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pdfFR Y‐14Q: AFS and HTM Securities Schedule
Institution Name:
RSSD ID:
Date of Data Submission:
FR Y‐14Q Schedule B.1 Securites 1: Main Schedule
Security Description
Identifier Type
(CUSIP/ISIN/Other)
CQSCP082
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Identifier Value
(CUSIP/ISIN)
CQSCP083
Private
Placement
(Y/N)
CQSCS370
Security
Description 1
CQSCP084
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non‐Agency RMBS (incl HEL ABS)
Foreign RMBS
Municipal Bond
Security
Description 2
CQSCP085
Security
Description 3
CQSCP086
Exposure to Debt/Equity Security (USD Equivalent)
Current Face Original Face
Amount of
Value
Value
Allowance for
(USD
(USD
Credit
Equivalent)
Equivalent)
OTTI Taken***
Losses****
Writeoffs****
CQSCP089
CQSCP090
CQSCP091
CQSCJH85
CQSCJH87
Amortized Cost Market Value
(USD
(USD
Equivalent)
Equivalent)
CQSCP087
CQSCP088
Accounting
Pricing
Intent
Date (e.g.,
(AFS, HTM)
Price
MM/DD/YYYY)
CQSCP092 CQSCHK21
CQSCP093
Book Yield*
CQSCP094
Purchase
Date**
CQSCP095
Currency
CQSCS371
Issuer Name
Issuer Name
Sector
Country
Sector
Money Market
Mutual Fund or Non
Money Market
Mutual Fund
Name of Fund
Issuer Name
Country ISO Code
Example
Mutual Fund
Example
Preferred Stock (Equity)
Example
Sovereign Bond
Example
US Treasuries & Agencies
Example
Covered Bond
Example
Other
* Book yield is the effective interest rate that would be used to determine credit losses on debt instruments for other‐than‐temporary impairment (OTTI) purposes. Please refer to ASC 320 (FAS 115) for any additional information.
** Purchase Date is the date on which the security was purchased or acquired.
*** OTTI Taken should only be reported by institutions that have not adopted ASU 2016‐13.
**** Amount of Allowance for Credit Losses Total Amortized Cost Net of Allowance and Writeoffs should only be reported by institutions that have adopted ASU 2016‐13.
Securities 1
FR Y‐14Q Schedule B.2 Securites 2: Investment Securities with Designated Accounting Hedges
Security Holding
Hedging Instrument Information
Exposure to Debt/Equity
Security (USD Equivalent)
Amortized
Identifier
Cost
Type
Identifier
(USD
(CUSIP/ISIN/
Value
Other)
(CUSIP/ISIN) Equivalent)
CQSHP082 CQSHP083 CQSHP087
1
2
3
4
5
6
7
8
9
10
…
Market
Value
(USD
Equivalent)
CQSHP088
Accounting
Intent
(AFS, HTM,
EQ)
CQSHP092
Type of
Hedge(s)
CQSHS372
Hedge
Hedge
Hedged Risk Interest Rate Percentage
CQSHS373
CQSHS374
CQSHS375
Hedge
Hedged Cash
Horizon
Flow
Sidedness
CQSHS376
CQSHS377
CQSHS378
Ineffective
Effective
Portion of Portion of
Hedging Cumulative Cumulative
Instrument Gains and Gains and
Losses
at Fair Value
Losses
CQSHS379
CQSHS380
CQSHS381
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Securities 2
FR Y‐14Q Schedule C: Regulatory Capital Instruments Quarterly Schedule
Institution Name:
RSSD ID:
Date of Data Submission:
As of Date:
FR Y‐14Q Schedule C.1—Regulatory Capital Instruments as of Quarter End
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
B
C
D
E
F
G
Amount
recognized in
Revised
CUSIP or unique
regulatory
regulatory
identifier
capital
capital rule (July Cumulative / Notional amount
provided by
($Millions)
($Millions)
BHC/IHC
Instrument type 2013) treatment noncumulative
CQCNP083
CQCNQ744
CQCNQ746
CQCNQ747
CQCNQ748
CQCNQ749
H
Comments
CQCNQ750
I
J
Unamortized discounts/
premiums, fees and
foreign exchange
Carrying Value translation impacts as
of quarter end
($Millions), as‐of
($Millions)
quarter end
CQCNR629
CQCNR630
K
Fair value of
associated
swaps
($Millions)
CQCNR631
L
M
N
Notional
Amount of
Currency
Associated
Interest Rate denomination of Y9C BHCK 4062
instrument
Reconciliation
Swap ($Millions)
CQCNR634
CQCNR638
CQCNR642
FR Y‐14Q Schedule C.2—Regulatory Capital Instrument Repurchases/Redemptions During Quarter
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
B
CUSIP or unique
identifier
provided by
BHC/IHC
CQCRP083
C
D
Revised
regulatory capital
rule (July 2013)
Instrument type
treatment
CQCRQ744
CQCRQ746
E
Redemption
action
CQCRQ754
F
G
H
I
J
Amount
recognized in
Regulatory
Notional amount regulatory capital
Date on which
Notional amount capital amount
remaining at
remaining at
action was executed
transacted
transacted
quarter end
quarter end
(mm/dd/yyyy)
($Millions)
($Millions)
($Millions)
($Millions)
CQCRQ755
CQCRQ756
CQCRQ757
CQCRQ758
CQCRQ759
K
Comments
CQCRQ750
FR Y‐14Q Schedule C.3 – Regulatory Capital Instruments Issuances During Quarter
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
A
B
C
CUSIP or unique
identifier
provided by
BHC/IHC
CQCIP083
Instrument type
CQCIQ744
O
P
Fixed / floating
CQCIN189
D
E
If conversion,
Is issuance result indicate CUSIP of
of conversion? original instrument
CQCIQ762
CQCIQ763
Q
Coupon / dividend
rate (bps) at issuance Index at Issuance
CQCIQ772
CQCIQ773
F
G
H
I
J
Date of issuance
(mm/dd/yyyy)*
CQCIN477
Revised regulatory
capital rule
treatment
CQCIQ746
Cumulative /
noncumulative
CQCIQ747
Notional amount
transacted
($Millions)
CQCIQ756
U
V
R
S
T
Spread over index
(bps) at issuance
CQCIQ774
Date at which
coupon terms
change
CQCIR625
Coupon/dividend
rate (bps) when
terms change
CQCIR626
Index when terms
change
CQCIR627
K
L
Regulatory capital
amount transacted
($Millions)
CQCIQ757
Perpetual / dated
CQCIQ769
W
X
Spread over index Existence of step up
(bps) when terms or other incentive to
redeem
change
CQCIQ775
CQCIR628
Convertible / non‐
convertible
CQCIQ776
M
N
If dated, date of
maturity
(mm/dd/yyyy)*
CQCI9914
Issuer call
CQCIQ770
If callable, optional
call date
(mm/dd/yyyy)*
CQCIQ771
Y
If convertible,
mandatory or
optional
conversion?
