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pdfDRAFT
Board of Governors of the Federal Reserve System
Instructions for Preparation of
Banking Organization Systemic Risk Report
Reporting Form FR Y-15
Reissued December 2016
Redline showing final changes adopted by the Board
through 10/10/2019 tailoring final rule
DRAFT
Contents
Schedule H – FBO Size Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . H-1
Schedule I – FBO Interconnectedness Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I-1
Schedule J – FBO Substitutability Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . J-1
Schedule K – FBO Complexity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . K-1
Schedule L – FBO Cross-Jurisdictional Activity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . L-1
Schedule M – FBO Ancillary Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . M-1
Schedule N – FBO Short-Term Wholesale Funding Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N-1
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
GEN-2
When to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
GEN-2
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
GEN-2
GEN-2
GEN-2
GEN-3
GEN-3
GEN-3
GEN-3
GEN-4
GEN-4
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 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
FR Y-15
Contents December 2016
A-1
B-1
C-1
D-1
E-1
F-1
G-1
Contents-1
DRAFT
Contents
Optional Narrative Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
ONS-1
GLOSSARY OF TERMS AND EDITS FOR THE BANKING ORGANIZATION SYSTEMIC
RISK REPORT
Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Validity Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Quality Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Contents-2
GL-1
CHK-1
EDIT-1
FR Y-15
Contents December 2016
DRAFT
INSTRUCTIONS FOR PREPARATION OF
Banking Organization
Systemic Risk Report
FR Y-15
(3) Foreign Banking Organizations. Foreign banking organizations (FBOs) with
combined U.S. assets of $100 billion or more must file schedules H through N of
the FR Y-15. FBOs must report Schedules H through N on behalf of their U.S.
intermediate holding company (IHC), if any, and their combined U.S. operations.
In Schedules H through N, FBOs should report data for an IHC in Column A, and
data for the combined U.S. operations of the FBO in Column B.
General Instructions
Who Must Report
that have total consolidated
assets of $100 billion or more
A. Reporting Criteria
U.S. b
U.S.
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
and U.S. 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.
Schedules A through G of
2. See 12 CFR 217.402.
FR Y-15
General Instructions December 2016
U.S. BHC or U.S. SLHC that
reaches $100 billion or more
in total consolidated assets,
An FBO that reaches $100 billion or more in combined U.S. assets as of
June 30 must begin reporting the FR Y-15 in December of the same year. If
the FBO reaches $100 billion or more in combined U.S. assets due to a
business combination, a reorganization, or a branch acquisition that is not
a business combination, then the FBO 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 an FBO's
combined U.S. assets should subsequently fall to less than $100 billion for
four consecutive quarters, then the FBO is no longer required to file the
FR Y-15 starting with the fifth quarter.
U.S. BHC or U.S. SLHC's total
consolidated assets should
subsequently fall to less than
$100 billion for four consecutive
quarters,
U.S. BHC or U.S. SLHC
reaches $100 billion or
more in total
consolidated assets
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
1. U.S. BHCs, U.S.
SLHCs, and IHCs
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
GEN-1
U.S. BHC,
SLHC,
and IHC
DRAFT
General Instructions
2. Combined U.S. Operations
[See next page]
The following instructions apply to BHCs, SLHCs, and
FBOs (for their IHCs and combined U.S. operations):
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
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
Subsidiaries where control does not rest with the parsubmission date (5:00 P.M. at each district Federal
ent. If control of a majority-owned subsidiary by the
Reserve Bank).
holding company does not rest with the holding company
because of legal or other reasons (e.g., the subsidiary is in U.S. b
, except as
bankruptcy), the subsidiary is not required to be consoliHow to Prepare the Report
otherwise
dated for purposes of the report. Additional guidance on
banking
A. Applicability of GAAP
and FBOs
provided,
this topic is provided in accounting standards, including
organization
Financial Accounting Standards Board (FASB) AccountBanking organizations are required to prepare and file the
ing Standards Codification (ASC) Subtopic 810-10, ConFR Y-15 in accordance with U.S. generally accepted
solidation - Overall.
accounting principles (GAAP) and these instructions.
The report shall be prepared in a consistent manner. The
Custody accounts. Custody and safekeeping activities
banking organization’s financial records shall be main(i.e., the holding of securities, jewelry, coin collections,
tained in such a manner and scope so as to ensure that the
and other valuables in custody or in safekeeping for
FR Y-15 can be prepared and filed in accordance with
customers) must not be reflected on any basis in the
these instructions and reflect a fair presentation of the
balance sheet items on the FR Y-15 unless cash funds
banking organization’s financial condition and results of
held in safekeeping for customers are commingled with
operations. of the U.S. banking organization or the FBO, as applicable.
the general assets of the reporting holding company. In
such cases, the commingled funds would be reported.
Banking organizations should retain workpapers and
The exclusion of custody accounts does not apply to line
other records used in the preparation of this report.
items specifically capturing assets under custody.
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.
GEN-2
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
FR Y-15
General Instructions December 2016
DRAFT
2. Combined U.S. Operations
For Column B, “combined U.S. operations” of an FBO means the U.S. branches and agencies of
the FBO, if any, and the U.S. subsidiaries of the FBO, if any (such as a U.S. intermediate holding
company and subsidiaries of such U.S. subsidiaries). The combined U.S. operations of an FBO
does not include any section 2(h)(2) company, as defined in section 2(h)(2) of the Bank Holding
Company Act (12 U.S.C. 1841(h)(2)). The parent FBO should be treated as a non-U.S. affiliate
when reporting the combined U.S. operations, consistent with the definition of non-U.S. affiliate
in 12 CFR 252.2.
[space]
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 combined U.S. operations
are to be reported on a consolidated basis. Unless the instructions specifically state otherwise,
this consolidation shall be on a line-by-line 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 combined U.S. operations are to be eliminated and must be excluded from the
FR Y-15. The consolidation rules described in this section apply to all FBO schedules, except
where a schedule explicitly states otherwise.
[space]
Subsidiaries of Subsidiaries. For a subsidiary of the U.S. operations that is in turn the parent of
one or more subsidiaries: (1) Each subsidiary shall consolidate its majority-owned subsidiaries in
accordance with the consolidation requirements set forth above. (2) Each subsidiary shall account
for any investments in unconsolidated subsidiaries, corporate joint ventures over which the
combined U.S. operations exercises significant influence, and associated companies according to
the equity method of accounting.
[space]
When reporting FBO schedules on this form, references to "banking organization," "reporting
group," or "respondent" refer to the FBO's IHC for Column A or combined U.S. operations for
Column B, respectively.
DRAFT
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.
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
," Scheduleestimates
H, item 3(b),
time, reasonable
are "Regulatory
permitted.
adjustments;" Schedule M, item 4, "Total
Verification.
All addition
and M,
subtraction
net revenue;"
and Schedule
item 5, should be
double-checked
before
the report is submitted. Totals and
"Foreign net
revenue."
subtotals should be cross-checked to corresponding items
elsewhere in the report. Before a report is submitted, all
E. Confidentiality
amounts should be compared with the corresponding
Except as otherwise noted, the collected
information
will mustamounts
For FBOs,
the FR Y-15
be signedin
bythe
an previous report. If there are any unusual
be made available to the public. Theauthorized
followingofficer
line items
changes
from the previous report (i.e., differences that are
of the foreign
banking
will be kept confidential until the first
reporting date after
not attributable to general organic growth and/or standard
organization.
the final liquidity coverage ratio disclosure standard has
fluctuations in the business cycle), a brief explanation of
been implemented: Schedule G, items 1 through 4.
the changes should be provided to the appropriate Federal Reserve Bank. Banking organizations should contact
A reporting banking organization may request confidentheir district Reserve Bank for information regarding the
tial treatment for items on the FR Y-15 if the banking
submission procedure.
organization is of the opinion that, due to the institution’s
particular circumstances or activities, disclosure of speSignatures. The FR Y-15 must be signed by the Chief
cific commercial or financial information in the report
Financial Officer of the banking organization (or by the
would likely result in substantial harm to its competitive
individual performing this equivalent function). By signposition, or that disclosure of the submitted information
ing the cover page of this report, the authorized officer
would result in unwarranted invasion of personal privacy.
acknowledges that any knowing and willful misrepresentation or omission of a material fact on this report
A request for line-item confidentiality must be submitted
constitutes fraud in the inducement and may subject the
in writing prior to, or concurrently with, the electronic
officer to legal sanctions provided by 18 USC 1001 and
submission of the report. The request must discuss in
1007.
writing the justification for which confidentiality is
FR Y-15
General Instructions September 2016
GEN-3
DRAFT
General Instructions
(1) Schedule A, Column A, item M4,
"Total consolidated assets" (FR Y-9C,
Schedule HC-K, item 5)
or the U.S. intermediate holding company of the FBO
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 require(10) Schedule
Column
item M4,
consolidated
ment.H,
This
pageA,should
be "Total
attached
to the printout placed
assets" (FR
Y-9C,
Schedule
HC-K,
item
5)
in the banking organization’s files.
(11) Schedule I, Column A, item 15, ‘‘Subordinated debt
securities’’(FR
Y-9C, Schedule
HC, items 19(a) and 19(b))
G. Amended
Reports
(12) Schedule I, Column A, item 16, ‘‘Commercial paper’’ (FR
When the
Federal
Reserve’s interpretation of how GAAP
Y-9C, Schedule
HC-M,
item 14(a))
or these
instructions
should
be applied
a specified
(13) Schedule
K, Column
A, item 5,
‘‘AFS securities’’
(FR to
Y-9C,
event
or transaction
(or series of related events or transSchedule
HC, items
2(b) and 2(c))
actions)
differs from
the
banking
(14) Schedule
K, Column
A, item
10,reporting
‘‘Assets valued
usingorganization’s
Level 3
measurement
inputs’’ (FRthe
Y-9C,
(14) Schedule
item 7, the bankinterpretation,
Federal
ReserveHC-Q,
may require
Columning
E) organization to reflect the event(s) or transaction(s) in
(15) Schedule
Column
item M.1, ‘‘Held-to-maturity
its FRK,Y-15
inA,accordance
with the Federal Reserve’s
securities’’ (FR Y-9C, Schedule HC, item 2(a))
interpretation and to amend previously submitted reports.
(16) Schedule M, Column A, item 1, ‘‘Total liabilities’’ (FR Y-9C,
The Federal Reserve will consider the materiality of such
Schedule HC, item 21)
event(s)
or transaction(s)
in gross
making
a determination
(17) Schedule
M, Column
A, item 3, ‘‘Total
revenue’’
(FR
about requiring
theplus
banking
organization to apply the
Y-9C, Schedule
HI, item 1(h)
item 5(m))
Federal
and
to amend
(18) Schedule
M, Reserve’s
Column A, interpretation
item 4, ‘‘Total net
revenue’’
(FR previously
submitted
is minus
a qualitative
Y-9C, Schedule
HI, reports.
item 1(h) Materiality
plus item 5(m)
item 2(f))characteris-
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:
(2) (1) Schedule B, item 15, ‘‘Subordinated debt securities’’
(FR Y-9C, Schedule HC, items 19(a) and 19(b))
(3) (2) Schedule B, item 16, ‘‘Commercial paper’’ (FR Y9C, Schedule HC-M, item 14(a))
(4) (3) Schedule D, item 5, ‘‘AFS securities’’ (FR Y-9C,
Schedule HC, items 2(b) and 2(c))
tic of accounting information which is defined in Financial Accounting Standards Board (FASB) Concepts No. 2 (5) (4)
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 (6) (5)
reasonable person relying on the information would have
been changed or influenced by the omission or misstate(7) (6)
ment.’’
