risk Weight),
Transferred
Report the amount of sovereign issuers’ assets transferred in repurchase agreements or reverse repurchase
agreements.
Column T Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column M One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column N Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column U Over Five Years
Report the amount of such assets with maturities
greater than five years.
Non-sovereign Issuers (20 Percent Risk Weight),
Received
Report the amount of non-sovereign issuers’ assets
received in repurchase agreements or reverse repurchase agreements.
G-2-2
March 2020
FR 2590
Page 16 of 38
Schedule G-2
Column V One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AD Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column W Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Non-sovereign Issuers (100 Percent Risk Weight),
Transferred
Report the amount of non-sovereign issuers’ assets
transferred in repurchase agreements or reverse repurchase agreements.
Column X Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AE One Year or Less
Report the amount of such assets with maturities of
one year or less.
Non-sovereign Issuers (50 Percent Risk Weight),
Transferred
Report the amount of non-sovereign issuers’ assets
transferred in repurchase agreements or reverse repurchase agreements.
Column AF Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column Y One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AG Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column Z Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Non-sovereign Issuers (100 Percent Risk Weight),
Received
Report the amount of non-sovereign issuers’ assets
received in repurchase agreements or reverse repurchase agreements.
Column AA Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AH One Year or Less
Report the amount of such assets with maturities of
one year or less.
Non-sovereign Issuers (50 Percent Risk Weight),
Received
Report the amount of non-sovereign issuers’ assets
received in repurchase agreements or reverse repurchase agreements.
Column AI Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AB One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AJ Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AC Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Investment Grade Securitization Exposure, Transferred
Report the amount of investment grade securitization
assets transferred in repurchase agreements or reverse
repurchase agreements.
G-2-3
FR 2590
March 2020
Page 17 of 38
Schedule G-2
Column AK One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AT Other Publicly Traded Equities, Received
Report the amount of other publicly traded equities
(including convertible bonds) received in repurchase
agreements or reverse repurchase agreements.
Column AL Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AU Cash, Transferred
Report the amount of cash transferred in repurchase
agreements or reverse repurchase agreements.
Column AM Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AV Cash, Received
Report the amount of cash received in repurchase
agreements or reverse repurchase agreements.
Investment Grade Securitization Exposure, Received
Report the amount of investment grade securitization
assets received in repurchase agreements or reverse
repurchase agreements.
Column AN One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AO Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AP Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AQ Main Index Equities, Transferred
Report the amount of main index equities (including
convertible bonds) and gold transferred in repurchase
agreements or reverse repurchase agreements.
Column AW Other, Transferred
Report the amount of other assets transferred in repurchase agreements or reverse repurchase agreements.
Column AX Other, Received
Report the amount of other assets received in repurchase agreements or reverse repurchase agreements.
Internal Model Method, If Approved
If the respondent organization is authorized to use an
internal model method (IMM), then it can report its
IMM exposures in columns AY and AZ. Note that the
respondent organization must still report the appropriate values in columns BA and BB, as described below.
Column AY Total Gross Exposure Under Bilateral
Netting Agreements
Using IMM, report the total gross credit exposure arising from repurchase agreements and reverse repurchase agreements under bilateral netting agreements,
which is defined in sections 252.71(cc) and
252.171(ee) of the SCCL rule.
Column AR Main Index Equities, Received
Report the amount of main index equities (including
convertible bonds) and gold received in repurchase
agreements or reverse repurchase agreements.
Column AZ Total Gross Exposure
Using IMM, report the total gross exposure arising
from repurchase agreements and reverse repurchase
agreements, irrespective of being subject to a bilateral
netting agreement. In some circumstances, Column AY
might equal Column AZ.
Column AS Other Publicly Traded Equities,
Transferred
Report the amount of other publicly traded equities
(including convertible bonds) transferred in repurchase
agreements or reverse repurchase agreements.
Column BA Total Gross Exposure Under Bilateral
Netting Agreements
Report the total gross credit exposure arising from
repurchase agreements and reverse repurchase agreements under bilateral netting agreements, which is
G-2-4
March 2020
FR 2590
Page 18 of 38
Schedule G-2
defined in sections 252.71(cc) and 252.171(ee) of the
SCCL rule.