CQCIQ777
Z
AA
If convertible, specify
instrument type into
which it will convert
CQCIQ778
Comments
CQCIQ750
Move to C.1
Eliminate
BB
CC
DD
EE
FF
GG
HH
II
JJ
KK
LL
MM
Unamortized
discounts/
premiums, fees and
foreign exchange
Notional Amount of
Fair value of
Interest Rate Swap Interest Rate Swap Associated Interest Interest Rate Swap
Carrying Value translation impacts
Currency of Foreign Notional Amount of
($Millions), as‐of as of quarter end associated swaps
Rate Swap
Issue Date
maturity date
Fixed Payment Rate Interest Rate Swap Interest Rate Swap Currency denomination Exchange Swap
Foreign Exchange
($Millions)
($Millions)
quarter end
($Millions)
(mm/dd/yyyy)
(mm/dd/yyyy)
(bps)
Payment Index
Payment Spread (bps)
of instrument
Payment
Swap ($Millions)
MDRMs
CQCIR629
CQCIR630
CQCIR631
CQCIR632
CQCIR633
CQCIR634
CQCIR635
CQCIR636
CQCIR637
CQCIR638
CQCIR639
CQCIR640
1
2
3
4
5
6
7
8
9
10
11
NN
OO
Exchange Rate of
Foreign Exchange
Swap (II/HH)
CQCIR641
Y9C BHCK 4062
Reconciliation
CQCIR642
Schedule D ‐ Regulatory Capital
Actual in
$Millions
as of date
Non‐Significant investments in the capital of unconsolidated financial institutions in the form of common stock
1 Aggregate amount of non‐significant investments in the capital of unconsolidated financial institutions
2 Non‐significant investments in the capital of unconsolidated financial institutions in the form of common stock
3 10 percent threshold for non‐significant investments
4
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 2 minus item 3 or zero)
Significant investments in the capital of unconsolidated financial institutions in the form of common stock
5 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
6 Permitted offsetting short positions in relation to the specific gross holdings included above
7 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions (greater
of item 5 minus 6 or zero)
8 10 percent common equity tier 1 deduction threshold
9
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 7 minus item 8 or zero)
Mortgage servicing assets
10 Total mortgage servicing assets classified as intangible
11 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant
accounting standards
12 Mortgage servicing assets net of related deferred tax liabilities (item 10 minus item 11)
13 10 percent common equity tier 1 deduction threshold (derived from item 8)
14
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 12 minus item 13 or zero)
Deferred tax assets due to temporary differences
15 Deferred tax assets arising from temporary differences, net of DTLs
16 Valuation allowances related to DTAs arising from temporary differences
17 Potential net operating loss carrybacks
18 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation
allowances and net of DTLs
19 10 percent common equity tier 1 deduction threshold (derived from item 8)
20
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 18 minus item 19 or zero)
Aggregate of items subject To the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
21 Sum of items 7, 12, and 18
22 15 percent common equity tier 1 deduction threshold
23 Sum of items 9, 14, and 20
24 Item 21 minus item 23
25
Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold (greater of item 24 minus item 22 or zero)
Other Quarterly Changes
26 Issuance of common stock (including conversion of common stock)
27 Repurchases of common stock
Memoranda
M1 Taxes paid through the as‐of date of the current fiscal year
Comments
Trading, PE & Other Fair Value Assets Schedule
Private Equity
Firm Name
Effective Date:
Submission Date:
(A)
Sector
GICS
Code
Industry Group
Energy
1010
Materials
1510
Industrials
Industrials
Industrials
Industrials
Industrials
(B)
Investments Reported at FAIR VALUE ($MM)
Other
Western
Emerging
United States
Developed
Europe
Markets
Markets
Unspecified
Geography
Unspecified
Geography
Total
Global
Energy
$0
$0
$0
Materials
$0
$0
$0
2010
2020
2030
20
20
Capital Goods
Commercial & Professional Services & Supplies
Transportation
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
C
Di
i
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
2510
2520
2530
54
2550
25
25
Automobiles & Components
Consumer Durables & Apparel
Consumer Services
M di
Retailing
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
3010
3020
3030
30
30
Food & Staples Retailing
Food Beverage & Tobacco
Household & Personal Products
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Health Care
Health Care
Health Care
Health Care
3510
3520
35
35
Health Care Equipment & Svcs
Pharma. Bio. & Life Sciences
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
4010
4020
4030
Banks
Diversified Financials
Insurance
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
R l E
Real Estate
Real Estate
R l E
Real Estate
Real Estate
R l E
Real Estate
4 4
4040
4040
4 4
4040
4040
4 4
4040
C /E i i g Offi
Core/Existing Retail
Core/Existing: Multi‐Family
C /E i i g H l
Core/Existing Other
Opportunistic / Development
U p ifi d
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Information Technology
Information Technology
Information Technology
Information Technology
Information Technology
4510
4520
4530
45
45
Software & Services
Technology Hardware & Equipment
Semicondt. & Semicondt. Equip.