Schedule D, item 10, ‘‘Assets valued using Level 3
measurement inputs’’ (FR Y-9C, Schedule HC-Q,
item 7, Column E)
Schedule D, item M.1, ‘‘Held-to-maturity securities’’
(FR Y-9C, Schedule HC, item 2(a))
Schedule F, item 1, ‘‘Total liabilities’’ (FR Y-9C,
Schedule HC, item 21)
The Federal Reserve may require the filing of an amended
FR Y-15 if the report as previously submitted contains (8) (7) Schedule F, item 3, ‘‘Total gross revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m))
significant errors. In addition, a banking organization
must file an amended report when internal or external
(9) (8) Schedule F, item 4, ‘‘Total net revenue’’ (FR Y-9C,
auditors make audit adjustments that result in a restateSchedule HI, item 1(h) plus item 5(m) minus item
ment of financial statements previously submitted to the
2(f)) or the U.S. intermediate holding company of the FBO
Federal Reserve.
If the banking organization files the Country Exposure
The Federal Reserve also requests that banking organizaReport (FFIEC 009) for the same reporting period, then
tions that have restated their prior period financial statethe following data item will be populated automatically:
ments as a result of an acquisition submit revised reports
for the prior year-ends. In the event that certain of the
(1) Schedule E, item 1, ‘‘Foreign claims on an ultimaterequired data are not available, banking organizations
risk basis’’ (FFIEC 009, Schedule C, Part II, Colshould contact the appropriate Federal Reserve Bank for
umns 1 through 10, Total Foreign Countries)
information on submitting revised reports.
If the banking organization files the Regulatory Capital
H. Data Items Automatically Retrieved from Other
Reporting for Institutions Subject to the Advanced CapiReports
tal Adequacy Framework (FFIEC 101) for the same
reporting period, then the following data items will be
Certain data collected on the FR Y-15 may also be
populated automatically:
collected in other reports submitted to the Federal
GEN-4
(2) Schedule L, Column A, item 1, ‘‘Foreign claims on
an ultimate-risk basis’’ (FFIEC 009, Schedule C, Part
II, Columns 1 through 10, Total Foreign Countries)
FR Y-15
General Instructions March 2018
DRAFT
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)
(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)
(13) Schedule H, Column A, item 1(a), “Current exposure of derivative contracts” (FFIEC 101, Schedule A, item 2.4)
(14) Schedule H, Column A, item 1(b), “Potential future exposure (PFE) of derivative contracts” (FFIEC 101, Schedule A, item
2.5)
(15) Schedule H, Column A, item 1(c), “Gross-up for derivatives collateral” (FFIEC 101, Schedule A, item 2.6)
(16) Schedule H, Column A, item 1(d), “Effective notional amount of written credit derivatives” (FFIEC 101, Schedule A, item
2.9)
(17) Schedule H, Column A, item 1(e), “Cash variation margin included as an on-balance sheet receivable” (FFIEC 101,
Schedule A, item 2.7)
(18) Schedule H, Column 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)
(19) Schedule H, Column A, item 1(g), “Effective notional amount offsets and PFE adjustments for sold credit
protection” (FFIEC 101, Schedule A, item 2.10)
(20) Schedule H, Column A, item 2(a), “Gross SFT assets” (FFIEC 101, Schedule A, item 2.12)
(21) Schedule H, Column A, item 2(b), “Counterparty credit risk exposure for SFTs” (FFIEC 101, Schedule A, item 2.14)
(22) Schedule H, Column A, item 2(c), “SFT indemnification and other agent-related exposures” (FFIEC 101, Schedule H, item
2.15)
(23) Schedule H, Column A, item 2(d), “Gross value of offsetting cash payables” (FFIEC 101, Schedule A, item 2.13)
(24) Schedule H, Column A, item 3(a), “Other on-balance sheet assets” (FFIEC 101, Schedule A, item 2.1)
If the banking organization or the U.S. intermediate holding company of the FBO files the FR Y-9LP (Parent Company Only
Financial Statements for Large Holding Companies) for the same reporting period, then the following data item will be
populated automatically:
(1) Schedule A, item M6, "Total nonbank assets" (FR Y-9LP, Schedule PC-B, Line Item 17)
(2) Schedule H, item M6, Column A, "Total nonbank assets" (FR Y-9LP, Schedule PC-B, Line Item 17)
FR Y-15
General Instructions
December 2016
GEN-5
DRAFT
LINE ITEM INSTRUCTIONS FOR
Size Indicator
Schedule A
(as defined in the Glossary for "Category
I Banking Organization", "Category II
Banking Organization", and "Category
III Banking Organization")
Schedule A is to be completed
by domestic U.S. banking
organizations.
domestic U.S. category
I, II and III
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
FR Y-15
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.
A-1
DRAFT
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).
domestic U.S. category I, II and III
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 that are included in items 1(a) and 1(b),
respectively. For advanced approaches banking organizations, report the average current exposure using daily
data and the average PFE using monthly data for the
exempted CCP legs of client-cleared transactions that are
included in items 1(a) and 1(b), respectively.
This item is equivalent to Part 2, line 8 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 1(g) Effective notional amount offsets
and PFE adjustments for sold credit protection.
Report the value of effective notional principal amount
offsets and PFE adjustments for sold credit protection.
For advanced approaches banking organizations, report
the average value of effective notional principal amount
offsets and PFE adjustments for sold credit protection
using monthly data. Offsets include any reduction in the
mark-to-fair value of the sold credit protection that is
recognized in common equity tier 1 capital, along with
the effective notional principal amount of purchased
Schedule A
FR Y-15
June 2018
DRAFT
Schedule A
domestic U.S. category
I, II and III
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.
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 10 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
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).
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
FR Y-15
Schedule A
December 2015
For transactions where the banking organization acts as
an agent and provides an indemnity to a customer, report
the gross fair value of the securities and cash lent for all
transactions within a qualifying master netting agreement
less the gross fair value of the securities and cash
received from the counterparty for those transactions, or
zero, whichever is greater. For advanced approaches
A-3
DRAFT
Schedule A
domestic U.S. category
I, II and III
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 2(e) Total SFT exposures.
The sum of items 2(a) through 2(c), minus item 2(d).
Line Item 3 Other on-balance sheet exposures:
Line Item 3(a) Other on-balance sheet assets.
Report the balance sheet carrying value of all on-balance
sheet assets, including collateral but excluding the
A-4
on-balance sheet assets for derivative transactions and
repo-style transactions. 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 4(a) Gross notional amount of items
subject to a 0% credit conversion factor (CCF).
Report the gross notional amount of off-balance sheet
items subject to a 0% credit conversion factor under the
standardized approach to credit risk (this includes the
unused portion of commitments which are unconditionally cancellable at any time by the bank without prior
1. See www.gpo.gov/fdsys/browse/collectionCfr.action.
Schedule A
FR Y-15
December 2016
DRAFT
Schedule A
domestic U.S. category
I, II and III
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(b) Gross notional amount of items
subject to a 20% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 20% credit conversion factor under the
standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 20% credit conversion
factor under the standardized approach to credit risk.
This would include commitments with an original maturity up to one year that are not unconditionally cancelable
and short-term self-liquidating trade letters of credit
arising from the movement of goods (e.g., documentary
credits collateralized by the underlying shipment). For
more information on the treatment of off-balance sheet
exposures under the standardized approach to credit risk,
see 12 CFR 217.33.
Line Item 4(c) Gross notional amount of items
subject to a 50% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 50% credit conversion factor under the
standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 50% credit conversion
factor under the standardized approach to credit risk.
This includes commitments with an original maturity of
more than one year that are not unconditionally cancelable and transaction-related contingent items such as
performance bonds, bid bonds, warranties, and performance standby letter of credit. For more information on
the treatment of off-balance sheet exposures under the
standardized approach to credit risk, see 12 CFR 217.33.
Line Item 4(d) Gross notional amount of items
subject to a 100% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 100% credit conversion factor under
the standardized approach to credit risk. For advanced
FR Y-15
Schedule A
December 2015
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,
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
A-5
DRAFT
Schedule A
domestic U.S. category I, II and III
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
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.
Line Item M4 Total consolidated assets.
(space)
Report total consolidated on-balance sheet assets. This
item will be prepopulated from Line Item 5 on Schedule
HC-K of the FR Y-9C.
Line Item M5 Total off-balance sheet exposures.
(space)
Item 5 on this schedule minus item M4.
Line Item M6 Total nonbank assets.
(space)
Report total nonbank assets, consistent with the
instructions to Line Item 17 on Schedule PC-B of the
FR Y-9LP. This item will be prepopulated from Line Item
17 on Schedule PC-B of the FR Y-9LP.
A-6
Schedule A
FR Y-15
December 2016
DRAFT
LINE ITEM INSTRUCTIONS FOR
Interconnectedness Indicators
Schedule B
Schedule B is to be completed
by domestic U.S. banking
organizations.
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 brokers, 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). 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
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
transactions. Do not include settlement balances (i.e.,
exposures arising from unsettled transactions). Deposits
This item reflects all holdings of securities issued by
other financial institutions. Report total holdings at fair
value (as defined in the FR Y-9C Glossary entry for ‘‘fair
value’’) in accordance with ASC Topic 820, Fair Value
Measurements (formerly FASB Statement No. 157, Fair
Value Measurements), for securities classified as trading
(including securities for which the fair value option
(FVO) is elected) and available-for-sale (AFS) securities;
report held-to-maturity (HTM) securities at amortized
FR Y-15
Schedule B
June 2018
B-1
DRAFT
Schedule B
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.
Line Item 3(d) Commercial paper.
Report the total holdings of commercial paper of other
financial institutions. For more information on commercial paper, refer to the Glossary entry for ‘‘commercial
paper.’’
Line Item 3(e) Equity securities.
Report the total holdings of equity securities, including
common and preferred shares, of other financial institutions. Include investments in mutual funds (e.g., equity,
bond, hybrid, and money market funds) that are administered outside of the reporting group. Report the entire
mutual fund investment (i.e., do not look through into the
B-2
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.
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
as its own netting set. That is, report the difference (if
positive) between the value of the financial instruments
1. For example, Bank A holds 1,000 shares of Bank B at $10 per share
and has entered into an equity total return swap to short 1,000 Bank B
shares and thereby eliminate market risk. Bank A would report $10,000 for
item 3(e) and $10,000 for item 3(f).
Schedule B
FR Y-15
December 2016
DRAFT
Schedule B
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.
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 11. Include collateral held
only if it is within the master netting agreement (i.e.,
pursuant to legally enforceable credit support annexes).
If applicable, net opposing collateral positions (e.g.,
initial margin posted with variation margin held). Deduct
the net collateral position from the underlying obligation
only if it reduces the overall exposure. If the net collateral
exceeds the payment obligation, record a fair value of
zero for the netting set. If a derivative contract with a
positive fair value is not covered under a qualifying
master netting agreement, the derivative exposure amount
should be included on a gross basis (see the definition of
‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
For more information on netting, refer to ASC Subtopic
210-20, Balance Sheet − Offsetting, and the FR Y-9C
Glossary entry for ‘‘offsetting.’’
Do not include derivative contracts initiated via an
exchange such as ICE, CME, or Eurex (e.g., futures
contracts would not be included).