Column BB Total Gross Exposure: G-2 Schedule
Report the total gross exposure to the counterparty
arising from repurchase agreements and reverse repurchase agreements.
G-2-5
FR 2590
March 2020
Page 19 of 38
Page 20 of 38
Securities Lending Exposures
Schedule G-3
This schedule collects similar information to that collected in Schedule G-2 with respect to securities lending and securities borrowing transactions. If the
respondent organization has been approved by the
Board to use an internal model, then it can report its
exposures using the “Internal Model Method” columns. If the respondent organization has not been
approved by the Board to use an internal model, these
columns should remain blank. Again, the final column
tallies the total gross credit exposure resulting from
these transactions by counterparty. Similarly, these
exposure values do not necessarily sum to the values in
the penultimate column or the final column, as respondent organizations are allowed to use internal models
or other risk-sensitive standardized methodology to
calculate their exposures to repurchase and reverse
repurchase agreements.
Sovereign Issuers (Zero Percent Risk Weight),
Transferred
Report the amount of sovereign issuers’ assets transferred in securities lending or securities borrowing
transactions.
Column A One Year or Less
Report the amount of such assets with maturities of
one year or less.
Sovereign Issuers (Zero Percent Risk Weight), Received
Report the amount of sovereign issuers’ assets received
in securities lending or securities borrowing
transactions.
Column D One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column E Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column F Over Five Years
Report the amount of such assets with maturities
greater than five years.
Sovereign Issuers (20 or 50 Percent Risk Weight),
Transferred
Report the amount of sovereign issuers’ assets transferred in securities lending or securities borrowing
transactions.
Column G One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column B Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column H Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column C Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column I Over Five Years
Report the amount of such assets with maturities
greater than five years.
G-3-1
FR 2590
March 2020
Page 21 of 38
Schedule G-3
Sovereign Issuers (20 or 50 Percent Risk Weight),
Received
Report the amount of sovereign issuers’ assets received
in securities lending or securities borrowing
transactions.
Column J One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column Q Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column R Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column K Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Non-sovereign Issuers (20 Percent Risk Weight),
Transferred
Report the amount of non-sovereign issuers’ assets
transferred in securities lending or securities borrowing
transactions.
Column L Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column S One Year or Less
Report the amount of such assets with maturities of
one year or less.
Sovereign Issuers (100 Percent Risk Weight),
Transferred
Report the amount of sovereign issuers’ assets transferred in securities lending or securities borrowing
transactions.
Column T Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column M One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column U Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column N Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Non-sovereign Issuers (20 Percent Risk Weight),
Received
Report the amount of non-sovereign issuers’ assets
received in securities lending or securities borrowing
transactions.
Column O Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column V One Year or Less
Report the amount of such assets with maturities of
one year or less.
Sovereign Issuers (100 Percent Risk Weight), Received
Report the amount of sovereign issuers’ assets received
in securities lending or securities borrowing
transactions.
Column W Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column P One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column X Over Five Years
Report the amount of such assets with maturities
greater than five years.
G-3-2
March 2020
FR 2590
Page 22 of 38
Schedule G-3
Non-sovereign Issuers (50 Percent Risk Weight),
Transferred
Report the amount of non-sovereign issuers’ assets
transferred in securities lending or securities borrowing
transactions.
Column Y One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AF Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AG Over Five Years
Report the amount of such assets with maturities
greater than five years.
Non-sovereign Issuers (100 Percent Risk Weight),
Received
Report the amount of non-sovereign issuers’ assets
received in securities lending or securities borrowing
transactions.
Column Z Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AA Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AH One Year or Less
Report the amount of such assets with maturities of
one year or less.
Non-sovereign Issuers (50 Percent Risk Weight),
Received
Report the amount of non-sovereign issuers’ assets
received in securities lending or securities borrowing
transactions.
Column AI Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AB One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AJ Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AC Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Investment Grade Securitization Exposure, Transferred
Report the amount of investment grade securitization
assets transferred in securities lending or securities borrowing transactions.
Column AD Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AK One Year or Less
Report the amount of such assets with maturities of
one year or less.