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Communication Services Telecommunication
Communication Services
Communication Services
Communication Services
5010
5020
50
50
Telecommunication Services
Media & Entertainment
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Utilities
5510
Utilities
$0
$0
$0
Real Estate
6010
Real Estate
$0
$0
$0
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector / Industry
N/A
N/A
N/A
N/A
N/A
Minority Interest in Hedge Funds
Fund Seed Capital
Infrastructure Funds
Other Unspecified Sector/Industry
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Funded Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Unfunded commitments ($MM)
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Global
Investments NOT Reported at FAIR VALUE ($MM)
Other
Western
Emerging
United States
Developed
Europe
Markets
Markets
$0
Trading, PE & Other Fair Value Assets Schedule
Other Fair Value Assets
Firm Name
Effective Date:
Submission Date:
Fair Value ($MM)
Sector
GICS Code
Industry Group
Global
United States
Non‐US
Equity
Debt
Equity
Debt
Energy
1010
Energy
$0
Materials
1510
Materials
$0
Industrials
Industrials
Industrials
Industrials
Industrials
2010
2020
2030
20
20
Capital Goods
Commercial & Professional Services & Supplies
Transportation
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
2510
2520
2530
2540
2550
25
25
Automobiles & Components
Consumer Durables & Apparel
Consumer Services
Media
Retailing
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
3010
3020
3030
30
30
Food & Staples Retailing
Food, Beverage & Tobacco
Household & Personal Products
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Health Care
Health Care
Health Care
Health Care
3510
3520
35
35
Health Care Equipment & Svcs
Pharma., Bio. & Life Sciences
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
4010
4020
4030
Banks
Diversified Financials
Insurance
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Real Estate
Real Estate
Real Estate
Real Estate
Real Estate
Real Estate
Real Estate
Real Estate
4040
4040
4040
4040
4040
4040
4040
4040
Core/Existing: Office
Core/Existing: Retail
Core/Existing: Multi Family
Core/Existing: Hotel
Core/Existing: Other
Opportunistic / Development
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Information Technology
Information Technology
Information Technology
Information Technology
Information Technology
4510
4520
4530
45
45
Software & Services
Technology Hardware & Equipment
Semicondt. & Semicondt. Equip.
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Communication Services Telecommunication
Communication Services
Communication Services
Communication Services
5010
5020
50
50
Telecommunication Services
Media & Entertainment
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
Utilities
5510
Utilities
$0
Real Estate
6010
Real Estate
$0
Tax Credits
Tax Credits
Tax Credits
Tax Credits
N/A
N/A
N/A
N/A
Section 42 Housing Credits
Section 45 Alternative Energy Investments
Other Tax Credits
Total
$0
$0
$0
$0
$0
$0
$0
$0
BOLI, COLI, and Stable Value Wraps
N/A
BOLI, COLI, and Stable Value Wraps
$0
Unspecified Sector/Industry
N/A
Other Unspecified Sector/Industry
$0
$0
$0
$0
$0
Total
$0
FR Y‐14Q ‐ Schedule G ‐ PPNR Submission
PPNR Submission
Please indicate if deposits are 25% or more of total liabilities
Net Interest Income Designation Field ‐ Populated Automatically
1
1A
1B
1C
1D
1E
1F
1G
2
3
4
5
5A
5B
6
7
8
9
10
11
12
$Millions
Net Interest Income by Business Segment: (17)
Retail and Small Business
Domestic (11)
Credit and Charge Cards (10)
Mortgages
Home Equity
Retail and Small Business Deposits
Other Retail and Small Business Lending
International Retail and Small Business (16)
Commercial Lending
Investment Banking
Merchant Banking / Private Equity
Sales and Trading
Prime Brokerage
Other [sales and trading interest income]
Investment Management
Investment Services
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)
13
Total Net Interest Income (1)
14
14A
14B
14C
14D
14E
14F
14G
14H
14I
14J
14K
Non Interest Income by Business Segment: (17)
Retail and Small Business
Domestic
Credit and Charge Cards (10)
Credit and Charge Card Interchange Revenues ‐ Gross
Other
Mortgages and Home Equity
Production
Gains/(Losses) on Sale (18)
Other
Servicing
Servicing & Ancillary Fees
MSR Amortization (20)
14L
14M
14N
14O
14P
14Q
14R
14S
14T
15
FR Y9C Codes
Actual
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of
Hedge Performance (19)(21)
Other
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations
and Warranties (contra‐revenue) (12)
Retail and Small Business Deposits
Non Sufficient Funds / Overdraft Fees ‐ Gross
Debit Interchange ‐ Gross
Other (22)
Other Retail and Small Business Lending
International Retail and Small Business (16)
Commercial Lending
‐
FR Y‐14Q ‐ Schedule G ‐ PPNR Submission
16
16A
16B
16C
16D
17
17A
17B
17C
18
18A
18B
18C
18D
18E
18F
18G
18H
18I
18J
18K
18L
18M
19
19A
19B
20
20A
20B
20C
20D
20E
21
22
23
24
25
Investment Banking
Advisory
Equity Capital Markets
Debt Capital Markets
Syndicated / Corporate Lending
Merchant Banking / Private Equity
Net Investment Mark‐to‐Market
Management Fees
Other
Sales and Trading
Equities
Commission and Fees
Other [sales and trading noninterest income] (23)
Fixed Income
Rates
Credit
Other
Commodities
Commission and Fees
Other
Prime Brokerage
Commission and Fees
Other
Investment Management
Asset Management
Wealth Management / Private Banking
Investment Services
Asset Servicing
Securities Lending
Other
Issuer Services
Other
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)
‐
26
Total Non‐Interest Income (2) (26)
‐
27
Total Revenues
‐
‐
‐
‐
‐
‐
‐
‐
‐
‐
FR Y‐14Q ‐ Schedule G ‐ PPNR Submission
31
32
33
34
34A
34B
35
36
37
Non Interest Expense:
Compensation Expense
Salary (14)
Benefits (14)
Commissions (6)
Stock Based Compensation
Cash Variable Pay
Operational Risk Expense (8)
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations
and Warranties (12)
Professional and Outside Services Expenses (13)
Expenses of Premises and Fixed Assets
BHCK4217
Amortization Expense and Impairment Losses for Other Intangible Assets
BHCKC232
Marketing Expense
Domestic Credit and Charge Card Marketing Expense (10)(15)(17)
Other
Other Real Estate Owned Expense
Provision for Unfunded Off‐Balance Sheet Credit Exposures (to build/decrease item 141 (BHCKB557) in Balance Sheet)
Other Non‐Interest Expense (4)
38
Total Non‐Interest Expense (3)
28
28A
28B
28C
28D
28E
29
30
39
Actual PPNR (5)
40
41
42
Valuation Adjustment for firm's own debt under fair value option (FVO) (9) (27)
Goodwill Impairment
Loss resulting from trading shock exercise (if applicable) (24) (25)
‐
‐
‐
BHCK4074+BHCK4
079‐
BHCK4093+BHCKC
216‐Line Item #40
‐
BHCKC216
‐
Footnotes to the PPNR Projections Worksheet
(1) Amount should equal item 49 of the PPNR NII Worksheet, if completed.
