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pdfFR Y‐14Q: Counterparty Credit Risk
See Counterparty Schedule instructions for guidance on completing this schedule.
BHCs/IHCs/SLHCs should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.
Institution Name:
RSSD ID:
Submission date:
Data as of date:
Version:
When Received:
10/3/19 2:12 PM
Reflects changes finalized in 10/10/2019 tailoring final rule, including
redline changes reflecting deletion of adverse scenario
Sub‐schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm Credit Valuation Adjustment (CVA), ranked by CVA
$ Millions
Counterparty identifiers
Rank
Counterparty
name
Legal Entity Netting set
Counterparty
Identifier
ID
ID
(LEI)
(optional)
Sub‐netting set ID
(optional)
Credit Quality Data
Industry Code
Country
Internal
rating
External
rating
Sub‐sc
$ Milli
Exposure and Position Data
Rank
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Stressed
Gross CE
BHC/IHC/SLHC
scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC/SLHC
Quarter
scenario
Sub‐sc
$ Milli
CVA Data
Rank
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC specification
(Adverse)
(Severely Adverse)
CSA in
place?
Credit Mitigants
Credit Hedges
%
Gross CE
with CSAs
Single Name
Credit Hedges
Downgrade
trigger
modeled?
Sub‐schedule L.1.b.1 Top 20 consolidated/parent counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA
$ Millions
Counterparty identifiers
Rank Counterparty name
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty ID
Legal Entity
Identifier (LEI)
Netting set ID
(optional)
Credit Quality Data
Sub‐netting set
ID
(optional)
Industry
Code
Country
Internal
rating
External
rating
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Sub‐sc
$ Mill
Exposure and Position Data
Stressed Gross
CE
Rank
FR Scenario
(Adverse)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Gross
CE
BHC/IHC/SLHC
scenario
Net CE
Stressed Net CE
Stressed Net CE
FR Scenario
FR Scenario
Total Notional
(Severely
(Adverse)
Adverse)
New Notional
During Quarter
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub‐sc
$ Mill
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net
CE BHC/IHC/
SLHC scenario
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Adverse)
(Severely Adverse)
Credit mitigants
Stressed CVA
BHC/IHC/SLHC
Scenario and
BHC/IHC/SLHC
specification
%
CSA in place? Gross CE with
CSAs
Credit Hedges
Downgrade
trigger
modeled?
Single Name Credit
Hedges
Sub‐schedule L.1.b.2 Top 20 consolidated/parent counterparties ranked by BHC or IHC Scenario Stressed CVA
$ Millions
Counterparty identifiers
Rank Counterparty name
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty ID
Legal Entity
Identifier (LEI)
Netting set ID
(optional)
Credit Quality Data
Sub‐netting set
ID
(optional)
Industry
Code
Country
Internal
rating
External
rating
Gross CE
Stressed Gross CE
Federal Reserve
scenario (Severely
Adverse)
Sub‐sc
$ Mill
Exposure and Position Data
Stressed Gross
Stressed Gross
CE
CE
Rank Federal Reserve
BHC/IHC/SLHC
scenario
scenario
(Adverse)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Net CE
Stressed Net CE
Stressed Net CE
Federal Reserve
Federal Reserve
Total Notional
scenario
scenario
(Severely
(Adverse)
Adverse)
New Notional
During Quarter
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub‐sc
$ Mill
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net
CE BHC/IHC/
SLHC scenario
CVA
Stressed CVA
Stressed CVA
FR scenario and FR FR scenario and FR
specification
specification
(Adverse)
(Severely Adverse)
Credit mitigants
Stressed CVA
BHC/IHC/SLHC
scenario and
BHC/IHC/SLHC
specification
CSA in place?
% Gross CE
with CSAs
Credit Hedges
Downgrade
trigger
modeled?