Non-sovereign Issuers (100 Percent Risk Weight),
Transferred
Report the amount of non-sovereign issuers’ assets
transferred in securities lending or securities borrowing
transactions.
Column AL Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AE One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AM Over Five Years
Report the amount of such assets with maturities
greater than five years.
G-3-3
FR 2590
March 2020
Page 23 of 38
Schedule G-3
Investment Grade Securitization Exposure, Received
Report the amount of investment grade securitization
assets received in securities lending or securities borrowing transactions.
Column AN One Year or Less
Report the amount of such assets with maturities of
one year or less.
Column AO Over One Year through Five Years
Report the amount of such assets with maturities
greater than one year but less than or equal to five
years.
Column AW Other, Transferred
Report the amount of other assets transferred in securities lending or securities borrowing transactions.
Column AX Other, Received
Report the amount of other assets received in securities lending or securities borrowing transactions.
Internal Model Method, If Approved
If the respondent organization is authorized to use an
internal model method (IMM), then it can report its
IMM exposures in columns AY and AZ. Note that the
respondent organization must still report the appropriate values in columns BA and BB, as described below.
Column AP Over Five Years
Report the amount of such assets with maturities
greater than five years.
Column AQ Main Index Equities, Transferred
Report the amount of main index equities (including
convertible bonds) and gold transferred in securities
lending or securities borrowing transactions.
Column AR Main Index Equities, Received
Report the amount of main index equities (including
convertible bonds) and gold received in securities lending or securities borrowing transactions.
Column AS Other Publicly Traded Equities,
Transferred
Report the amount of other publicly traded equities
(including convertible bonds) transferred in securities
lending or securities borrowing transactions.
Column AT Other Publicly Traded Equities, Received
Report the amount of other publicly traded equities
(including convertible bonds) received in securities
lending or securities borrowing transactions.
Column AU Cash, Transferred
Report the amount of cash transferred in securities
lending or securities borrowing transactions.
Column AV Cash, Received
Report the amount of cash received in securities lending or securities borrowing transactions.
Column AY Total Gross Exposure Under Bilateral
Netting Agreements
Using IMM, report the total gross credit exposure arising from securities lending or securities borrowing
transactions under bilateral netting agreements, which
is defined in sections 252.71(cc) and 252.171(ee) of the
SCCL rule.
Column AZ Total Gross Exposure
Using IMM, report the total gross exposure arising
from securities lending or securities borrowing
transactions.
Column BA Total Gross Exposure Under Bilateral
Netting Agreements
Report the total gross credit exposure arising from
securities lending or securities borrowing transactions
under bilateral netting agreements, which is defined in
sections 252.71(cc) and 252.171(ee) of the SCCL rule.
Column BB Total Gross Exposure: G-3 Schedule
Report the total gross exposure to the counterparty
arising from securities lending or securities borrowing
transactions.
G-3-4
March 2020
FR 2590
Page 24 of 38
Derivatives Exposures
Schedule G-4
Schedule G-4 first requires the respondent organization to report the gross notional of its derivatives
transactions—interest rate, foreign exchange rate,
credit, equity, commodity, or other—by counterparty,
consistent with sections 252.73 and 252.173 of the
SCCL rule. If the respondent organization has been
approved by the Board to use an internal model, then it
can report its exposures using the “Internal Model
Method” columns. If the respondent organization has
not been approved by the Board to use an internal
model, these columns should remain blank. The penultimate column in Schedule G-4 is available for a
respondent organization to report gross credit exposures resulting from qualified master netting agreements. All respondent organizations are required to
complete the total gross credit exposure column.
Gross Notional by Product Type
Report the gross notional value of the derivative
transaction.
Column A Interest Rate
Report the gross notional value of interest rate
derivatives.
Column B Foreign Exchange Rate
Report the gross notional value of foreign exchange
rate derivatives.
Column C Credit, Except Where the Covered Firm is
the Protection Provider
Report the gross notional value of credit derivatives,
except where the covered firm is the protection
provider.
Column D Credit, Where the Covered Firm is the
Protection Provider
Report the gross notional value of credit derivatives,
where the covered firm is the protection provider.
Column E Equity
Report the gross notional value of equity derivatives.