(2) Excludes Valuation Adjustment for firm's own debt under fair value option (FVO) in item 40.
(3) Excludes Goodwill Impairment included in item 41.
(4) Provide a further break out of significant items included in Other Non‐Interest Expense such that no more than 5% of Non Interest Expense
are reported without further breakout:
(5)
(6)
(7)
By definition, PPNR will calculate as Net Interest Income plus Non‐Interest Income less Non‐Interest Expense, excluding items broken out in items 40‐
41.
Report commissions only in "Commissions" line item 28C; do not report commissions in any other compensation line items.
See instructions for guidance on related thresholds. List segments included in this line item.
FR Y‐14Q ‐ Schedule G ‐ PPNR Submission
(8)
All operational loss items, including operational losses that are contra revenue amounts or cannot be separately identified, should be
reported in the operational risk expense. Any legal consultation or retainer fees specifically linked to an operational risk event should be
included in the Operational Risk Expense. Include all Provisions to Litigation Reserves / Liability for Claims related to Sold Residential
Mortgages and all Litigation Settlements & Penalties in this line item and not any other items.
(9)
List segments from which item was excluded:
(10) Include domestic BHC/IHC/SLHC issued credit and charge cards including those that result from a partnership agreement.
(11) Applies to line items 1A‐1F; US and Puerto Rico only.
(12) Provisions to build any non‐litigation reserves/accrued liabilities that have been established for losses related to sold or government‐
insured residential mortgage loans (first or second lien). Do not report such provisions in any other items; report them only in line items
14N or 30, as applicable.
(13) Include routine legal expenses (i.e legal expenses not related to operational losses) here.
(14) Do not report stock based and cash variable pay compensation here.
(15) Include both direct and allocated expenses. Report any expenses that are made to expand the company’s card member and/or merchant
base, facilitate greater segment penetration, enhance the perception of the company’s credit card brand, and/or increase the utilization of
the existing card member base across the spectrum of marketing and advertising mediums.
(16) Revenues from regions outside the US and Puerto Rico.
(17) See Instructions for description of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global.
(18) Gains/(Losses) from the sale of mortgages and home equity originated through all production channels (retail, broker, correspondent, etc.)
with the intent to sell. Such gains/losses should include deferred fees and costs that are reported as adjustments to the carrying balance
of the sold loan, fair value changes on loan commitments with rate locks that are accounted for as derivatives, fair value changes on
mortgage loans held‐for‐sale designated for fair value treatment, lower‐of‐cost or market adjustments on mortgage loans held‐for‐sale
not designated for fair value treatment, fair value changes on derivative instruments used to hedge loan commitments and held‐of‐sale
mortgages, and value associated with the initial capitalization of the MSR upon sale of the loan.
(19) Report changes in the MSR value here and not in any other items. Report changes in the MSR hedges here and not in any other items.
(20) Include economic amortization or scheduled and unscheduled payments, net of defaults under both FV and LOCOM accounting methods.
(21) Include MSR changes under both FV and LOCOM accounting methods.
(22) Among items included here are debit card contra‐revenues and overdraft waivers, as applicable.
(23) Report all Non‐Interest Income for Equities Sales and Trading, excluding Prime Brokerage (to be reported as a separate line item) and
excluding Commissions and Fees. This includes trading profits and other non‐interest non‐commission income.
(24) Respondents should not report changes in value of the MSR asset or hedges within the trading book.
(25) List segments from which item was excluded:
(26) Exclude result of trading shock exercise (where applicable), as it is reported in item 42.
(27) List FR Y‐9C HI Schedule items in which this item is normally reported although excluded from PPNR for this report:
FR Y‐14Q ‐ Schedule G ‐ PPNR NII
PPNR Net Interest Income
Actual
1
2
2A
2B
3
4
5
6
6A
6B
6C
AverageAsset Balances ($Millions) (1)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
Home Equity Lines Of Credit (HELOCs)
C&I Loans (7)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
‐
‐
Other, incl. loans backed by securities (non‐purpose lending)
7
Real Estate Loans (Not in Domestic Offices)
7A
7B
8
9
10
11
12
13
14
15
16
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases (10)
Nonaccrual Loans (5)
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
Deposits with Banks & Other
Other Interest/Dividend Bearing Assets (2)
Other Assets
17
Total Average Asset Balances
18
19
19A
19B
20
21
22
23
23A
23B
23C
24
24A
24B
25
26
27
28
29
30
31
32
Average Rates Earned (%) (9)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
HELOCs
C&I Loans (7)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending)
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases
Nonaccrual Loans (5)
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
Deposits with Banks & Other
Other Interest/Dividend Bearing Assets
33
Total Interest Income
‐
‐
‐
FR Y‐14Q ‐ Schedule G ‐ PPNR NII
34
34A
34B
34C
34D
34E
35
35A
35B
36
36A
36B
36C
37
38
Average Liability Balances ($Millions)
Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing (11)
Trading Liabilities
39
40
Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred
Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
Other Interest‐Bearing Liabilities (3)(11)
Other Liabilities (11)
41
Total Average Liability Balances
‐
‐
‐
‐
47
Average Liability Rates (%) (9)
Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand (8)
Money Market Accounts
Savings
Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and
other Transaction Accounts
Time Deposits
Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS
Issued by Consolidated Special Purpose Entities
Other Interest‐Bearing Liabilities (3)(11)
48
Total Interest Expense
‐
49
Total Net Interest Income (4)
‐
42
42A
42B
42C
42D
42E
43
43A
43B
44
44A
44B
44C
45
46
0.0%
FR Y‐14Q ‐ Schedule G ‐ PPNR NII
Footnotes to the Net Interest Income Worksheet
(1) Exclude nonaccrual loans from lines 1‐8, reporting these balances in item 9. Include purchased credit impaired loans.
Break out and explain nature of significant items included in Other Interest/Dividend Bearing Assets such that no more than 5% of total
(2)
Average Asset Balances are reported without a further breakout.