Single Name Credit
Hedges
Sub‐schedule L.1.c.1 Top 20 consolidated/parent counterparties ranked by Net CE
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty Counterparty Legal Entity Netting set ID
name
ID
Identifier (LEI) (optional)
Sub‐netting
set ID
Industry Code
(optional)
Credit Quality Data
Country
Internal
rating
External
rating
Sub‐sc
$ Mill
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed
Stressed
Gross CE
Gross CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
Stressed
Gross CE
Net CE
BHC/IHC/SLHC
scenario
Stressed Net Stressed
CE
Net CE
FR Scenario
FR
(Severely
Scenario
Adverse)
(Adverse)
Stressed
Net CE
Total
BHC/IHC/SLHC
Notional
scenario
New
Weighted
Position Total Net
Notional
Average
MtM
Collateral
During
Maturity
Quarter
Sub‐sc
$ Mill
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
FR Scenario and
FR Specification
(Severely
Adverse)
Stressed CVA
FR Scenario and
FR Specification
(Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC/SLHC
CSA in
Scenario and
place?
BHC/IHC/SLHC
specification
Credit Hedges
%
Downgrade
Single Name
Gross CE
trigger
Credit Hedges
with CSAs modeled?
Sub‐schedule L.1.c.2 Top 20 consolidated/parent counterparties ranked by Federal Reserve Severely Adverse
Scenario Stressed Net CE
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty Counterparty Legal Entity Netting set ID
name
ID
Identifier (LEI) (optional)
Sub‐netting
set ID
Industry Code
(optional)
Credit Quality Data
Country
Internal
rating
External
rating
Sub‐sc
Scena
$ Mill
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed
Stressed
Gross CE
Gross CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
Stressed
Gross CE
Net CE
BHC/IHC/SLHC
scenario
Stressed Net Stressed
CE
Net CE
FR Scenario
FR
(Severely
Scenario
Adverse)
(Adverse)
Stressed
Net CE
Total
BHC/IHC/SLHC
Notional
scenario
New
Weighted
Position Total Net
Notional
Average
MtM
Collateral
During
Maturity
Quarter
Sub‐sc
Scena
$ Mill
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
FR Scenario and
FR Specification
(Severely
Adverse)
Stressed CVA
FR Scenario and
FR Specification
(Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC/SLHC
CSA in
Scenario and
place?
BHC/IHC/SLHC
specification
Credit Hedges
% Gross Downgrade
Single Name
CE with
trigger
Credit Hedges
CSAs
modeled?
Sub‐schedule L.1.c.3 Top 20 consolidated/parent counterparties ranked by BHC/IHC/SLHC Scenario Stressed
Net CE$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty Counterparty Legal Entity Netting set ID
name
ID
Identifier (LEI) (optional)
Sub‐netting
set ID
Industry Code
(optional)
Credit Quality Data
Country
Internal
rating
External
rating
Sub‐sc
$ Mill
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed
Stressed
Gross CE
Gross CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
Stressed
Gross CE
Net CE
BHC/IHC/SLHC
scenario
Exposure and Position Data
Stressed Net Stressed
Stressed
CE
Net CE
Net CE
Total
FR Scenario
FR
BHC/IHC/SLHC
Notional
(Severely
Scenario
scenario
Adverse)
(Adverse)
New
Weighted
Position Total Net
Notional
Average
MtM
Collateral
During
Maturity
Quarter
Sub‐sc
$ Mill
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
CVA Data
Stressed CVA
Stressed CVA
FR Scenario and
FR Scenario and
FR Specification
FR Specification
(Severely
(Adverse)
Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC/SLHC
CSA in
Scenario and
place?
BHC/IHC/SLHC
specification
Credit Hedges
%
Downgrade
Single Name
Gross CE
trigger
Credit Hedges
with CSAs modeled?