When acting as a financial intermediary (i.e., where the
banking organization is a counterparty to both the client
and the CCP), report exposures to the CCP. Report
exposures to clients if they fit the definition of financial
institution. In cases where a clearing member bank,
acting as an agent, guarantees the performance of a CCP
to a client, the associated exposure to the client must be
reported.
Line Item 5(b) Potential future exposure.
Report the amount of potential future exposure (PFE),
calculated using the current exposure method, for the
FR Y-15
Schedule B
December 2016
derivatives included in item 5(a). Include the PFE for any
netting sets with a fair value of zero. For more information on determining the PFE refer to 12 CFR 217.34(a).
Line Item 6 Total intra-financial system assets.
The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b),
minus item 3(f).
Intra-Financial System Liabilities
Line Item 7 Deposits due to other financial
institutions:
This section captures information regarding the deposits
held by the banking organization. Do not include settlement balances (i.e., exposures arising from unsettled
transactions) and collected collateral. For more information on deposits, see the FR Y-9C Glossary entry for
“deposits.”
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.
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DRAFT
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
DRAFT
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.
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DRAFT
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
DRAFT
LINE ITEM INSTRUCTIONS FOR
Substitutability Indicators
Schedule C
General Instructions
Schedule C is to be completed
by domestic U.S. banking
organizations.
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
June 2018
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(l) 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.
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DRAFT
Schedule C
must be maintained and made available to supervisors
upon request.
Line Item 1(a) Australian dollars (AUD).
Line Item 1(k) Mexican pesos (MXN).
Report the U.S. dollar equivalent amount of all payments
made in Mexican pesos (MXN) in the last four quarters.
Report the U.S. dollar equivalent amount of all payments
made in Australian dollars (AUD) in the last four quarters.
Line Item 1(l)
Line Item 1(b) Brazilian real (BRL).
Line Item 1(m) United States dollars (USD).
Report the U.S. dollar equivalent amount of all payments
made in Brazilian real (BRL) in the last four quarters.
Report the total value of all payments made in United
States dollars (USD) in the last four quarters.
Line Item 1(c) Canadian dollars (CAD).
Line Item 2 Payments activity.
Report the U.S. dollar equivalent amount of all payments
made in Canadian dollars (CAD) in the last four quarters.
The sum of items 1(a) through 1(m).
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) 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
Swedish krona (SEK).
Report the U.S. dollar equivalent amount of all payments
made in Swedish krona (SEK) in the last four quarters.
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
4. A sub-custodian is an institution that provides custody services on
behalf of another custodian.
Schedule C
FR Y-15
June 2018
DRAFT
Schedule C
for “assets under management,” “assets under administration,” “assets under custody,” and “custodian.” For a
description of custody and safekeeping accounts, refer to
the instructions for the Consolidated Reports of Condition and Income (FFIEC 031 and 041) Schedule RC-T,
item 11.
Underwritten Transactions in Debt and
Equity Markets
Include all underwriting (public and private) over the last
four quarters where the banking organization was obligated to purchase unsold securities. When the underwriting is on a best-efforts basis (i.e., the banking organization is not obligated to purchase the remaining inventory),
only include the securities that were actually sold. For
transactions underwritten by multiple institutions, only
include the portion attributable to the reporting group.
These portions should be reported regardless of whether
or not the bank is acting as the lead underwriter.
Line Item 4 Equity underwriting activity.
Report the total value of all types of equity instruments
underwritten during the last twelve months, excluding
transactions with subsidiaries and/or affiliates and selfled transactions. This includes all types of equity market
transactions such as initial public offerings, additional
offerings of common stocks, units, depositary receipts
(e.g., American depositary receipts (ADRs) and Global
depositary receipts (GDRs)), and rights offerings. Also
include equity-linked transactions such as convertible
bonds, convertible preferred bonds, and exchangeable
bonds. Include all types of transactions at all maturities.
Do not differentiate transactions between front-end, backend, and best-effort transactions. Do not differentiate
with regard to maturity, currency, or market of issuance.
Include equity securities with embedded derivatives, but
exclude stand-alone derivatives underwriting. With
regards to the delineation between securities with embedded derivatives and stand-alone derivatives, use the
existing definitions in GAAP.
The accounting and reporting standards for derivative
instruments, including certain derivative instruments
embedded in other contracts, and for hedging activities
are set forth in ASC Topic 815, Derivatives and Hedging
(formerly FASB Statement No. 133, Accounting for
Derivative Instruments and Hedging Activities, as
amended), which banking organizations must follow for
FR Y-15
Schedule C
December 2016
purposes of this report. ASC Topic 815 requires all
derivatives to be recognized on the balance sheet as
either assets or liabilities at their fair value. See ASC
Topic 815 for the definition of derivatives.
Contracts that do not in their entirety meet the definition
of a derivative instrument, such as bonds, insurance
policies, and leases, may contain ’’embedded’’ derivative
instruments. Embedded derivatives are implicit or explicit
terms within a contract that affect some or all of the cash
flows or the value of other exchanges required by the
contract in a manner similar to a derivative instrument.
The effect of embedding a derivative instrument in
another type of contract (‘‘the host contract’’) is that
some or all of the cash flows or other exchanges that
otherwise would be required by the host contract, whether
unconditional or contingent upon the occurrence of a
specified event, will be modified based on one or more of
the underlyings.
Line Item 5 Debt underwriting activity.
Report the total value of all types of debt instruments
underwritten during the last twelve months, excluding
intra-group or self-led transactions. This includes all
types of underwriting transactions relating to debt securities. Include both secured debt instruments (e.g., covered
bonds, asset-backed security (ABS) transactions, etc.)
and unsecured debt instruments. Include all types of
transactions at all maturities. Do not differentiate transactions between front-end, back-end, and best-effort or
‘‘soft’’ transactions. Do not differentiate with regard to
maturity, currency, or market of issuance. Do not differentiate between sovereign and corporate debt. Do not
include loan underwriting. 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).
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.
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Schedule C
Line Item M1 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 M2 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 M3 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(m) or M1 through M2. Convert
the yearly aggregates to U.S. dollars using the average
exchange rate for the last four quarters. These average
exchange rates must be constructed using a consistent
series of exchange rate quotations. The method used
C-4
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 M4
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
June 2018
DRAFT
LINE ITEM INSTRUCTIONS FOR
Complexity Indicators
Schedule D
General Instructions
Schedule D is to be completed
by domestic U.S. banking
organizations.
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
DRAFT
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
DRAFT
LINE ITEM INSTRUCTIONS FOR
Cross-Jurisdictional Activity Indicators
Schedule E
General Instructions
Schedule E is to be completed
by domestic U.S. banking
organizations.
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
DRAFT
LINE ITEM INSTRUCTIONS FOR
Ancillary Indicators
Schedule F
General Instructions
Schedule F is to be completed
by domestic U.S. banking
organizations.
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
DRAFT
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
DRAFT
LINE ITEM INSTRUCTIONS FOR
Short-Term Wholesale Funding Indicator
Schedule G
Schedule G is to be completed
by domestic U.S. banking
organizations.
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
DRAFT
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
DRAFT
Column B (Combined U.S. Operations. When reporting this schedule H in
LINE ITEM INSTRUCTIONS FOR
Size Indicator
Schedule A
H
Column B, an FBO should utilize the following instructions, which are identical
to the instructions for line item 6 on the FR Y-7Q: In cases where a U.S. affiliate
has a gross due from balance with a foreign affiliate and a gross due to balance
with that same affiliate, the gross due from balance and gross due to balance are
netted. If the result of the netting equals a net due from balance, the net due
from balance is added to the asset calculation. A net due to balance of a U.S.
affiliate with a foreign affiliate is not subtracted from the combined assets
reported. Refer to the Example in the instructions of the FR Y-7Q for further
clarification.
FBO
Category II and III FBOs (as
defined in the Glossary entry
for "Category II Banking
Organization" and "Category
III Banking Organization")
Schedule H is to be completed
by FBOs.
General Instructions
Category
II or III
FBOs
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:
Category
II and III
FBOs
Line Item 1(a) Current exposure of derivative
contracts.
Report the current exposure (i.e., replacement cost) of all
derivative contracts, cleared and non-cleared, net of
FR Y-15
Schedule A
H
Category
II and III
FBOs
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
within theare
reporting
affiliates and consolidated on the banking organization’s
group
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).
When reporting
Column
Line Item 1(b) Potential future exposure (PFE) A
of(IHCs), t
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.
the reporting group
December 2016
the U.S. operations of
the FBO
H
A-1
DRAFT
Schedule A
When reporting
Column A (IHCs), t
H
reporting
group
Category II and III FBOs
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.
used
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).
or would be
Line Item 1(d) Effective notional amount of
written credit derivatives.
reporting
group
H
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, When
Table 13).
reporting
Column A
Line Item 1(f) Exempted central counterparty legs (IHCs), t
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 that are included in items 1(a) and 1(b),
respectively. For advanced approaches banking organizations, report the average current exposure using daily
data and the average PFE using monthly data for the
exempted CCP legs of client-cleared transactions that are
included in items 1(a) and 1(b), respectively.
This item is equivalent to Part 2, line 8 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
Table 13).
Line Item 1(g) Effective notional amount offsets
and PFE adjustments for sold credit protection.
Report the value of effective notional principal amount
offsets and PFE adjustments for sold credit protection.
For advanced approaches banking organizations, report
the average value of effective notional principal amount
offsets and PFE adjustments for sold credit protection
using monthly data. Offsets include any reduction in the
mark-to-fair value of the sold credit protection that is
recognized in common equity tier 1 capital, along with
the effective notional principal amount of purchased
Schedule A
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FR Y-15
June 2018
DRAFT
Schedule A
H
Category II and III FBOs
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
, as applicable,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
the
sold credit protection on the reference exposure (either
reporting through reductions in fair value or by additions to
group
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).
When
reporting
Column A
(IHCs), t
Line Item 1(h) Total derivative exposures.
The sum of items 1(a) through 1(d), minus the sum of
items 1(e) through 1(g).
Line Item 2 Securities financing transaction (SFT)
exposures:
Line Item 2(a) Gross SFT assets.
Report the gross value of on-balance sheet assets related
to securities financing transactions. For advanced
FR Y-15
Schedule A
H
December 2015
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.
When
reporting
This item is equivalent to Part 2, line 12 of the suppleColumn A
mental leverage ratio disclosure table (see 12 CFR
(IHCs), t
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).
reporting
group
Line Item 2(c) SFT indemnification and other
agent-related exposures.
For transactions where the banking organization acts as
an agent and provides an indemnity to a customer, report
the gross fair value of the securities and cash lent for all
transactions within a qualifying master netting agreement
less the gross fair value of the securities and cash
received from the counterparty for those transactions, or
zero, whichever is greater. For advanced approaches
H
A-3
DRAFT
Schedule A
H
Category II and III FBOs
of the
reporting
group
reporting
group
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
When
reporting approaches banking organizations, report the average
Column A gross value of cash payables associated with repurchase
(IHCs), t
agreements that are permitted to offset the cash receivables included in item 2(a), using daily data. Such offset
is permitted when the related SFTs are with the same
counterparty, subject to the same explicit settlement date,
and within a qualifying master netting agreement (see the
definition of ‘‘qualifying master netting agreement’’ in 12
CFR 217.2) and are limited to the gross value of the
related cash receivable.
This item is equivalent to Part 2, line 13 of the supplemental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
Line Item 2(e) Total SFT exposures.
The sum of items 2(a) through 2(c), minus item 2(d).