Column F Commodity
Report the gross notional value of commodity
derivatives.
Column G Other
Report the gross notional value of derivatives that do
not fall into one of the preceding categories.
Internal Model Method, If Approved
If the respondent organization is authorized to use an
internal model method (IMM), then it can report its
IMM exposures in columns G and H. Note that the
respondent organization must report the appropriate
values in columns J and K, as described below.
Column H Total Gross Exposure Under Qualifying
Master Netting Agreements
Using IMM, report the total gross exposure arising
from derivatives transactions under qualified master
netting agreements.
Column I Total Gross Exposure
Using IMM, report the total gross exposure arising
from derivatives transactions, irrespective of being
subject to a qualifying master netting agreement. In
some circumstances, Column G might equal Column H.
Column J Total Gross Exposure Under Qualifying
Master Netting Agreements
Report the total gross exposure arising from derivatives
transactions under qualified master netting
agreements.
G-4-1
FR 2590
March 2020
Page 25 of 38
Schedule G-4
Column K Total Gross Exposure: G-4 Schedule
Report the total gross exposure arising from derivatives
transactions.
G-4-2
March 2020
FR 2590
Page 26 of 38
Risk Shifting Exposures
Schedule G-5
Schedule G-5 collects information related to gross
credit exposures that have been affected by the risk
shifting requirements of sections 252.74 and 252.174 of
the SCCL rule. Risk shifting is required when a respondent organization employs six types of credit risk mitigants: (i) eligible collateral; (ii) eligible guarantees;
(iii) eligible credit and equity derivatives; (iv) other eligible hedges; (v) unused portion of certain extensions
of credit; and (vi) credit transactions involving
excluded and exempt entities. Risk shifting may also be
required in connection with credit transactions involving excluded and exempt entities. The final column
aggregates the total gross exposure, by counterparty,
due to risk shifting. Table 4 provides an illustration.
Note that the values in the first six columns must sum
to the value in the seventh column.
Column C Eligible Credit and Equity Derivatives
Report the gross credit exposures arising from risk
shifting of eligible credit and equity derivatives.
Column D Other Eligible Hedges
Report the gross credit exposures arising from risk
shifting of other eligible hedges.
Column E Unused Portion of Certain Extensions of
Credit
Report the gross credit exposures arising from risk
shifting of unused portion of certain extensions of
credit.
Column F Credit Transactions Involving Excluded and
Exempt Entities
Report the gross credit exposures arising from risk
shifting of credit transactions involving excluded and
exempt entities.
Column A Eligible Collateral
Report the gross credit exposures arising from risk
shifting of eligible collateral.
Column G Total Gross Exposure: G-5 Schedule
Report the total gross credit exposures arising from
risk shifting. This is the sum of columns A through F.
Column B Eligible Guarantees
Report the gross credit exposures arising from risk
shifting of eligible guarantees.
Table 4. Risk Shifting Exposures
Column A
Column B
Column C
Column D
Column E
Column F
Column G
Eligible
Guarantees
Eligible Credit
and Equity
Derivatives
Other Eligible
Hedges
Unused Portion
of Certain
Extensions of
Credit
Credit Transactions Involving
Excluded and
Exempt Entities
Eligible
Collateral
Total Gross
Exposure: G-5
Schedule
[1]
x1
x2
x3
x4
x5
x6
[2]
y1
y2
y3
y4
y5
y6
[3]
z1
z2
z3
z4
z5
z6
G-5-1
FR 2590
March 2020
Page 27 of 38
Page 28 of 38
Eligible Collateral
Schedule M-1
Sections 252.74 and 252.174 of the SCCL rule permits
a respondent organization to subtract the value of any
eligible collateral provided by a counterparty in connection with a particular transaction from its gross
credit exposure for that transaction. The value of all
such eligible collateral is reported in Schedule M-1.
Eligible collateral include, but are not limited to, sovereign debt, non-sovereign debt, main index equities,
other publicly traded equities, and cash. There are 10
eligible collateral columns. The final column sums the
total credit risk mitigation impact due to the eligible
collateral recorded in these 10 columns, by counterparty. As Table 5 shows, the eligible collateral values in
the first 10 columns must sum to the value in the final
column.