Sub‐schedule L.1.d.1 Top 20 consolidated/parent collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Counterparty Identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Legal Entity Netting set
Identifier
ID
(LEI)
(optional)
Sub‐netting set ID
(optional)
Credit Quality Data
Industry
Code
Country
Internal
rating
External rating
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Sub‐sc
$ Milli
Exposure and Position Data
Stressed Gross
CE
Rank
Net CE
BHC/IHC/SLHC
scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC/SLHC
Quarter
Scenario
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub‐sc
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Adverse)
(Severely Adverse)
Stressed CVA
BHC/IHC/SLHC
CSA in
Scenario and
place?
BHC/IHC/SLHC
Specification
Credit Mitigants
Credit Hedges
%
Gross CE
with CSAs
Single Name
Credit Hedges
Downgrade
trigger
modeled?
Sub‐schedule L.1.d.2 Top 20 consolidated/parent collateralized counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Gross CE
(counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Counterparty Identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Legal Entity Netting set
Identifier
ID
(LEI)
(optional)
Sub‐netting set ID
(optional)
Credit Quality Data
Industry
Code
Country
Internal
rating
External rating
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Sub‐sc
(count
$ Milli
Exposure and Position Data
Stressed Gross
CE
Rank
Net CE
BHC/IHC/SLHC
scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC/SLHC
Quarter
Scenario
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub‐sc
(count
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Adverse)
(Severely Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC/SLHC
CSA in
Scenario and
place?
BHC/IHC/SLHC
Specification
% Gross CE
with CSAs
Downgrade
trigger
modeled?
Credit Hedges
Single Name
Credit Hedges
Sub‐schedule L.1.e ‐ Aggregate CVA data by ratings and collateralization
$ Millions
Sub‐schedule L.1.e.1 Aggregate CVA data by ratings
Ratings Category
Internal
Rating
N/A
External Rating
Gross CE
excluding
CCPs
Gross CE to
CCPs
Stressed
Gross CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Gross CE to
CCPs
FR Scenario
(Severely
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
Gross CE to
CCPs
Stressed
Gross CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Gross CE to
CCPs
FR Scenario
(Severely
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
N/A
Sub‐schedule L.1.e.2 Additional/Offline CVA reserves
Reserve Type
Reserve Type
Model/infrastructure limitations
Trades not captured
Offline reserves
Funding Valuation Adjustment (if applicable)
Other
Gross CE
excluding
CCPs
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC/SLHC
scenario
(Adverse)
Net CE
excluding
CCPs
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC/SLHC
(Adverse)
scenario
Net CE
excluding
CCPs
CVA Data
Stressed
Net CE
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
BHC/IHC/SLHC
Specification
CVA Data
Stressed
Net CE
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Single Name Credit
Hedges
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
BHC/IHC/SLHC
Specification
Single Name Credit
Hedges
Sub‐schedule L.1.e.3 Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category
Stressed
Stressed
Gross CE
Gross CE to Stressed Gross CE
Gross CE
excluding
excluding CCPs
Internal
Gross CE to
CCPs
External Rating
excluding
CCPs
FR Scenario
Rating
CCPs
FR Scenario
CCPs
FR Scenario
(Adverse)
(Severely
(Severely
Adverse)
Adverse)
Sub‐schedule L.1.e.4 Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating
Ratings Category
Stressed
Stressed
Gross CE
Gross CE to Stressed Gross CE
Gross CE
excluding
excluding CCPs
Internal
Gross CE to
CCPs
External rating
excluding
CCPs
FR Scenario
rating
CCPs
FR Scenario
CCPs
FR Scenario
(Adverse)
(Severely
(Severely
Adverse)
Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross
FR Scenario
CE
BHC/IHC/
(Adverse)
SLHC scenario
Net CE
excluding
CCPs
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross
FR Scenario
CE
BHC/IHC/
(Adverse)
SLHC scenario
Net CE
excluding
CCPs
CVA Data
Stressed
Net CE