Line Item 3 Other on-balance sheet exposures:
Line Item 3(a) Other on-balance sheet assets.
Report the balance sheet carrying value of all on-balance
sheet assets, including collateral but excluding the
H
A-4
Report goodwill and intangibles, deferred tax assets,
hedging gains and losses, and other items that are or
would be deducted 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).
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
When reporting
daily data.
Column A (IHCs), t
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 or would
reduce
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.
or would increase
This item is equivalent to Part 2, line 2 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,
When
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 4(a) Gross notional amount of items
subject to a 0% credit conversion factor (CCF).
Report the gross notional amount of off-balance sheet
items subject to a 0% credit conversion factor under the
standardized approach to credit risk (this includes the
unused portion of commitments which are unconditionally cancellable at any time by the bank without prior
1. See www.gpo.gov/fdsys/browse/collectionCfr.action.
reporting
group
Schedule A
H
FR Y-15
December 2016
reporting
Column A
(IHCs), t
DRAFT
Schedule A
H
Category II and III FBOs
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(b) Gross notional amount of items
subject to a 20% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 20% credit conversion factor under the
standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 20% credit conversion
factor under the standardized approach to credit risk.
This would include commitments with an original maturity up to one year that are not unconditionally cancelable
and short-term self-liquidating trade letters of credit
arising from the movement of goods (e.g., documentary
credits collateralized by the underlying shipment). For
more information on the treatment of off-balance sheet
exposures under the standardized approach to credit risk,
see 12 CFR 217.33.
Line Item 4(c) Gross notional amount of items
subject to a 50% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 50% credit conversion factor under the
standardized approach to credit risk. For advanced
approaches banking organizations, report the average
gross notional amount, using monthly data, of offbalance sheet items subject to a 50% credit conversion
factor under the standardized approach to credit risk.
This includes commitments with an original maturity of
more than one year that are not unconditionally cancelable and transaction-related contingent items such as
performance bonds, bid bonds, warranties, and performance standby letter of credit. For more information on
the treatment of off-balance sheet exposures under the
standardized approach to credit risk, see 12 CFR 217.33.
Line Item 4(d) Gross notional amount of items
subject to a 100% CCF.
Report the gross notional amount of off-balance sheet
items subject to a 100% credit conversion factor under
the standardized approach to credit risk. For advanced
FR Y-15
Schedule A
H
December 2015
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).
When
Line Item 5 Total exposures prior to regulatory reporting
Column A
deductions.
(IHCs), t
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? reporting group
Specify whether or not the holding company has reported
the subcomponents of item 5 using average values over
the reporting period. Advanced approaches banking organizations must report this data using averages. Respondents that are not advanced approaches banking organizations may choose to report the data using averages,
though they are not required to do so. Enter a ‘‘1’’ for
Yes; enter a ‘‘0’’ for No.
Memoranda
Line Item M1 Securities received as collateral in
securities lending.
Report the amount of securities included in item 3(a) that
have been received as collateral in principal securities
H
A-5
DRAFT
Schedule A
H
Category II and III FBOs
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
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.
banking organization
Line Item M4 Total assets.
Report the total consolidated assets of the U.S. intermediate holding
company (Column A) or combined U.S. assets (Column B). For
Column A, this line item will be prepopulated from item 5 of
Schedule HC-K on the FR Y-9C.
[space]
For Column B, report the total combined assets of the top-tier FBO’s
U.S. domiciled affiliates, branches, and agencies. In
situations where a U.S. domiciled affiliate is a parent of one or more
subsidiaries, including subsidiaries of subsidiaries, the FBO should
consolidate assets of the affiliate and its subsidiaries at the top-tier
U.S. domiciled affiliate, in accordance with U.S. GAAP, and then the
total consolidated assets (or total assets, as applicable) of each top-tier
U.S. domiciled affiliate, branch, and agency should be combined.
Total combined assets reported by top-tier FBOs should exclude
intercompany balances and intercompany transactions between the
FBO’s U.S. domiciled affiliates, branches, or agencies to the extent
such items are not already eliminated in consolidation. However,
total combined assets reported by top-tier FBOs should include net
intercompany balances and intercompany transactions between a
non-U.S. domiciled affiliate and a U.S. domiciled affiliate, branch, or
agency of the FBO.
H
A-6
Line Item M5 Total off-balance sheet exposures.
Item 5 on this schedule minus Item M4.
Line Item M6 Total nonbank assets.
(space)
Report total nonbank assets of the U.S. intermediate
holding company (Column A) or combined U.S. assets
(Column B). For Column A, this line item will be
prepopulated from item 17 on Schedule PC-B of the
FR Y-9LP. For Column B, this line item should be
calculated in accordance with the definition of total
nonbank assets in 12 CFR 252.2.
Schedule A
H
FR Y-15
December 2016
DRAFT
LINE ITEM INSTRUCTIONS FOR
Interconnectedness Indicators
Schedule B
I
FBO
reporting group
Schedule I is to be completed
by FBOs.
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 brokers, 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). 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
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
transactions. Do not include settlement balances (i.e.,
exposures arising from unsettled transactions). Deposits
This item reflects all holdings of securities issued by
other financial institutions. Report total holdings at fair
value (as defined in the FR Y-9C Glossary entry for ‘‘fair
value’’) in accordance with ASC Topic 820, Fair Value
Measurements (formerly FASB Statement No. 157, Fair
Value Measurements), for securities classified as trading
(including securities for which the fair value option
(FVO) is elected) and available-for-sale (AFS) securities;
report held-to-maturity (HTM) securities at amortized
FR Y-15
Schedule B
I
June 2018
For the purposes of items 1-12, respondents should
include only assets and liabilities related to
transactions with unaffiliated financial institutions
(i.e., unaffiliated third-party financial institutions).
I
B-1
DRAFT
Schedule B
I
, as applicable
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.
Line Item 3(b) Senior unsecured debt securities.
Report the total holdings of senior unsecured debt securities.
Line Item 3(c) Subordinated debt securities.
Report the total holdings of subordinated debt securities.
Line Item 3(d) Commercial paper.
Report the total holdings of commercial paper of other
financial institutions. For more information on commercial paper, refer to the Glossary entry for ‘‘commercial
paper.’’
Line Item 3(e) Equity securities.
Report the total holdings of equity securities, including
common and preferred shares, of other financial institutions. Include investments in mutual funds (e.g., equity,
bond, hybrid, and money market funds) that are administered outside of the reporting group. Report the entire
mutual fund investment (i.e., do not look through into the
B-2
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
reporting group value of the securities received.
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.
I
fund to determine the underlying holdings). Include
assets that are held for trading, available for sale, and
held to maturity.
reporting
group's
Line Item 3(f) Offsetting short positions in relation
to the specific equity securities included in item 3(e).
(b) Net positive repurchase agreement exposure, where
the fair value of the securities provided exceeds the
value of the cash received.
(c) Net positive securities lending exposure, where the
fair value of securities lent exceeds the value of cash
collateral received (or the fair value of non-cash
collateral received).
(d) Net positive securities borrowing exposure, where
the value of cash collateral provided (or the fair value
of non-cash collateral provided) exceeds the fair
value of securities borrowed.
The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents the
single legally owed amount per netting set. Net multiple
transactions only when the transactions are covered by a
qualifying master netting agreement (see the definition of
‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
For transactions that are not subject to a qualifying
master netting agreement, report the exposure on a
transaction-by-transaction basis, with each SFT treated
as its own netting set. That is, report the difference (if
positive) between the value of the financial instruments
1. For example, Bank A holds 1,000 shares of Bank B at $10 per share
and has entered into an equity total return swap to short 1,000 Bank B
shares and thereby eliminate market risk. Bank A would report $10,000 for
item 3(e) and $10,000 for item 3(f).
Schedule B
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FR Y-15
December 2016
DRAFT
Schedule B
I
reporting group
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.
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.
reporting
group
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 11. Include collateral held
only if it is within the master netting agreement (i.e.,
pursuant to legally enforceable credit support annexes).
If applicable, net opposing collateral positions (e.g.,
initial margin posted with variation margin held). Deduct
the net collateral position from the underlying obligation
only if it reduces the overall exposure. If the net collateral
exceeds the payment obligation, record a fair value of
zero for the netting set. If a derivative contract with a
positive fair value is not covered under a qualifying
master netting agreement, the derivative exposure amount
should be included on a gross basis (see the definition of
‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
For more information on netting, refer to ASC Subtopic
210-20, Balance Sheet − Offsetting, and the FR Y-9C
Glossary entry for ‘‘offsetting.’’
Do not include derivative contracts initiated via an
exchange such as ICE, CME, or Eurex (e.g., futures
contracts would not be included).
When acting as a financial intermediary (i.e., where the
banking organization is a counterparty to both the client
and the CCP), report exposures to the CCP. Report
exposures to clients if they fit the definition of financial
institution. In cases where a clearing member bank,
acting as an agent, guarantees the performance of a CCP
to a client, the associated exposure to the client must be
reported.
Line Item 5(b) Potential future exposure.
Report the amount of potential future exposure (PFE),
calculated using the current exposure method, for the
FR Y-15
Schedule B
I
December 2016
derivatives included in item 5(a). Include the PFE for any
netting sets with a fair value of zero. For more information on determining the PFE refer to 12 CFR 217.34(a).
Line Item 6 Total intra-financial system assets.
The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b),
minus item 3(f).
Intra-Financial System Liabilities
Line Item 7 Deposits due to other financial
institutions:
reporting group
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.
I
B-3
DRAFT
Schedule B
I
(see instructions on
consolidation in General
Instructions)
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
I
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 reporting
credit support annexes). If applicable, net opposing col- group
lateral 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
I
FR Y-15
December 2016
DRAFT
Schedule B
I
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 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.
reporting group
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.
Line Item 12 Total intra-financial system
liabilities.
The sum of items 7(a) through 11(b).
Securities Outstanding
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
reporting group
with an ISIN number).
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 more information on certificates of deposit, refer to
the Glossary entry for ‘‘certificate of deposit.’’
Line Item 18 Common equity.
, as applicable
Report the fair value of outstanding common equity. For
publicly traded shares, report the closing share price
For items 13 through 17, provide the book value (i.e.,
multiplied by the number of shares outstanding. Do not
carrying amount) of the securities. Note that this value
report non-publicly traded shares or any other shares for
will depend on the applicable accounting classification
which a market price is unavailable. For shares issued by
and measurement, and thus may reflect the amortized
consolidated subsidiaries, only include those shares that
cost of the securities, the fair value of the securities, or a
were issued to third parties. Do not include certificates of
mixture of the two.
reporting group, mutual banks.
Line Item 13 Secured debt securities. as applicable
Line Item 19 Preferred shares and other forms of
Report the book value of all outstanding secured debt
subordinated funding not captured in item 15.
securities (e.g., covered bonds and REIT preferred secuReport the fair value of outstanding preferred shares and
rities) issued by the banking organization. Do not include
other forms of subordinated funding not captured in item
advances from Federal Home Loan Banks (FHLB). Do
15 (e.g., savings shares and silent partnerships). For
not include standby letters of credit. Note that this item is
publicly traded shares, report the closing share price
not designed to capture collateralized trades. Instead, the
multiplied by the number of shares outstanding. Do not
item is capturing capital that has been raised through the
report non-publicly traded shares. Include shares issued
issuance of secured debt.
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
I
December 2016
reporting group
Line Item 20 Total securities outstanding.
The sum of items 13 through 19.
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DRAFT
Schedule B
I
reporting group
Memoranda
Line Item M1 Standby letters of credit extended
to other financial institutions.