Column B 20 or 50 Percent Risk Weight
Report the amount of eligible collateral provided by
sovereign issuers with 20 or 50 percent risk weight.
Column C 100 Percent Risk Weight
Report the amount of eligible collateral provided by
sovereign issuers with 100 percent risk weight.
Non-sovereign Issuers
Report the amount of eligible collateral provided by
non-sovereign issuers in connection with a particular
transaction.
Column D Zero Percent Risk Weight
Report the amount of eligible collateral provided by
non-sovereign issuers with zero percent risk weight.
Sovereign Issuers
Report the amount of eligible collateral provided by
sovereign issuers in connection with a particular
transaction.
Column E 20 or 50 Percent Risk Weight
Report the amount of eligible collateral provided by
non-sovereign issuers with 20 or 50 percent risk weight.
Column F 100 Percent Risk Weight
Report the amount of eligible collateral provided by
non-sovereign issuers with 100 percent risk weight.
Column A Zero Percent Risk Weight
Report the amount of eligible collateral provided by
sovereign issuers with zero percent risk weight.
Table 5. Eligible Collateral
Column A
Column B
Column C
Sovereign issuers
(zero percent risk
weight)
Sovereign issuers (20 or
50 percent risk weight)
[1]
x1
x2
x3
[2]
y1
y2
[3]
z1
z2
…
Column J
Column K
Cash
Other
Total Credit
Risk Mitigation:
M-1 Schedule
…
x9
x10
y3
…
y9
y10
z3
…
z9
z10
Sovereign issuers
(100 percent risk weight) …
Column I
M-1-1
FR 2590
March 2020
Page 29 of 38
Schedule M-1
Column G Main Index Equities
Report the amount of main index equities (including
convertible bonds) and gold provided as eligible collateral in connection with a particular transaction.
Column J Other
Report the amount of other assets provided as eligible
collateral in connection with a particular transaction.
Column H Other Publicly Traded Equities
Report the amount of other publicly traded equities
(including convertible bonds) provided as eligible collateral in connection with a particular transaction.
Column K Total Credit Risk Mitigation: M-1
Schedule
Report the total amount of credit risk mitigation. This
is the sum of columns A through J.
Column I Cash
Report the amount of cash provided in connection
with a particular transaction.
M-1-2
March 2020
FR 2590
Page 30 of 38
General Risk Mitigants
Schedule M-2
Schedule M-2 collects information related to credit risk
mitigation techniques other than the receipt of collateral used by the firm to reduce its gross credit exposure
in a given transaction. The five permitted credit risk
mitigation methods—described in sections 252.74 and
252.174 of the SCCL rule—are: (i) eligible guarantees;
(ii) eligible credit and equity derivatives; (iii) other eligible hedges; (iv) unused portion of certain extensions
of credit; and (v) credit transactions involving
excluded and exempt entities. The final column sums
the total credit risk mitigation effected by use of these
techniques, by counterparty. Table 6 below shows that
the value of the risk mitigants in the first five columns
must sum to the value in the final column.
Column A Eligible Guarantees
Report the amount of eligible guarantees provided in
connection with a particular transaction.
Column B Eligible Credit and Equity Derivatives
Report the amount of eligible credit and equity derivatives provided in connection with a particular
transaction.
Column C Other Eligible Hedges
Report the amount of eligible hedges provided in connection with a particular transaction.
Column D Unused Portion of Certain Extensions of
Credit
Report the amount of unused portion of certain extensions of credit provided in connection with a particular
transaction.
Column E Credit Transactions Involving Excluded and
Exempt Entities
Report the amount of credit transactions involving
excluded and exempt entities provided in connection
with a particular transaction.
Column F Total Credit Risk Mitigation: M-2
Schedule
Report the amount of total credit risk mitigation. This
is the sum of columns A through E.