(3)
(4)
(5)
Break out and explain nature of significant items included in All Other Interest Bearing Liabilities Balances such that no more than 5% of total
Liability Balances are reported without a further breakout.
Amount should equal item 13 of the PPNR Submission Worksheet.
Institutions are to provide additional details within the supporting documentation; the composition of the non‐accrual loans by key loan
type over the reported time periods for each of the scenarios.
A sum of average domestic and foreign deposits should be equal to a sum of average BHDM6631, BHDM6636, BHFN6631, and BHFN6636.
Report C&I Graded, Small Business (Scored/Delinquency Managed), Corporate Card, Business Card
Rates are equal to zero by definition.
All rates are annualized.
Include loans secured by farmland here (BHDM1420) and other loans not accounted for in the other categories.
A Sum of line items 36C and 39 equals a sum of BHCK3190, BHCK4062, and interest‐bearing liabilities reported in BHCK2750; line item 40
(11) captures non‐interest bearing liabilities in BHCK2750
(6)
(7)
(8)
(9)
(10)
Are Other Average Interest‐Bearing Asset Balances more than 5% of Total Average
Interest‐Bearing Asset Balances?
N/A
Are Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances more
N/A
than 5% of Total Average Interest‐Bearing Liability Balances?
Are Other Average Interest‐Bearing Asset Balances more than 5% of Total Average Interest‐Bearing Asset Balances?N/A
Are Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances more
than 5% of Total Average Interest‐Bearing Liability Balances?
N/A
FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics
PPNR Metrics
Actual
FR Y9C Codes
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
A. Metrics by Business Segment/Line (9)
Retail and Small Business Segment
Domestic (24)
Credit and Charge Cards
Total Open Accounts – End of Period
Credit and Charge Card Purchase Volume
Credit and Charge Card Rewards/Partner Sharing Expense (23) (34)
Mortgages and Home Equity
Average Third‐Party Residential Mortgages Serviced (3)
Residential Mortgage Originations Industry Market Size – Volume (25)
Mortgages and Home Equity Sold during the quarter (26)
Servicing Expenses (8)
Retail and Small Business Deposits
Total Open Checking and Money Market Accounts – End of Period (31)
Debit Card Purchase Transactions
International Retail and Small Business (12)
Credit Card Revenues (1)
Investment Banking Segment
Number of Employees (15)
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay (8)
Advisory
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Completed Deal Volume
Backlog (30)
Equity Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Debt Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Syndicated Lending
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Sales and Trading Segment
Number of Employees (15)
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay (8)
Equities
Average Asset Balance
Fixed Income
Average Asset Balance
Commodities
Average Asset Balance
Prime Brokerage
Average Client Balances (13)
Transaction Volume
Units
#
$Millions
$Millions
$Millions
$Millions
BHCKF070+BHCKF071+BH
DMF674+BHDMF675
$Millions
$Millions
#
#
$Millions
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics
40
Investment Management Segment
Asset Management
AUM ‐ Total (10)
AUM ‐ Equities
AUM ‐ Fixed Income
AUM ‐ Other
Net Inflows/Outflows
Wealth Management/Private Banking
Fee Earning Client Assets ‐ Total (10)
Fee Earning Client Assets ‐ Equities
Fee Earning Client Assets ‐ Fixed Income
Fee Earning Client Assets ‐ Other
Net Inflows/Outflows
Number of Financial Advisors (11)
Investment Services Segment
Asset Servicing
Assets under Custody and Administration
41
42
42A
42B
42C
42D
43
44
45
45A
45B
46
46A
46B
46C
47
B. Firm Wide Metrics: PPNR Projections Worksheet
Number of Employees
Revenues ‐ International
Revenues ‐ APAC (2) (16)
Revenues ‐ EMEA (2) (17)
Revenues ‐ LatAm (2) (18)
Revenues ‐ Canada (2)
Revenues ‐ Domestic
Severance Costs (14)
Collateral Underlying Operating Leases for Which the Bank is the Lessor (22)
Auto
Other
OREO Balance
Commercial
Residential
Farmland
Non‐Recurring PPNR Items (32)
35
35A
35B
35C
36
37
37A
37B
37C
38
39
48
49
Trading Revenue
Net Gains/(Losses) on Sales of Other Real Estate Owned (19)
$Millions
$Millions
$Millions
$Millions
$Millions
‐
$Millions
$Millions
$Millions
$Millions
$Millions
#
‐
$Millions
BHCK4150
BHCK2150
BHCKA220
BHCK8561
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
‐
‐
‐
‐
FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics
50
51
52
53
C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for respondents that were required to complete the Net Interest Income Worksheet)
Carrying Value of Purchased Credit Impaired (PCI) Loans (35)
BHCKC780
$Millions
Net Accretion of discount on PCI Loans included in interest Revenues (36)
$Millions
Loans Held for Sale ‐ First Lien Residential Liens in Domestic Offices (Average Balances)
$Millions
Average Rate on Loans Held for Sale‐First Lien Residential Liens in Domestic Offices
%
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
Quarter End Weighted Average Life of Assets (4) (6)
First Lien Residential Mortgages (in Domestic Offices) (33)
Closed‐End Junior Residential Liens (in Domestic Offices)
Home Equity Lines Of Credit (HELOCs)
C&I Loans
CRE Loans (in Domestic Offices)
Credit Cards
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending) (7)
Residential Mortgages (First and Second Lien, Not in Domestic Offices)
Other Real Estate Loans (Not in Domestic Offices)
Other Loans & Leases
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
All Other Earning Assets
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
85A
Quarter End Weighted Average Life of Liabilities (4) (6)
Domestic Deposits ‐ Time
Foreign Deposits‐Time
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued
by Consolidated Special Purpose Entities
All Other Interest Bearing Liabitilies
Average Domestic Deposit Repricing Beta in a 'Normal Environment' (5)
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Average Foreign Deposit Repricing Beta in a 'Normal Environment' (5)
Foreign Deposits
Foreign Deposits‐Time
New Domestic Business Pricing for Time Deposits (27)
Curve (if multiple terms assumed) (28)
85B
Index rate (if single term assumed) (29)
85C
Spread relative to the Index Rate (basis points) (29)
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
For upward rate
movements
basis points
basis points
basis points
basis points
basis points
basis points
basis points
For downward
rate movements
Assumed Floor
FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics
(1)
(2)
(3)
(4)
Footnotes to the PPNR Metrics Worksheet
Provide metrics data for all quarters, but only if International Retail and Small Business Segment revenues exceeded 5% of Total Retail and Small Business Segment and Total
Retail and Small Business revenue exceeded 5% of total revenues in any of the last four actual quarters requested in the PPNR schedule.