Report the amount of financial and performance standby
letters of credit extended to other financial institutions. A
financial standby letter of credit irrevocably obligates the
banking organization to pay a third-party beneficiary
when a customer fails to repay an outstanding loan or
debt instrument. A performance standby letter of credit
irrevocably obligates the banking organization to pay a
third-party beneficiary when a customer fails to perform
some contractual non-financial obligation. For more
information, refer to FR Y-9C, Schedule HC-L, items 2
and 3.
reporting group
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B-6
Schedule B
I
FR Y-15
December 2015
DRAFT
LINE ITEM INSTRUCTIONS FOR
Substitutability Indicators
FBO
Schedule C
J
General Instructions
Schedule J is to be completed by FBOs.
Payments Activity
Line Item 1 Payments made in the last four
quarters.
reporting group
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
J
June 2018
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(l) 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.
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DRAFT
Schedule C
J
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 Mexican pesos (MXN) in the last four quarters.
Report the U.S. dollar equivalent amount of all payments
made in Australian dollars (AUD) in the last four quarters.
Line Item 1(l)
Line Item 1(b) Brazilian real (BRL).
Line Item 1(m) United States dollars (USD).
Report the U.S. dollar equivalent amount of all payments
made in Brazilian real (BRL) in the last four quarters.
Report the total value of all payments made in United
States dollars (USD) in the last four quarters.
Line Item 1(c) Canadian dollars (CAD).
Line Item 2 Payments activity.
Report the U.S. dollar equivalent amount of all payments
made in Canadian dollars (CAD) in the last four quarters.
The sum of items 1(a) through 1(m).
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(d) Swiss francs (CHF).
Assets Under Custody
Report the U.S. dollar equivalent amount of all payments
made in Swiss francs (CHF) in the last four quarters.
Line Item 3 Assets held as a custodian on behalf
of customers. reporting group
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).group
reporting
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) Japanese yen (JPY).
Report the U.S. dollar equivalent amount of all payments
made in Japanese yen (JPY) in the last four quarters.
J
Line Item 1(k) Mexican pesos (MXN).
C-2
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
any
part of The
the reporting
custody.
value of the assets should reflect the
group
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
4. A sub-custodian is an institution that provides custody services on
behalf of another custodian.
Schedule C
J
FR Y-15
June 2018
DRAFT
Schedule C
J
for “assets under management,” “assets under administration,” “assets under custody,” and “custodian.” For a
description of custody and safekeeping accounts, refer to
the instructions for the Consolidated Reports of Condition and Income (FFIEC 031 and 041) Schedule RC-T,
item 11.
Underwritten Transactions in Debt and
reporting group
Equity Markets
reporting
group
Include all underwriting (public and private) over the last
four quarters where the banking organization was obligated to purchase unsold securities. When the underwriting is on a best-efforts basis (i.e., the banking organization is not obligated to purchase the remaining inventory),
only include the securities that were actually sold. For
transactions underwritten by multiple institutions, only
include the portion attributable to the reporting group.
These portions should be reported regardless of whether
or not the bank is acting as the lead underwriter.
Line Item 4 Equity underwriting activity.
Report the total value of all types of equity instruments
underwritten during the last twelve months, excluding
transactions with subsidiaries and/or affiliates and selfled transactions. This includes all types of equity market
transactions such as initial public offerings, additional
offerings of common stocks, units, depositary receipts
(e.g., American depositary receipts (ADRs) and Global
depositary receipts (GDRs)), and rights offerings. Also
include equity-linked transactions such as convertible
bonds, convertible preferred bonds, and exchangeable
bonds. Include all types of transactions at all maturities.
Do not differentiate transactions between front-end, backend, and best-effort transactions. Do not differentiate
with regard to maturity, currency, or market of issuance.
Include equity securities with embedded derivatives, but
exclude stand-alone derivatives underwriting. With
regards to the delineation between securities with embedded derivatives and stand-alone derivatives, use the
existing definitions in GAAP.
The accounting and reporting standards for derivative
instruments, including certain derivative instruments
embedded in other contracts, and for hedging activities
are set forth in ASC Topic 815, Derivatives and Hedging
(formerly FASB Statement No. 133, Accounting for
Derivative Instruments and Hedging Activities, as
amended), which banking organizations must follow for
FR Y-15
Schedule C
J
December 2016
the respondent
purposes of this report. ASC Topic 815 requires all
derivatives to be recognized on the balance sheet as
either assets or liabilities at their fair value. See ASC
Topic 815 for the definition of derivatives.
Contracts that do not in their entirety meet the definition
of a derivative instrument, such as bonds, insurance
policies, and leases, may contain ’’embedded’’ derivative
instruments. Embedded derivatives are implicit or explicit
terms within a contract that affect some or all of the cash
flows or the value of other exchanges required by the
contract in a manner similar to a derivative instrument.
The effect of embedding a derivative instrument in
another type of contract (‘‘the host contract’’) is that
some or all of the cash flows or other exchanges that
otherwise would be required by the host contract, whether
unconditional or contingent upon the occurrence of a
specified event, will be modified based on one or more of
the underlyings.
Line Item 5 Debt underwriting activity.
Report the total value of all types of debt instruments
underwritten during the last twelve months, excluding
intra-group or self-led transactions. This includes all
types of underwriting transactions relating to debt securities. Include both secured debt instruments (e.g., covered
bonds, asset-backed security (ABS) transactions, etc.)
and unsecured debt instruments. Include all types of
transactions at all maturities. Do not differentiate transactions between front-end, back-end, and best-effort or
‘‘soft’’ transactions. Do not differentiate with regard to
maturity, currency, or market of issuance. Do not differentiate between sovereign and corporate debt. Do not
include loan underwriting. 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).
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.
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C-3
DRAFT
Schedule C
J
Line Item M1 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 M2 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 M3 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(m) or M1 through M2. Convert
the yearly aggregates to U.S. dollars using the average
exchange rate for the last four quarters. These average
exchange rates must be constructed using a consistent
series of exchange rate quotations. The method used
J
C-4
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 M4
provided.
Unsecured settlement/clearing lines
reporting group's
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.
reporting group
Schedule C
J
FR Y-15
June 2018
DRAFT
LINE ITEM INSTRUCTIONS FOR
Complexity Indicators
FBO
Schedule D
K
General Instructions
Schedule K is to be completed by FBOs.
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
reporting group
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
K
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
K
March 2018
D-1
DRAFT
Schedule D
K
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.’’
reporting group
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.
K
K
D-2
Schedule D
FR Y-15
March 2018
DRAFT
LINE ITEM INSTRUCTIONS FOR
Cross-Jurisdictional Activity Indicators
FBO
Schedule E
L
General Instructions
Schedule L is to be completed by FBOs.
Cross-Jurisdictional Claims
Line Item 1
basis.
Foreign claims on an ultimate-risk
U.S. operations of the FBO.
Include liabilities between a
domestic office and foreign office
of the FBO.
foreign
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.
reporting
group's
Line Item 2(a) Any foreign liabilities to related
offices included in item 2.
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.
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.
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
U.S. operations of the FBO
Line Item 1(a) Adjusted foreign claims on an ultimate-risk basis
(space)
Report the adjusted 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). Exposure amounts for claims with a foreign office
reported in line item 1(a) should be calculated in accordance with the
methodology for collateralized transactions in 12 CFR 217.37 of the
capital rule and the definition of financial collateral in 12 CFR 217.2
of the capital rule.
FR Y-15
Schedule E December 2016
L
Line Item 4
Local liabilities in local currency.
Total cross-jurisdictional liabilities.
The sum of items 2 and 3 minus item 2(a).
Line Item 5
Cross-jurisdictional activity
(space)
The sum of items 1(a) and 4.
L
E-1
DRAFT
LINE ITEM INSTRUCTIONS FOR
Ancillary Indicators
Schedule F
M
General Instructions
Schedule M is to be completed by FBOs.
parent FBO's
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.
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
reporting group
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.
Report total net revenue, which is defined as interest
income plus noninterest income minus interest expense
Line Item 7 Gross value of cash received and
(FR Y-9C, Schedule HI, item 1(h) plus item 5(m) minus
gross fair value of securities received in SFTs.
item 2(f)).
or office of a U.S.
Report the gross value of all cash received and the gross
entity that is
Line Item 5 Foreign net revenue.
fair value of all securities received in the incoming legs
of securities financing transactions. Only include transacReport the net revenue, defined as interest income plus
tions completed by the banking organization on its own
noninterest income minus interest expense, from all
behalf. Include variation margin received, but do not
foreign offices. For purposes of this report, a foreign
include any counterparty netting. Include the incoming
office of a reporting banking organization is a branch or
legs associated with repurchase and reverse repurchase
consolidated subsidiary located outside of the organizaagreements, and securities lending and borrowing. Do
tion’s home country (i.e., the country where the banking
not include incoming legs associated with conduit lendorganization is headquartered); an Edge or Agreement
ing and margin lending transactions.
subsidiary, including both its U.S. and its foreign offices;
FR Y-15
Schedule F
December 2015
M
U.S.
M
F-1
DRAFT
Schedule F
M
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.
M
Line Item 10 Number of jurisdictions.
U.S. operations of
the FBO have
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.
, or would be,
M
F-2
Schedule F
FR Y-15
December 2016
DRAFT
LINE ITEM INSTRUCTIONS FOR
Short-Term Wholesale Funding Indicator
FBO
Schedule G
N
for U.S. intermediate holding companies, and in column B
for the combined U.S. operations of the FBO.
Schedule N is to be completed by FBOs.
This schedule uses the netting instructions
and rules of consolidation from the FR
2052a.
General Instructions
C for U.S. intermediate holding companies, and in
column D for the combined U.S. operations of the FBO.
Short-Term Wholesale Funding
Line Item 1 First tier:
Respondents that have $700 billion or more in total
consolidated assets or $10 trillion or more in assets under
Line Item 1(a) Funding secured by level 1 liquid
custody must complete this schedule starting with the
assets.
December 31, 2016 as-of date. Respondents that have
Report the value of secured funding transactions secured
less than $10 trillion in assets under custody and less than
by level 1 liquid assets. For more information, see the
$700 billion in total consolidated assets, but have $250
Glossary entry for ‘‘secured funding transaction.’’ For the
billion or more in total consolidated assets or $10 billion
definition of level 1 liquid assets, see 12 CFR 249.20.
or more in on-balance sheet foreign exposure must start
filing this schedule starting with the December 31, 2017
Line Item 1(b) Retail brokered deposits and
as-of date. Respondents with at least $50 billion in total
sweeps.
consolidated assets, but less than $250 billion in total
consolidated assets; and less than $10 billion in
Report the value of brokered deposits and sweeps proon-balance-sheet foreign exposure must complete this
vided by retail customers or counterparties. For more
schedule starting with the June 30, 2018 as-of date.
information, see the Glossary entries for “brokered
N
deposits” and “brokered sweep deposits.”
Unless otherwise specified in the line item instructions,
for the items in Schedule G, report the average value
Line Item 1(c) Unsecured wholesale funding
calculated over the last twelve months (e.g., data reported
obtained outside of the financial sector.
as-of March would include observations made from April
1 of the previous year through March 31 of the current
Report the value of unsecured wholesale funding where
year). Banking organizations that have reported the Comthe customer or counterparty is not a financial sector
plex Institution Liquidity Monitoring Report (FR 2052a)
entity or a consolidated subsidiary of a financial sector
daily for the last twelve months must report the average
entity (as defined in 12 CFR 249.3). For more informavalue using daily data. All other respondents must report
tion, see the Glossary entry for ‘‘unsecured wholesale
the average value using monthly data (i.e., provide the
funding.’’
average of the twelve month-end balances within the last
four quarters). for the U.S. operations of the FBO
Line Item 1(d) Firm short positions involving
level 2B liquid assets or non-HQLA.