Table 6. General Risk Mitigants
Column A
Column B
Column C
Column D
Column E
Column F
Eligible
Guarantees
Eligible Credit and
Equity Derivatives
Other Eligible
Hedges
Unused Portion of
Certain Extensions
of Credit
Credit Transactions
Involving Excluded and
Exempt Entities
Total Credit Risk
Mitigation: M-2
Schedule
[1]
x1
x2
x3
x4
x5
[2]
y1
y2
y3
y4
y5
[3]
z1
z2
z3
z4
z5
M-2-1
FR 2590
March 2020
Page 31 of 38
Page 32 of 38
Summary of Net Credit Exposures
The reporting form contains a summary sheet that
sums the respondent organization’s aggregate gross
credit exposure (as reported in the final columns of
each of the five G schedules); calculates the respondent
organization’s aggregate net credit exposures by reducing its aggregate gross credit exposure by its aggregate
credit risk mitigants (calculated by taking the sum of
the final columns of the two M schedules); and divides
the respondent organization’s aggregate net credit
exposure by its eligible capital base. As noted above, a
respondent organization’s aggregate net credit exposure limits under the SCCL rule are based on a percentage of either its capital stock and surplus or its tier 1
capital, depending on the size of the respondent organization. The resulting ratio shows whether the respondent organization’s aggregate net credit exposures
comply with the limits of the SCCL rule. Table 7 illustrates the required calculations.
Column A Total G-1
Report the value from the corresponding row in column H of Schedule G-1.
Column C Total G-3
Report the value from the corresponding row in column BB of Schedule G-3.
Column D Total G-4
Report the value from the corresponding row in column K of Schedule G-4.
Column E Total G-5
Report the value from the corresponding row in column G of Schedule G-5.
Column F Gross Credit Exposure
Report the sum of columns A through E.
Column G Total M-1
Report the value from the corresponding row in column K of Schedule M-1.
Column H Total M-2
Report the value from the corresponding row in column F of Schedule M-2.
Column B Total G-2
Report the value from the corresponding row in column BB of Schedule G-2.
Column I Aggregate Credit Risk Mitigants
Report the sum of columns G and H.
Table 7. Summary of Net Credit Exposures
A
B
C
D
E
F
Gross Credit
Exposure
G
H
I
J
M-1
M-2
Aggregate
Credit Risk
Mitigants
Aggregate Net Credit
Exposure
G-1
G-2
G-3
G-4
G-5
[1]
x1
x2
x3
x4
x5
a1
a2
[2]
y1
y2
y3
y4
y5
b1
b2
[3]
z1
z2
z3
z4
z5
c1
c2
SUM-1
FR 2590
March 2020
Page 33 of 38
Summary of Net Credit Exposures
Column J Aggregate Net Credit Exposure
Subtract column I from column F. Report the difference here.
Column K Eligible Capital Base
Until January 1, 2021, U.S. IHCs that are subject to
Category II or III standards and have less than
$250 billion in total consolidated assets may report the
IHC’s consolidated capital stock and surplus. All covered companies and other covered entities should
report their tier 1 capital. After January 1, 2021, the
eligible capital base for U.S. IHCs that are subject to
Category II or III standards and have less than
$250 billion in total consolidated assets also is tier 1
capital, and they should report their tier 1 capital. All
other covered companies and covered foreign entities
should report tier 1 capital.
Column L Net Credit Exposure Ratio
Divide column J by column K. Report the resulting
ratio here as a percentage. Round to four decimal
places. For example, if the resulting ratio is .1234558,
then record that as “12.3456” in the appropriate cell.
SUM-2
March 2020
FR 2590
Page 34 of 38
Economic Interdependence
Schedule A-1
interdependence only if its aggregate net credit exposure to a counterparty exceeds 5 percent of its tier 1
capital. If none of the enumerated factors are met, then
the covered company or covered foreign entity need
not aggregate exposures to those counterparties unless
the Board determines that one or more other counterparties of the covered company or covered foreign
entity are economically interdependent. Note that,
until January 1, 2021, a U.S. IHC that is subject to Category II or III standards and has less than $250 billion
in total consolidated assets does not have to perform
this assessment; however, after January 1, 2021, such a
U.S. IHC will be required to conduct an assessment for
economic interdependence in the same manner as all
covered companies and other covered foreign entities.