Provide regional breakouts for all quarters but only if international revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the PPNR schedule.
Average oustanding principal balance fo residential mortgage loans the BHC/IHC/SLHC services for others.
The Weighted Average Life should reflect the current position, the impact of new business activity, as well as the impact of behavioral assumptions such as prepayments or
defaults, based on the expected remaining lives, inclusive of behavioral assumptions. It should reflect the weighted average of time to principal actual repayment (as
modeled) for all positions in that portfolio, rounded to the nearest monthly term. For revolving products, the WAL should reflect the underlying repayment behavior
assumptions assumed by the institution, which would include contractual repayments, any assumed excess payments or prepayments, and defaults. The WAL for the FR Y‐14Q
disclosures should reflect the spot balance sheet position for each time period. For the FR Y‐14A, given that it covers forecasted time periods, the WAL should be forward‐
looking which incorporates the changes to the projected WAL, including new business activity.
(5)
A rate movement in an environment where the repricing assumption assumed by each of the major deposit products is not restricted by a cap, floor, or zero. Beta should be
reported as a balance‐weighted average of the betas of the line items that contribute to the roll up point requested, with an as‐of date equal to the reporting date.
(6)
(7)
(8)
(9)
(12)
(13)
(14)
Reference PPNR Net Interest Income worksheet for product definitions.
Corresponds to line item 7C on the Net Interest Income worksheet.
Include both direct and allocated expenses.
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on PPNR Submission worksheet, unless explicitly stated otherwise. See Instructions for defintions
of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global. Only line items with "Industry Market Size" in the name are industry/market‐
wide items; all other items are BHC/IHC‐specific.
Assets under Management
Provide a relevant headcount number (e g. financial advisors, portfolio managers) to facilitate the assessment of revenue productivity in the Wealth Management/Private
Banking business line.
Regions outside the US and Puerto Rico.
Report the grossed up "interest balances" that result from prime brokerage activities.
List items on PPNR Projections worksheet that include this item if any:
(15)
(16)
(17)
(18)
(19)
Full‐time equivalent employees at end of current period (BHCK4150) for a given segment only.
Asia and Pacific region (incl. South Asia, Australia, and New Zealand)
Europe, Middle East, and Africa
Latin America, including Mexico
List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(10)
(11)
(20) List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(21) List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(22) Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation. The total in line item
49 should correspond to the amount provided in Y‐9C Schedule HC‐F Line 6, item 13 in the instructions. The amount included should only reflect collateral rented under
operating leases and not include collateral subject to capital/ financing type leases.
(23) Credit cards (including charge cards). List which line item(s) on PPNR Submission worksheet contain(s) the Cards Rewards/Partner Sharing contra‐revenues and/or expenses.
(24)
(25)
(26)
(27)
Applies to line items 1‐9; US and Puerto Rico only.
Total domestic mortgages originated during the quarter.
FR Y‐9C name is "Residential Mortgages Sold During the Quarter"; this metric need not be limited to Mortgages and Home Equity business line.
New business pricing for time deposits refers to the anticipated average rate on newly issued domestic time deposits, including renewals. Given that time deposits have a
stated maturity, all time deposits issued for that time period are considered new business.
(28) The term “curve” refers to the reference rate used to price time deposits. Given that the pricing of time deposits is dependent on the term, the institution should provide the
overall curve used to price time deposits. If the institution only assumes a single maturity term for new issuances, complete line 88B and 88C only, otherwise complete line
88A only.
FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics
(29) If the institution only assumes a single maturity term for new issuance, then the institution should provide the relative index and spread used to estimate new business pricing
in lieu of the curve.
(30) A backlog should be based on probability weighted fees. The data should be consistent with historical internal reporting, not by market measurement. The last quarter should
be the BHC’s/IHC's/SLHC's latest backlog estimate.
(31) Provide description of the accounts included in this line item (e.g. Negotiable Order of Withdrawal, Interest Bearing Checking, Non Interest Bearing Demand Deposit Account,
Money Market Savings, etc.)
(32) Please break out and explain nature of non‐recurring items included in PPNR. Also
indicate which items on PPRN Projections worksheet include the items broken out in
footnote 32:
(a) Revenues (Net Interest Income + Non Interest Income)
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
(b)
Non Interest Expenses
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
(33) For WAL, exclude from the reported number Loans Held For Sale
(34)
Note if this item includes any contra‐revenues other than Rewards/Partner Sharing (e.g. Marketing Expense Amortization)
(35)
(36)
Institutions that have adopted ASU 2016‐13 should report the carrying value of purchased credit‐deteriorated (PCD) loans in item 50.
Institutions that have adopted ASU 2016‐13 should report the net accretion of discount on PCD loans included in interest revenues.
Do international revenues exceed 5% of total revenues?