Note that the values associated with each item are
divided into four maturity buckets. Report funding with a
Report the value of firm short positions involving level
remaining maturity of 30 days or less, along with funding
2B liquid assets or assets that do not qualify as highwith no maturity date, in column A. Report funding with
quality liquid assets (HQLA). For the list of assets that
a remaining maturity of 31 to 90 days in column B.
are level 2B liquid assets and a definition of HQLA, see
Report funding with a remaining maturity of 91 to 180
12 CFR 249.20 and 249.3, respectively.
days in column C. Finally, report funding with a remainLine Item 1(e) Total first tier short-term
ing maturity of 181 to 365 days in column D.
wholesale funding.
E for U.S. intermediate holding companies, and in
column F for the combined U.S. operations of the
The sum of items 1(a) through 1(d).
FBO.
G for U.S. intermediate holding companies, and in
N
FR Y-15
G-1
column H for the combined U.S. operations of the
Schedule G December 2016
FBO.
N
DRAFT
Schedule G
N
Line Item 2 Second tier:
Line Item 2(a)
assets.
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.”
Funding secured by level 2A liquid
Line Item 3(d) Total third tier short-term
wholesale funding.
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).
The sum of items 3(a) through 3(c).
Line Item 4 All other components of short-term
wholesale funding.
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.
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.
-B
Line Item 5
by maturity.
Total short-term wholesale funding,
Line Item 2(c) Total second tier short-term
wholesale funding.
Column A: The sum of 0.25 times item 1(e), 0.5 times
C - D item 2(c), 0.75 times item 3(d), and item 4.
The sum of items 2(a) and 2(b).
E-F
Line Item 3
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.
Third tier:
G - H 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.
Line Item 3(a) Funding secured by level 2B liquid
Column D: The sum of zero times item 1(e), zero times
assets.
item 2(c), 0.1 times item 3(d), and 0.25 times item 4.
Report the value of secured funding transactions secured
by level 2B liquid assets. For more information, see the
Line Item 6 Total short-term wholesale funding.
Glossary entry for “secured funding transaction.” For the
The sum of item 5, Columns A through D.
list of assets that are level 2B liquid assets, see 12 CFR
249.20.
Line Item 7 Average risk-weighted assets.
Line Item 3(b)
Other covered asset exchanges.
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
N
G-2
Short-term wholesale funding metric.
Item 6 divided by item 7.
This line item is only reported for
IHCs in Column A. Do not report
this item in Column B.
Column A: Report the sum of A, C, E, and G in Item 5.
Column B: Report the sum of B, D, F, and H in Item 5.
Schedule G
N
FR Y-15
December 2016
DRAFT
LINE ITEM INSTRUCTIONS FOR
Optional Narrative Statement
respondent
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
DRAFT
Glossary
Category I Banking Organization: Pursuant to 12 CFR 252.5, a domestic U.S. banking
organization identified as a global systemically important bank ("G-SIB").
Category II Banking Organization: Pursuant to 12 CFR 252.5 or 12 CFR 238.10, (a) a domestic
U.S. banking organization or U.S. intermediate holding company with $700 billion or more in total
consolidated assets; (b) a foreign banking organization with $700 billion or more in combined U.S.
assets; (c) a domestic U.S. banking organization or U.S. intermediate holding company with at least
$100 billion in total consolidated assets and $75 billion or more in cross-jurisdictional activity; or
(d) a foreign banking organization with at least $100 billion in combined U.S. assets and $75 billion
or more in cross-jurisdictional activity.
Category III Banking Organization: Pursuant to 12 CFR 252.5 or 12 CFR 238.10, (a) a domestic
U.S. banking or U.S. intermediate holding organization with $250 billion or more in total
consolidated assets; (b) a foreign banking organization with $250 billion or more in combined U.S.
assets, (c) a domestic U.S. banking organization or U.S. intermediate holding company with at least
$100 billion in total consolidated assets and at least $75 billion in one of three risk-based indicators
(nonbank assets, weighted short-term wholesale funding, or off-balance-sheet exposure); or (d) a
foreign banking organization with at least $100 billion in combined U.S. assets and at least $75
billion in at least one of three risk-based indicators (nonbank assets, weighted short-term wholesale
funding, or off-balance-sheet exposure).
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).
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
Assets under Custody: Assets under custody are securibanking organization and the counterparty agreed to
ties or other assets that are held by a banking organizareturn such assets to each other at a future date. Categotion or subsidiary of the banking organization on behalf
Bank Holding Company: bank holding company is defined
ries of assets, in descending order of liquidity, are level 1
of a customer under a safekeeping arrangement. For
in 12 CFR 252.2.
liquid assets, level 2A liquid assets, level 2B liquid
additional information see the FR Y-9C glossary entry
assets, and assets that are not high-quality liquid assets
for ‘‘Custody Account.’’
(HQLA). Covered asset exchanges do not include secured
Brokered Deposit: Brokered deposit is defined in 12
funding transactions. For the list of assets that are level 1,
CFR 249.3.
level 2A, and level 2B liquid assets and a definition of
HQLA, see 12 CFR 249.20 and 249.3, respectively.
Brokered Sweep Deposit: A brokered sweep deposit is a
Custodian: For the purposes of the FR Y-15, a custodian
deposit held at a banking organization by a customer or
is defined as a bank or other organization (e.g., securities
counterparty through a contractual feature that automatifirms and trust companies) that manages or administers
cally transfers to the banking organization from another
the custody or safekeeping of stock certificates, debt
regulated financial company at the close of each business
FR Y–15
Glossary December 2016
Covered Savings and Loan Holding Company: covered
savings and loan holding company is defined in 12 CFR
238.10.
GL-1
DRAFT
Glossary
Non-U.S. affiliate: subsidiaries, associated companies, and
corporate joint ventures of a respondent, as those terms as
defined in the Glossary of the FR Y-9C, that are located
outside the United States.
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
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).
U.S. Bank Holding Company: U.S. bank holding company
is defined in 12 CFR 252.2.
U.S. Covered Savings and Loan Holding Company: U.S.
savings and loan holding company is defined in 12 CFR
238.10.
GL-2
Glossary
FR Y–15
December 2015
DRAFT
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Interseries
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TargetItem MDRM
Number
F1
RISK2948
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RISKM362
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A2a
RISKM334
Edit Test
Alg Edit Test
F1 should be less than HC-12.
B6 should be less than HC-12.
B12 should be less than HC-12.
If A6 equals zero, then A2a should be greater
than or equal to HC-3b.
A2a should not be negative.
A-Mem1 should not be negative.
A-Mem2 should not be negative.
A1c should not be negative.
A1e should not be negative.
A1f should not be negative.
A1g should not be negative.
A2c should not be negative.
A2d should not be negative.
A3a should not be negative.
A1a should not be negative.
A2b should not be negative.
A1b should not be negative.
A-Mem3 should not be negative.
A4a should not be negative.
A4b should not be negative.
A4c should not be negative.
A4d should not be negative.
D6 should be less than A5.
B1 should not be negative.
B1a should not be negative.
B2 should not be negative.
B3a should not be negative.
B3b should not be negative.
B3c should not be negative.
B3d should not be negative.
B3e should not be negative.
B3f should be less than or equal to B3e
risk2948 lt bhck2170
riskm362 lt bhck2170
riskm370 lt bhck2170
if riskfc52 eq 0, then riskm334 ge bhckb989
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riskm334 ge 0
riskm335 ge 0
riskm336 ge 0
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RISKY823 ge 0
RISKY824 ge 0
RISKY825 ge 0
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RISKY828 ge 0
RISKY830 ge 0
riskm337 ge 0
riskn507 ge 0
riskm339 ge 0
riskm341 ge 0
riskm342 ge 0
riskm718 ge 0
riskm346 ge 0
riskm347 ge 0
riskm414 lt risky832
riskm351 ge 0
riskm355 ge 0
riskj458 ge 0
riskm352 ge 0
riskm353 ge 0
riskm354 ge 0
riskm345 ge 0
riskm356 ge 0
riskm357 le riskm356
riskm357 ge 0
riskm358 ge 0
riskm432 ge riskm358
FR Y-15: EDIT-1 of 3
DRAFT
Quality (Q) Edits for the FR Y-15
(Effective as of June 30, 2018)
Series Effective
Start Date
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
Effective
End Date
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
Edit Change Schedule Edit Type
No change
No change
No change
No change
No Change
No Change
No Change
No Change
B
B
B
B
B
B
B
F
FRY15 20151231
FRY15 20151231
FRY15 20151231
99991231
99991231
99991231
No Change
No Change
No Change
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
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
No Change
No Change
No Change
No Change
No Change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
Revised
Revised
Revised
Revised
Revised
Revised
No change
No change
No change
No change
20151231
20151231
20151231
20151231
20151231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20141231
20180630
20180630
20180630
20180630
20180630
20180630
20141231
20141231
20141231
20141231
June 2018
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Edit
Number
9020
9020
9020
9020
9020
9020
9020
3067
TargetItem MDRM
Number
B5a
RISKM359
B5b
RISKM360
B7a
RISKM363
B7b
RISKM364
B9
RISKM365
B8
RISKY833
B10
RISKM366
F7
RISKM433
Edit Test
Alg Edit Test
B5a should not be negative.
B5b should not be negative.
B7a should not be negative.
B7b should not be negative.
B9 should not be negative.
B8 should not be negative.
B10 should not be negative.
F7 should be greater than or equal to B10
riskm359 ge 0
riskm360 ge 0
riskm363 ge 0
riskm364 ge 0
riskm365 ge 0
RISKY833 ge 0
riskm366 ge 0
riskm433 ge riskm366
B
B
F
Quality
Quality
Quality
9020
9020
3070
B11a
B11b
F1
RISKM367 B11a should not be negative.
RISKM368 B11b should not be negative.
RISK2948 F1 should be greater than or equal to B12.
riskm367 ge 0
riskm368 ge 0
risk2948 ge riskm370
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
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
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
B13
B14
B17
B18
B19
C1a
C1b
C1c
C1d
C1e
C1f
C1g
C1h
C1i
C1j
C1l
C1m
C1k
C-Mem1
C-Mem2
C-Mem3
C3
C4
C5
D1
RISKM371
RISKM372
RISKM374
RISKM375
RISKN509
RISKM377
RISKM378
RISKM379
RISKM380
RISKM381
RISKM382
RISKM383
RISKM384
RISKM385
RISKM386
RISKM387
RISKM388
RISKY835
RISKY836
RISKY837
RISKM389
RISKM405
RISKM406
RISKM407
RISKM409
riskm371 ge 0
riskm372 ge 0
riskm374 ge 0
riskm375 ge 0
riskn509 ge 0
riskm377 ge 0
riskm378 ge 0
riskm379 ge 0
riskm380 ge 0
riskm381 ge 0
riskm382 ge 0
riskm383 ge 0
riskm384 ge 0
riskm385 ge 0
riskm386 ge 0
riskm387 ge 0
riskm388 ge 0
RISKY835 ge 0
RISKY836 ge 0
RISKY837 ge 0
riskm389 ge 0
riskm405 ge 0
riskm406 ge 0
riskm407 ge 0
riskm409 ge 0
B13 should not be negative.