Sections 252.76(b) and 252.176(b) of the SCCL rule
require a covered company or covered foreign entity to
aggregate its net credit exposures to counterparties that
are economically interdependent—meaning that the
underlying risk of one counterparty’s financial distress
or failure would cause the financial distress or failure
of another counterparty. Those sections enumerate
specific factors that a covered company or covered foreign entity must consider in order to assess whether
counterparties are economically interdependent. Such
factors include whether 50 percent or more of one
counterparty’s gross revenue is derived from the other
counterparty, or whether two or more counterparties
rely on the same source for the majority of their funding. The SCCL rule requires that counterparties that
must be aggregated be treated as a single counterparty
(reported in Schedule A-1 as an “interconnected counterparty group”) for purposes of the aggregate net
credit exposure limits of the SCCL rule. Schedule A-1
requires the respondent organization to provide its
aggregate net credit exposure to each member of the
interconnected counterparty group (one per column).
The final column of Schedule A-1 sums the total net
credit exposure of the respondent organization to each
connected counterparty group.
Table 8 shows what Schedule A-1 could look like for
XYZ Corp. It has to run through the assessment of
economic interdependence when its exposure to a
counterparty exceeds 5 percent of XYZ Corp.’s tier 1
capital. In the first case, suppose XYZ Corp. has a net
credit exposure to Global Corp. that is 7 percent of
XYZ Corp.’s tier 1 capital. Suppose further that
Global Corp. sells 40 percent of its output to Tractor
Corp. and another 30 percent of its output to Mr.
Smith. In this scenario, the interconnected counterparty group consists of Global Corp., Tractor Corp.,
and Mr. Smith. XYZ Corp. would have to aggregate its
Generally, a covered company or covered foreign entity
is required to conduct an assessment for economic
Table 8. Economic Interdependence
Column A
Column B
Column C
Column D
Column E
Column F
Interdependent
Counterparty 1
Interdependent
Counterparty 2
Interdependent
Counterparty 3
Interdependent
Counterparty 4
Interdependent
Counterparty 5
Total Exposure to
Group
[1]
Global Corp.
Tractor Corp.
Mr. Smith
-
-
[2]
ABC Corp.
Green Corp.
-
-
-
[3]
Insurer Corp.
Widget Corp.
-
-
-
Interconnected
Counterparty Group
A-1-1
FR 2590
March 2020
Page 35 of 38
Schedule A-1
net credit exposures for all three counterparties and
report that in the final column.
In the second case, suppose that XYZ Corp. has a net
credit exposure to ABC Corp. that is 6 percent of XYZ
Corp.’s tier 1 capital. Suppose further that ABC Corp.
derives 55 percent of its gross revenue from Green
Corp. In this scenario, ABC Corp. and Green Corp.
would be considered economically interdependent, and
so XYZ Corp. would have to aggregate its net credit
exposures to the two counterparties.
In the third case, XYZ Corp. has a net credit exposure
to Insurer Corp. that is 7 percent of XYZ Corp.’s tier 1
capital. Suppose further that XYZ Corp. has a net
credit exposure to Widget Corp. that is 4 percent of
XYZ Corp.’s tier 1 capital. Insurer Corp. has fully
guaranteed the exposure to Widget Corp., meaning
that if Widget Corp. goes bankrupt, Insurer Corp.
would have to pay back the loan in full to XYZ Corp.
Under this scenario, XYZ Corp. would have to aggregate the exposures of Insurer Corp. and Widget Corp.
Interconnected Counterparty Group
Report economically interdependent counterparties in
groups. There should be a minimum of two counterparties per group.
Column A Interdependent Counterparty 1
Report the full legal name of the first economically
interdependent counterparty.
Column B Interdependent Counterparty 2
Report the full legal name of the second economically
interdependent counterparty.
Column C Interdependent Counterparty 3
Report the full legal name of the third economically
interdependent counterparty, if applicable.
Column D Interdependent Counterparty 4
Report the full legal name of the fourth economically
interdependent counterparty, if applicable.
Column E Interdependent Counterparty 5
Report the full legal name of the fifth economically
interdependent counterparty, if applicable.
Column F Total Exposure to Counterparty Group
Report the aggregated value of the net credit exposure
ratios. Report the resulting ratio here as a percentage.