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
BHC/IHC/SLHC
Specification
CVA Data
Stressed
Net CE
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Single Name Credit
Hedges
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
BHC/IHC/SLHC
Specification
Single Name Credit
Hedges
Sub‐schedule L.2 EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Counterparty Identifiers
Rank
Counterparty
name
Counterparty Legal Entity
ID
Identifier (LEI)
Netting set
ID
(optional)
Sub‐netting set ID
(optional)
Industry Code
Country
Internal
Rating
External
Rating
Sub‐sch
$ Millio
CVA Inputs
Rank
EE ‐
Tenor Bucket BHC/IHC/SLHC
Marginal PD LGD (CVA)
in Years
Specificati
on
Stressed CVA Inp
Discount Factor
Stressed EE ‐ FR
Scenario & FR
Specification
(Severely
Adverse)
Stressed EE FR
Scenario & FR
Specification
(Adverse)
Stressed EE ‐ BHC/ Stressed Marginal Stressed
IHC/SLHC Scenario PD FR Scenario Marginal PD
FR Scenario
(Severely
& BHC/IHC/SLHC
(Adverse)
Adverse)
Specification
Sub‐sch
$ Millio
puts
Rank
Stressed LGD
Stressed Marginal
Stressed LGD (CVA)
(CVA) FR Scenario
FR Scenario
PD BHC/IHC/SLHC
(Severely
(Adverse)
Scenario
Adverse)
Stressed LGD
(CVA) BHC/IHC/
SLHC Scenario
Stressed CVA Inputs
Stressed
Stressed LGD (PD)
Discount
Stressed LGD (PD) Stressed LGD
FR Scenario
Factor
FR Scenario
(PD) BHC/IHC/SLHC
(Severely
FR Scenario
(Adverse)
Scenario
Adverse)
(Severely
Adverse)
Stressed
Discount
Factor
FR Scenario
(Adverse)
Stressed
Discount
Factor
BHC/IHC/SLHC
Scenario
Sub‐schedule L.3 Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA, ranked by CVA
Counterparty and Time Identifiers
Rank
Counterparty
name
Legal Entity Netting set
Counterparty
Identifier
ID
ID
(LEI)
(optional)
Sub‐netting set ID
(optional)
Industry Code
Country
Internal
rating
External
rating
Time
period
(years)
Sub‐sc
Data Inputs
Rank
Market
Spread
spread adjustmen
(bps)
t (bps)
Spread (bps)
used in CVA
calculation
Stressed spreads
(bps)
FR Scenario
(Severely
Adverse)
Type of Credit Quality Input
Stressed
spreads (bps)
FR Scenario
(Adverse)
Stressed
Proxy
spreads
Mapping
mapping
(bps)
approach
approach
BHC
Scenario
Proxy
name
Market
input
type
Ticker /
identifier
Source
Report (Bloomberg
Comments
date
, Markit,
KMV, etc.)
Sub‐schedule L.4
L.4.a Aggregate by Risk Factor
L.4.b Top CVA sensitivites by Risk Factor
Change to asset‐side CVA for a given change in the underlying risk factor, gross of any hedges.
$ Millions, Increase in CVA reported as positive figure
Credit Spreads
‐50%
‐10%
‐100bps
‐10bps
Aggregate CVA sensitivities and slides
+1bp
+10%
+100%
+300%
+1bp
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<>
+1bp
<>
<>
+300bps
+1bp
+1bp
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Counterparty/Reference Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC or lower
NR
Interest Rates (bps)
EUR
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
GBP
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
USD
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All maturities
+1bp
+10bps
+100bps
Top 10 Counterparties by Sensitivity to Risk Factors
+1bp
+1bp
+1bp
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+1bp
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+1bp
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+1bp
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+1bp
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+1bp
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+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
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Other material IR sensitivities
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FX (%)
‐50%
‐10%
+1%
+10%
+50%
+100%
+1%
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+1%
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+1%
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+1%
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CAD
CHF
EUR
GBP
JPY
Other material FX sensitivities
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Equity (%)
‐50%
‐10%
+1%
+10%
+50%
+100%
US <>
Europe <>
Other <>
+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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