N/A
FR Y‐14Q Schedule J ‐ Retail Fair Value Option/Held for Sale (FVO/HFS)
Institution Name:
RSSD ID:
Date of Data Submission:
October 10, 2014
1
FR Y-14Q Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS): Table 1
FVO/HFS Retail Loans
1
Residential Loans with
Forward Contracts to
Federal Agencies
2
Residential Loans
Repurchased from Agencies
with FHA/VA Insurance
3
All Other Residential Loans
Not Included Above
4
Total Residential Loans
5
6
7
7
8
9
(A)
Unpaid Principal
Balance ($MM)
(B)
Carrying Value
($MM)
Non‐Residential Loans with
Forward Contracts to
Federal Agencies
Student Loans (Not in
Forward Contract)
Credit Card Loans (Not in
Forward Contract)
Credit Card Loans (Not in
Forward Contract)
Auto Loans (Not in Forward
Contract)
All Other Non‐Residential
Loans Not Included Above
10
Total Non‐Residential
Loans
11
Other Retail Loans with
Zero Principal or Interest
Recourse to the Bank
12
Total Retail FVO/HFS Loans
October 10, 2014
2
FR Y‐14Q Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS): Table 2
Loan Vintage
(A)
(B)
Residential Loans in
Forward Contract
Residential Loans
(Repurchased with
FHA/VA Insurance)
Carrying Value ($MM)
(D)
(E)
(F)
Student Loans Credit Card
Residential Loans Non‐Residential Loans
(Not in
Loans (Not in
(Not in (A) or (B)) in Forward Contract
Forward
Forward
Contract)
Contract)
(C)
(G)
Auto Loans
(Not in
Forward
Contract)
(H)
All Other Non‐
Residential Loans
Not Included in (D),
(E), (F) or (G)
(I)
Total
Pre 2006
2007
…
Current Year
Total Fair Value
Loans
Notes:
1) FVO/HFS is defined as Fair Value Option/Held for Sale
2) The amount in Column I Row 8 in Table 2 should equal the totals summed in Column B Row 4 and Row 10 in Table 1
October 10, 2014
3
FR Y‐14Q Schedule K ‐ Supplemental
A. Outstanding
B. Cumulative
balance of whole Lifetime Gross
loans in immaterial Charge‐offs*
portfolios***
1. Student Loans
2. Other Consumer
2a. Domestic
2b. International
3. First Lien
3a. Domestic
3b. International
4. Junior Lien
4a. Domestic
4b. International
5. Bank and Charge Cards
5a. Domestic
5b. International
6. Auto
6a. Domestic
6b. International
7. Commercial Real Estate
7a. Construction
7a.(1) Domestic
7a.(2) International
7b. Multifamily
7b.(1) Domestic
7b.(2) International
7c. NFNR ‐ Non‐owner occupied
7c.(1) Domestic
7c.(2) International
7.d NFNR ‐ Owner occupied
7d.(1) Domestic
7d.(2) International
8. Loans Secured by Farmland
8a. Domestic
8b. International
9. Commercial and Industrial
9a. Graded
C. Cumulative
Lifetime Purchase
Impairments and
Fair Value
Adjustments**
D. Outstanding
balance of loans
under $1M in
committed balance
E. Outstanding
F. Scored loans
balance of
reported in
unplanned
BHCKF160
overdrafts
excluded per the
Corporate Loan FR
Y‐14Q schedule
instructions
FR Y‐14Q Schedule K ‐ Supplemental
A. Outstanding
B. Cumulative
balance of whole Lifetime Gross
loans in immaterial Charge‐offs*
portfolios***
C. Cumulative
Lifetime Purchase
Impairments and
Fair Value
Adjustments**
D. Outstanding
balance of loans
under $1M in
committed balance
E. Outstanding
F. Scored loans
balance of
reported in
unplanned
BHCKF160
overdrafts
excluded per the
Corporate Loan FR
Y‐14Q schedule
instructions
9b. Small Business
9b.(1) Domestic
9b.(2) International
10. Other Loans
10a. Graded Loans to Foreign Governments
10b. Graded Agricultural Loans
10c. Graded Loans to Depositories and Other Financial
10d. Other Graded Comercial Leases
10e. All Other Graded Loans
Not loan category specific
* On loans reported in the FR Y‐14Q retail schedule
** Taken during the life of loans reported in the FR Y‐14Q retail schedule. Institutions that have adopted ASU 2016‐13 do not need to complete Column C.
*** Column A should only include loans in whole portfolios deemed to be immaterial using the materiality threshold specified in the general instructions. C&I and CRE loans less than
$1M in committed balance should be reported in Column D.
FR Y‐14Q: Counterparty Credit Risk
See Counterparty Schedule instructions for guidance on completing this schedule.
BHCs/IHCs/SLHCs should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.
Institution Name:
RSSD ID:
Submission date:
Data as of date:
Version:
When Received: 12/17/19 10:22 AM
Sub‐schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm unstressed Credit Valuation Adjustment (CVA), ranked by unstressed CVA
$ Millions
Counterparty identifiers
Rank
Consolidated/ Consolidated/P
Counterparty
Sub‐netting
Parent
arent
Counterparty
Netting Set ID
Legal Entity
Set ID
Industry Code
Counterparty Counterparty Legal Entity Name
(optional)
Identifier (LEI)
(optional)
Name
ID
Credit Quality Data
Country
Internal External
Gross CE
Rating
Rating
Stressed
Gross CE
FR Scenario
(Severely
Adverse)
consolidated/pa
Exposure and Position Data
Consolidated/P
Stressed Gross CE
arent
FR Scenario
Counterparty
(Adverse)
ID
Stressed Gross CE
BHC/IHC scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net CE
BHC/IHC scenario
Total Notional
New Notional
During
Quarter
Weighted
Average
Maturity
Position MtM
consolidated/pa
Consolidated/P
arent
Counterparty
ID
Total Net
Collateral
CVA
CVA Data
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario
FR Scenario and FR
BHC Scenario and
and FR
Specification
BHC specification
Specification
(Adverse)
(Severely
Credit Mitigants
CSA in place?
%
Gross CE with CSAs
Credit Hedges
Downgrade
Single Name
trigger
Credit Hedges
modeled?
Sub‐schedule L.1.b.1 Top 20 consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Scenario Stressed CVA for the CCAR quarter
$ Millions
Counterparty identifiers
Consolidated/P
Consolidated/P
Counterparty
arent
Counterparty Legal
Rank
arent
Legal Entity
Counterparty
Entity Name
Counterparty ID
Identifier (LEI)
Name
Netting Set ID
(optional)
Credit Quality Data
Sub‐netting Set
ID
(optional)
Industry
Code
Sub‐schedule L.1.b.2 Top 20 consolidated/parent counterparties ranked by BHC or IHC Scenario Stressed CVA
$ Millions
Country
Internal
Rating
External
Rating
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Sub‐sc
$ Milli
Exposure and Position Data
Rank
Sub‐sc
$ Milli
Stressed Gross
CE
FR Scenario
(Adverse)
Stressed Gross
CE
BHC/IHC
scenario
Net CE
Stressed Net CE
Stressed Net CE
FR Scenario
FR Scenario
Total Notional
(Severely
(Adverse)
Adverse)
New Notional
During Quarter
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub‐sc
$ Milli
CVA Data
Stressed Net CE
Rank
BHC/IHC
scenario
Sub‐sc
$ Milli
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Adverse)
(Severely Adverse)
Credit mitigants
Stressed CVA
%
BHC/IHC Scenario
CSA in place? Gross CE
and BHC/IHC
with CSAs
specification
Credit Hedges
Downgrade
trigger
modeled?