B14 should not be negative.
B17 should not be negative.
B18 should not be negative.
B19 should not be negative.
C1a should not be negative.
C1b should not be negative.
C1c should not be negative.
C1d should not be negative.
C1e should not be negative.
C1f should not be negative.
C1g should not be negative.
C1h should not be negative.
C1i should not be negative.
C1j should not be negative.
C1l should not be negative.
C1m should not be negative.
C1k should not be negative.
C-Mem1 should not be negative.
C-Mem2 should not be negative.
C-Mem3 should not be negative.
C3 should not be negative.
C4 should not be negative.
C5 should not be negative.
D1 should not be negative.
FR Y-15: EDIT-2 of 3
DRAFT
Quality (Q) Edits for the FR Y-15
(Effective as of June 30, 2018)
Series Effective
Start Date
FRY15 20141231
FRY15 20141231
FRY15 20131231
Effective
End Date
99991231
99991231
99991231
Edit Change Schedule Edit Type
No change
No change
No change
D
D
D
FRY15
FRY15
FRY15
FRY15
FRY15
20141231
20141231
20151231
20141231
20141231
99991231
99991231
99991231
99991231
99991231
No change
No change
No Change
No change
No change
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
20141231
20141231
20141231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20151231
20180630
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
No change
No change
No change
No Change
No Change
No Change
No Change
No Change
No Change
No Change
No Change
Revised
June 2018
Quality
Quality
Quality
Edit
Number
9040
9040
3095
TargetItem MDRM
Number
D2
RISKM410
D4
RISKM412
D6
RISKM414
D
D
E
E
E
Quality
Quality
Quality
Quality
Quality
9040
9040
9050
9050
3140
E
E
F
F
F
F
F
F
F
F
F
C
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
Quality
9050
9050
9060
3150
3160
3170
3180
9060
9060
9060
9060
9060
Edit Test
Alg Edit Test
riskm410 ge 0
riskm412 ge 0
(riskn510 + riskn511) le riskm414
D7
D8
E1
E2
E2
D2 should not be negative.
D4 should not be negative.
Sum of D7 and D8 should be less than or equal
to D6
RISKN510 D7 should not be negative.
RISKN511 D8 should not be negative.
RISKM422 E1 should not be negative.
RISKM423 E2 should not be negative.
RISKM423 E2a should be less than or equal to E2.
E2a
E3
F2
F4
F5
F3
F5
F6
F7
F8
F9
C-Mem4
RISKM424
RISKM425
RISKM427
RISKM428
RISKM429
RISKM430
RISKM429
RISKM432
RISKM433
RISKM434
RISKM435
RISKM436
riskm424 ge 0
riskm425 ge 0
riskm427 ge 0
riskm428 lt 100000000000
riskm429 le riskm428
riskm430 gt riskm428
riskm429 lt 100000000000
riskm432 ge 0
riskm433 ge 0
riskm434 ge 0
riskm435 ge 0
riskm436 ge 0
E2a should not be negative.
E3 should not be negative.
F2 should not be negative.
F4 should be less than 100 trillion.
F5 should be less than or equal to F4.
F3 should be greater than F4.
F5 should be less than 100 trillion.
F6 should not be negative.
F7 should not be negative.
F8 should not be negative.
F9 should not be negative.
C-Mem4 should not be negative.
riskn510 ge 0
riskn511 ge 0
RISKM422 ge 0
riskm423 ge 0
riskm424 le riskm423
FR Y-15: EDIT-3 of 3
DRAFT
Validity (V) Edits for the FR Y-15
(Effective as of June 30, 2018)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective
Start Date
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20160930
Effective
End Date
99991231
99991231
99991231
99991231
99991231
99991231
99991231
Edit
Change
No change
No change
No change
No change
No change
No change
No change
Schedule Edit Type Edit
Number
Page 1
Validity
0100
Page 1
Validity
0105
Page 1
Validity
0110
Page 1
Validity
0115
Page 1
Validity
0120
Page 1
Validity
0125
A
Validity
0130
TargetItem MDRM
Number
CFO
RISKC490
DATESIGN RISKJ196
CONTACTN RISK8901
CONTACTP RISK8902
CONTACTF RISK9116
CONTACTE RISK4086
A2a
RISKM334
FRY15 20151231 99991231 No change A
FRY15 20151231 99991231 No change A
FRY15 20160930 99991231 No change A
Validity
Validity
Validity
0135
0140
0145
A-Mem1
A-Mem2
A1a
RISKM335
RISKM336
RISKM337
FRY15 20160930 99991231 No change A
Validity
0148
A1c
RISKY822
FRY15 20160930 99991231 No change A
Validity
0152
A1e
RISKY823
FRY15 20160930 99991231 No change A
Validity
0153
A1f
RISKY824
FRY15 20160930 99991231 No change A
Validity
0154
A1g
RISKY825
FRY15 20160930 99991231 No change A
Validity
0155
A2b
RISKN507
FRY15 20160930 99991231 No change A
Validity
0157
A2c
RISKY827
FRY15 20160930 99991231 No change A
Validity
0158
A2d
RISKY828
FRY15 20160930 99991231 No change A
Validity
0160
A1b
RISKM339
FRY15 20151231 99991231 No change A
FRY15 20151231 99991231 No change A
FRY15 20160930 99991231 No change A
Validity
Validity
Validity
0165
0175
0188
A-Mem3
A4a
A3a
RISKM341
RISKM342
RISKY830
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
FRY15
Validity
Validity
Validity
Validity
Validity
Validity
Validity
Validity
Validity
0190
0195
0200
0205
0210
0215
0220
0225
0230
A4b
A4c
A4d
A3b
B1
B1a
B2
B3a
B3b
RISKM718
RISKM346
RISKM347
RISKM349
RISKM351
RISKM355
RISKJ458
RISKM352
RISKM353
20151231
20151231
20151231
20161231
20141231
20141231
20141231
20141231
20141231
June 2018
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
No change
No change
No change
No change
No change
No change
No change
No change
No change
A
A
A
A
B
B
B
B
B
Edit Test
Alg Edit Test
CFO must not be null.
DATESIGN must not be null.
CONTACTN must not be null.
CONTACTP must not be null.
CONTACTF must not be null.
CONTACTE must not be null.
For institutions that are not advanced
approaches, A2a must not be null
A-Mem1 must not be null.
A-Mem2 must not be null.
For institutions that are not advanced
approaches, A1a must not be null
For institutions that are not advanced
approaches, A1c must not be null
For institutions that are not advanced
approaches, A1e must not be null
For institutions that are not advanced
approaches, A1f must not be null
For institutions that are not advanced
approaches, A1g must not be null
For institutions that are not advanced
approaches, A2b must not be null
For institutions that are not advanced
approaches, A2c must not be null
For institutions that are not advanced
approach, A2d must not be null
For institutions that are not advanced
approaches, A1b must not be null
A-Mem3 must not be null.
A4a must not be null.
For institutions that are not advanced
approaches, A3a must not be null
A4b must not be null.
A4c must not be null.
A4d must not be null.
A3b must not be null
B1 must not be null.
B1a must not be null.
B2 must not be null.
B3a must not be null.
B3b must not be null.
riskc490 ne null
riskj196 ne null
RISK8901 ne null
risk8902 ne null
risk9116 ne null
risk4086 ne null
For institutions that are not advanced approaches,
RISKM334 ne null
riskm335 ne null
riskm336 ne null
For institutions that are not advanced approaches,
RISKM337 ne null
For institutions that are not advanced approaches,
RISKY822 ne null
For institutions that are not advanced approaches,
RISKY823 ne null
For institutions that are not advanced approaches,
RISKY824 ne null
For institutions that are not advanced approaches,
RISKY825 ne null
For institutions that are not advanced approaches,
RISKN507 ne null
For institutions that are not advanced approaches,
RISKY827 ne null
For institutions that are not advanced approaches,
RISKY828 ne null
For institutions that are not advanced approaches,
RISKM339 ne null
riskm341 ne null
riskm342 ne null
For institutions that are not advanced approaches,
RISKY830 ne null
riskm718 ne null
riskm346 ne null
riskm347 ne null
RISKM349 ne null
riskm351 ne null
riskm355 ne null
riskj458 ne null
riskm352 ne null
riskm353 ne null
FR Y-15: CHK-1 of 6
DRAFT
Validity (V) Edits for the FR Y-15
(Effective as of June 30, 2018)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective
Start Date
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20180630
FRY15 20180630
FRY15 20180630
FRY15 20180630
FRY15 20180630
FRY15 20180630
FRY15 20141231
June 2018
Effective
End Date
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
Edit
Change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
Revised
Revised
Revised
Revised
Revised
Revised
No change
Schedule Edit Type Edit
Number
B
Validity
0235
B
Validity
0240
B
Validity
0245
B
Validity
0250
B
Validity
0255
B
Validity
0260
B
Validity
0265
B
Validity
0270
B
Validity
0275
B
Validity
0277
B
Validity
0280
B
Validity
0285
B
Validity
0290
B
Validity
0295
B
Validity
0300
B
Validity
0305
B
Validity
0310
B
Validity
0315
B
Validity
0320
Validity
0323
B
C
Validity
0325
C
Validity
0330
C
Validity
0335
C
Validity
0340
C
Validity
0345
C
Validity
0350
C
Validity
0355
C
Validity
0360
C
Validity
0365
C
Validity
0370
C
Validity
0375
C
Validity
0380
Validity
0382
C
Validity
0383
C
Validity
0384
C
C
Validity
0385
C
Validity
0390
TargetItem MDRM
Number
B3c
RISKM354
B3d
RISKM345
B3e
RISKM356
B3f
RISKM357
B4
RISKM358
B5a
RISKM359
B5b
RISKM360
B7a
RISKM363
B7b
RISKM364
B8
RISKY833
B9
RISKM365
B10
RISKM366
B11a
RISKM367
B11b
RISKM368
B13
RISKM371
B14
RISKM372
B17
RISKM374
B18
RISKM375
B19
RISKN509
RISKY834
B-Mem1
C1a
RISKM377
C1b
RISKM378
C1c
RISKM379
C1d
RISKM380
C1e
RISKM381
C1f
RISKM382
C1g
RISKM383
C1h
RISKM384
C1i
RISKM385
C1j
RISKM386
C1l
RISKM387
C1m
RISKM388
RISKY835
C1k
RISKY836
C-Mem1
RISKY837
C-Mem2
C-Mem3
RISKM389
C3
RISKM405
Edit Test
Alg Edit Test
B3c must not be null.
B3d must not be null.
B3e must not be null.
B3f must not be null.
B4 must not be null.
B5a must not be null.
B5b must not be null.
B7a must not be null.
B7b must not be null.
B8 must not be null
B9 must not be null.
B10 must not be null.
B11a must not be null.
B11b must not be null.
B13 must not be null.
B14 must not be null.
B17 must not be null.
B18 must not be null.
B19 must not be null.
B-Mem1 must not be null
C1a must not be null.
C1b must not be null.
C1c must not be null.
C1d must not be null.
C1e must not be null.
C1f must not be null.
C1g must not be null.
C1h must not be null.
C1i must not be null.
C1j must not be null.
C1l must not be null.
C1m must not be null.
C1k must not be null
C-Mem1 must not be null
C-Mem2 must not be null
C-Mem3 must not be null.