Round to four decimal places. For example, if the
resulting ratio is 0.1234558, then record that as
“12.3456” in the appropriate cell.
A-1-2
March 2020
FR 2590
Page 36 of 38
Control Relationships
Schedule A-2
required to conduct an assessment for certain control
relationships in the same manner as all covered companies and other covered foreign entities. All other covered companies and covered foreign entities are
required to conduct an assessment for certain control
relationships only if its aggregate net credit exposure to
a counterparty exceeds 5 percent of its tier 1 capital.
Sections 252.76(c) and 252.176(c) of the SCCL rule
require a covered company or covered foreign entity to
aggregate exposures to counterparties due to the presence of certain control relationships. These sections
require that counterparties connected by certain specified control relationships be treated as a single counterparty (reported in Schedule A-2 as a “control counterparty group”) for purposes of the aggregate net credit
exposure limits of the SCCL rule. Schedule A-2
requires the respondent organization to provide its
aggregate net credit exposure to each member of the
control counterparty group (one per column). The
final column of Schedule A-2 sums the total net credit
exposure of the respondent organization to each control counterparty group.
Table 9 shows what Schedule A-2 could look like for
XYZ Corp. It has to run through the assessment of
certain control relationships when its exposure to a
counterparty exceeds 5 percent of its tier 1 capital. In
the first case, suppose XYZ Corp. has a net credit
exposure to Global Corp. that is 7 percent of XYZ
Corp.’s tier 1 capital. Suppose further that Global
Corp. owns 45 percent of Red Corp.’s voting shares. In
this case, XYZ Corp. would have to aggregate the net
credit exposures of Global Corp. and Red Corp. and
report it as the net credit exposure to the first control
counterparty group.
Generally, a covered company or covered foreign entity
is required to conduct an assessment for certain control
relationships only if its aggregate net credit exposure to
a counterparty exceeds 5 percent of its tier 1 capital,
unless the Board determines that one or more other
counterparties of the covered company or covered foreign entity are connected by control relationships for
purposes of the rule. Note that, until January 1, 2021, a
U.S. IHC that is subject to Category II or III standards
and has less than $250 billion in total consolidated
assets does not have to perform this assessment; however, after January 1, 2021, such a U.S. IHC will be
In the second example, suppose that XYZ Corp. has a
net credit exposure to ABC Corp. that is 6 percent of
XYZ Corp.’s tier 1 capital. Suppose further that ABC
Corp. controls the majority of the directors of Green
Corp. In this case, XYZ Corp. would have to aggregate
the net credit exposures of ABC Corp. and Green
Table 9. Control Relationships
Column A
Column B
Column C
Column D
Column E
Column F
Control
Counterparty 1
Control
Counterparty 2
Control
Counterparty 3
Control
Counterparty 4
Control
Counterparty 5
Total Exposure to
Group
[1]
Global Corp.
Red Corp.
-
-
-
[2]
ABC Corp.
Green Corp.
-
-
-
[3]
-
-
-
-
-
Control Counterparty
Group
-
A-2-1
FR 2590
March 2020
Page 37 of 38
Schedule A-2
Corp., and report the sum as the net credit exposure to
the second control counterparty group.
Control Counterparty Group
Report control counterparties in groups. There should
be a minimum of two counterparties per group.
Column A Control Counterparty 1
Report the full legal name of the first control
counterparty.
Column B Control Counterparty 2
Report the full legal name of the second control
counterparty.
Column D Control Counterparty 4
Report the full legal name of the fourth control counterparty, if applicable.
Column E Control Counterparty 5
Report the full legal name of the fifth control counterparty, if applicable.
Column F Total Exposure to Counterparty Group
Report the aggregated value of the net credit exposure
ratios. Report the resulting ratio here as a percentage.
Round to four decimal places. For example, if the
resulting ratio is 0.1234558, then record that as
“12.3456” in the appropriate cell.
Column C Control Counterparty 3
Report the full legal name of the third control counterparty, if applicable.
A-2-2
March 2020
FR 2590
Page 38 of 38 (Last Page)
| File Type | application/pdf |
| File Modified | 2019-11-22 |
| File Created | 2019-11-06 |