C3 must not be null.
riskm354 ne null
riskm345 ne null
riskm356 ne null
riskm357 ne null
riskm358 ne null
riskm359 ne null
riskm360 ne null
riskm363 ne null
riskm364 ne null
risky833 ne null
riskm365 ne null
riskm366 ne null
riskm367 ne null
riskm368 ne null
riskm371 ne null
riskm372 ne null
riskm374 ne null
riskm375 ne null
riskn509 ne null
risky834 ne null
riskm377 ne null
riskm378 ne null
riskm379 ne null
riskm380 ne null
riskm381 ne null
riskm382 ne null
riskm383 ne null
riskm384 ne null
riskm385 ne null
riskm386 ne null
riskm387 ne null
riskm388 ne null
risky835 ne null
risky836 ne null
riskY837 ne null
riskm389 ne null
riskm405 ne null
FR Y-15: CHK-2 of 6
DRAFT
Validity (V) Edits for the FR Y-15
(Effective as of June 30, 2018)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective
Start Date
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20141231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20151231
FRY15 20180630
FRY15 20151231
FRY15 20151231
Effective
End Date
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
99991231
Edit
Change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
No change
Revised
No change
No change
Schedule Edit Type Edit
Number
C
Validity
0395
C
Validity
0400
D
Validity
0405
D
Validity
0410
D
Validity
0415
D
Validity
0420
D
Validity
0425
E
Validity
0430
E
Validity
0435
E
Validity
0440
F
Validity
0445
F
Validity
0450
F
Validity
0460
F
Validity
0465
F
Validity
0470
F
Validity
0475
C
Validity
0480
F
Validity
0485
A
Validity
0486
TargetItem MDRM
Number
C4
RISKM406
C5
RISKM407
D1
RISKM409
D2
RISKM410
D4
RISKM412
D7
RISKN510
D8
RISKN511
E2
RISKM423
E2a
RISKM424
E3
RISKM425
F2
RISKM427
F5
RISKM429
F6
RISKM432
F7
RISKM433
F8
RISKM434
F9
RISKM435
C-Mem4
RISKM436
F10
RISKM437
A6
RISKFC52
FRY15 20160930 99991231 No change A
Validity
0487
A1d
FRY15 20170930 99991231 No change G
Validity
0500
G1aA
FRY15 20170930 99991231 No change G
Validity
0501
G1aB
FRY15 20170930 99991231 No change G
Validity
0502
G1aC
FRY15 20170930 99991231 No change G
Validity
0503
G1aD
FRY15 20170930 99991231 No change G
Validity
0504
G1bA
FRY15 20170930 99991231 No change G
Validity
0505
G1bB
June 2018
Edit Test
C4 must not be null.
C5 must not be null.
D1 must not be null.
D2 must not be null.
D4 must not be null.
D7 must not be null.
D8 must not be null.
E2 must not be null.
E2a must not be null.
E3 must not be null.
F2 must not be null.
F5 must not be null.
F6 must not be null.
F7 must not be null.
F8 must not be null.
F9 must not be null.
C-Mem4 must not be null.
F10 must not be null.
A6 should equal zero (No) or one (Yes) and
must not be null.
RISKM340 For institutions that are not advanced
approaches, A1d must not be null
RISKY838 If the respondent has filed the FR 2052a
for at least 12 months then, G1aA must
not be null
RISKY839 If the respondent has filed the FR 2052a
for at least 12 months then, G1aB must
not be null
RISKY840 If the respondent has filed the FR 2052a
for at least 12 months then, G1aC must
not be null
RISKY841 If the respondent has filed the FR 2052a
for at least 12 months then, G1aD must
not be null
RISKY842 If the respondent has filed the FR 2052a
for at least 12 months then, G1bA must
not be null
RISKY843 If the respondent has filed the FR 2052a
for at least 12 months then, G1bB must
not be null
Alg Edit Test
riskm406 ne null
riskm407 ne null
riskm409 ne null
riskm410 ne null
riskm412 ne null
riskn510 ne null
riskn511 ne null
riskm423 ne null
riskm424 ne null
riskm425 ne null
riskm427 ne null
riskm429 ne null
riskm432 ne null
riskm433 ne null
riskm434 ne null
riskm435 ne null
riskm436 ne null
riskm437 ne null
riskFC52 eq 0 or riskFC52 eq 1 and riskFC52 ne null
For institutions that are not advanced approaches,
RISKM340 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY838 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY839 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY840 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY841 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY842 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY843 ne null
FR Y-15: CHK-3 of 6
DRAFT
Validity (V) Edits for the FR Y-15
(Effective as of June 30, 2018)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective Edit
Schedule Edit Type Edit
TargetItem MDRM
Start Date End Date Change
Number
Number
FRY15 20170930 99991231 No change G
Validity
0506
G1bC
RISKY844
FRY15 20170930 99991231 No change G
Validity
0507
G1bD
RISKY845
FRY15 20170930 99991231 No change G
Validity
0508
G1cA
RISKY846
FRY15 20170930 99991231 No change G
Validity
0509
G1cB
RISKY847
FRY15 20170930 99991231 No change G
Validity
0510
G1cC
RISKY848
FRY15 20170930 99991231 No change G
Validity
0511
G1cD
RISKY849
FRY15 20170930 99991231 No change G
Validity
0512
G1dA
RISKY850
FRY15 20170930 99991231 No change G
Validity
0513
G1dB
RISKY851
FRY15 20170930 99991231 No change G
Validity
0514
G1dC
RISKY852
FRY15 20170930 99991231 No change G
Validity
0515
G1dD
RISKY853
FRY15 20170930 99991231 No change G
Validity
0516
G2aA
RISKY858
FRY15 20170930 99991231 No change G
Validity
0517
G2aB
RISKY859
FRY15 20170930 99991231 No change G
Validity
0518
G2aC
RISKY860
FRY15 20170930 99991231 No change G
Validity
0519
G2aD
RISKY861
June 2018
Edit Test
Alg Edit Test
If the respondent has filed the FR 2052a
for at least 12 months then, G1bC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1bD must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1cA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1cB must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1cC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1cD msut
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1dA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1dB must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1dC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G1dD must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2aA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2aB must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2aC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2aD must
not be null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY844 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY845 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY846 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY847 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY848 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY849 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY850 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY851 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY852 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY853 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY858 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY859 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY860 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY861 ne null
FR Y-15: CHK-4 of 6
DRAFT
Validity (V) Edits for the FR Y-15
(Effective as of June 30, 2018)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective Edit
Schedule Edit Type Edit
TargetItem MDRM
Start Date End Date Change
Number
Number
FRY15 20170930 99991231 No change G
Validity
0520
G2bA
RISKY862
FRY15 20170930 99991231 No change G
Validity
0521
G2bB
RISKY863
FRY15 20170930 99991231 No change G
Validity
0522
G2bC
RISKY864
FRY15 20170930 99991231 No change G
Validity
0523
G2bD
RISKY865
FRY15 20170930 99991231 No change G
Validity
0524
G3aA
RISKY870
FRY15 20170930 99991231 No change G
Validity
0525
G3aB
RISKY871
FRY15 20170930 99991231 No change G
Validity
0526
G3aC
RISKY872
FRY15 20170930 99991231 No change G
Validity
0527
G3aD
RISKY873
FRY15 20170930 99991231 No change G
Validity
0528
G3bA
RISKY874
FRY15 20170930 99991231 No change G
Validity
0529
G3bB
RISKY875
FRY15 20170930 99991231 No change G
Validity
0530
G3bC
RISKY876
FRY15 20170930 99991231 No change G
Validity
0531
G3bD
RISKY877
FRY15 20170930 99991231 No change G
Validity
0532
G3cA
RISKY878
FRY15 20170930 99991231 No change G
Validity
0533
G3cB
RISKY879
June 2018
Edit Test
Alg Edit Test
If the respondent has filed the FR 2052a
for at least 12 months then, G2bA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2bB must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2bC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G2bD must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3aA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3aB must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3aC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3aD must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3bA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3bB must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3bC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3bD must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3cA must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3cB mustnot
be null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY862 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY863 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY864 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY865 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY870 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY871 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY872 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY873 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY874 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY875 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY876 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY877 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY878 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY879 ne null
FR Y-15: CHK-5 of 6
DRAFT
Validity (V) Edits for the FR Y-15
(Effective as of June 30, 2018)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective Edit
Schedule Edit Type Edit
TargetItem MDRM
Start Date End Date Change
Number
Number
FRY15 20170930 99991231 No change G
Validity
0534
G3cC
RISKY880
FRY15 20170930 99991231 No change G
Validity
0535
G3cD
RISKY881
FRY15 20170930 99991231 No change G
Validity
0536
G4A
RISKY886
FRY15 20170930 99991231 No change G
Validity
0537
G4B
RISKY887
FRY15 20170930 99991231 No change G
Validity
0538
G4C
RISKY888
FRY15 20170930 99991231 No change G
Validity
0539
G4D
RISKY889
FRY15 20170930 99991231 No change G
Validity
0540
G7
RISKY895
FRY15 20170930 99991231 No change G
Validity
0557
G7
RISKY895
June 2018
Edit Test
Alg Edit Test
If the respondent has filed the FR 2052a
for at least 12 months then, G3cC must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G3cD must
not be null
If the respondent has filed the FR 2052a
for at least 12 months then, G4A must not
be null
If the respondent has filed the FR 2052a
for at least 12 months then, G4B must not
be null
If the respondent has filed the FR 2052a
for at least 12 months then, G4C must not
be null
If the respondent has filed the FR 2052a
for at least 12 months then, G4D must not
be null
If the respondent has filed the FR 2052a
for at least 12 months then, G7 must not
be null
If the respondent does not report the
FR2052a or has reported it for less than 12
months , then Schedule G, Item 1.a.
through 1.d, item 2.a and 2.b, and item 3.a
through 3.c, and item 4, and item 7 must
be null.
If the respondent has filed the FR 2052a for at least 12
months then, RISKY880 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY881 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY886 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY887 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY888 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY889 ne null
If the respondent has filed the FR 2052a for at least 12
months then, RISKY895 ne null
If the respondent does not report the FR2052a or has
reported it for less than 12 months, then RISKY838 eq
null, and RISKY839 eq null, and RISKY840 eq null, and
RISKY841 eq null, and RISKY842 eq null, and RISKY843
eq null, and RISKY844 eq null, and RISKY845 eq null,
and RISKY846 eq null, and RISKY847 eq null, and
RISKY848 eq null, and RISKY849 eq null, and RISKY850
eq null, and RISKY851 eq null, and RISKY852 eq null,
and RISKY853 eq null, and RISKY858 eq null, and
RISKY859 eq null, and RISKY860 eq null, and RISKY861
eq null, and RISKY862 eq null, and RISKY863 eq null,
and RISKY864 eq null, and RISKY865 eq null, and
RISKY870 eq null, and RISKY871 eq null, and RISKY872
eq null, and RISKY873 eq null, and RISKY874 eq null,
and RISKY875 eq null, and RISKY876 eq null, and
RISKY877 eq null, and RISKY878 eq null, and RISKY879
eq null, and RISKY880 eq null, and RISKY881 eq null,
and RISKY886 eq null, and RISKY887 eq null, and
RISKY888 eq null, and RISKY889 eq null, and RISKY895
eq null
FR Y-15: CHK-6 of 6
| File Type | application/pdf |
| File Modified | 2019-12-23 |
| File Created | 2019-10-09 |