Single Name Credit
Hedges
Exposure and Position Data
Stressed Gross
Stressed Gross
CE
CE
Rank Federal Reserve
BHC/IHC
scenario
scenario
(Adverse)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Net CE
Stressed Net CE
Stressed Net CE
Federal Reserve
Federal Reserve
scenario
Total Notional
scenario
(Severely
(Adverse)
Adverse)
New Notional
During Quarter
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net CE
BHC/IHC
scenario
CVA
Stressed CVA
Stressed CVA
FR scenario and FR FR scenario and FR
specification
specification
(Severely Adverse)
(Adverse)
Credit mitigants
Stressed CVA
BHC/IHC scenario
% Gross CE
CSA in place?
and BHC/IHC
with CSAs
specification
Credit Hedges
Downgrade
trigger
modeled?
Single Name Credit
Hedges
Sub sc
$ Mill
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed
Stressed
Gross CE
Gross CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
Stressed
Gross CE
BHC/IHC
scenario
Net CE
Stressed Net Stressed
CE
Net CE
FR Scenario
FR
(Severely
Scenario
Adverse)
(Adverse)
Stressed
Net CE
BHC/IHC
scenario
Total
Notional
New
Weighted
Notional
Position
Average
During
MtM
Maturity
Quarter
Sub sc
$ Mill
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Total Net
Collateral
CVA
Stressed CVA
FR Scenario and
FR Specification
(Severely
Adverse)
Stressed CVA
FR Scenario and
FR Specification
(Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification
CSA in
place?
Credit Hedges
%
Downgrade
Single Name
Gross CE
trigger
Credit Hedges
with CSAs modeled?
Sub sc
Scena
$ Mill
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed
Stressed
Gross CE
Gross CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
Stressed
Gross CE
BHC/IHC
scenario
Net CE
Stressed Net Stressed
CE
Net CE
FR Scenario
FR
(Severely
Scenario
Adverse)
(Adverse)
Stressed
Net CE
BHC/IHC
scenario
Total
Notional
New
Weighted
Notional
Position
Average
During
MtM
Maturity
Quarter
Sub sc
Scena
$ Mill
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Total Net
Collateral
CVA
Stressed CVA
FR Scenario and
FR Specification
(Severely
Adverse)
Stressed CVA
FR Scenario and
FR Specification
(Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification
CSA in
place?
% Gross
CE with
CSAs
Credit Hedges
Downgrade
Single Name
trigger
Credit Hedges
modeled?
Sub sc
$ Mill
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed
Stressed
Gross CE
Gross CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
https://sp
Stressed
Gross CE
BHC/IHC
scenario
Net CE
Exposure and Position Data
Stressed Net Stressed
Stressed
CE
Net CE
Net CE
FR Scenario
FR
BHC/IHC
(Severely
Scenario
scenario
Adverse)
(Adverse)
Total
Notional
New
Weighted
Notional
Position
Average
During
MtM
Maturity
Quarter
Sub sc
$ Mill
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Total Net
Collateral
CVA
CVA Data
Stressed CVA
Stressed CVA
FR Scenario and
FR Scenario and
FR Specification
FR Specification
(Severely
(Adverse)
Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification
CSA in
place?
Credit Hedges
%
Downgrade
Single Name
Gross CE
trigger
Credit Hedges
with CSAs modeled?
Sub scnt in place)
$ Milli
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Gross CE
FR Scenario
(Adverse)
Stressed Gross
CE
BHC/IHC
scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC
Quarter
Scenario
Weighted
Average
Maturity
Sub sc
$ Milli
CVA Data
Rank Position MtM
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Total Net
Collateral
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
Specification
CSA in
place?
Credit Mitigants
Credit Hedges
%
Gross CE
with CSAs
Single Name
Credit Hedges
Downgrade
trigger
modeled?
Sub sc
(count
$ Milli
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Gross CE
FR Scenario
(Adverse)
Stressed Gross
CE
BHC/IHC
scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC
Quarter
Scenario
Weighted
Average
Maturity
Sub sc
(count
$ Milli
CVA Data
Rank Position MtM
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Total Net
Collateral
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
Specification
CSA in
place?
% Gross CE
with CSAs
Downgrade
trigger
modeled?
Credit Hedges
Single Name
Credit Hedges
Sub‐schedule L.1.e ‐ Aggregate CVA data by ratings and collateralization
$ Millions
Sub‐schedule L.1.e.1 Aggregate CVA data by ratings
Ratings Category
Internal
Rating
N/A
External Rating
Gross CE
excluding
CCPs
Gross CE to
CCPs
Stressed
Gross CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Gross CE to
CCPs
FR Scenario
(Severely
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
Gross CE to
CCPs
Stressed
Gross CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Gross CE to
CCPs
FR Scenario
(Severely
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
N/A
Sub‐schedule L.1.e.2 Additional/Offline CVA reserves
Reserve Type
Reserve Type
(a) Model/infrastructure limitations
(b) Trades not captured
(b.1) Fair‐valued Securities Financing Transactions (SFT)
(c) Offline reserves
(d) Funding Valuation Adjustment (if applicable)
(e) Other
Gross CE
excluding
CCPs
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
Specification
and BHC/IHC
Hedges
(Adverse)
(Severely Adverse)
Specification
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Credit Hedges
Credit Hedges
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
and BHC/IHC
Hedges
Specification
(Adverse)
Specification
(Severely Adverse)
Sub‐schedule L.1.e.3 Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category
Stressed
Stressed
Gross CE
Gross CE to
Gross CE
excluding
Internal
Gross CE to
CCPs
External Rating
excluding
CCPs
Rating
CCPs
FR Scenario
CCPs
FR Scenario
(Severely
(Severely
Adverse)
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
Sub‐schedule L.1.e.4 Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating
Ratings Category
Stressed
Stressed
Gross CE
Gross CE to Stressed Gross CE
Gross CE
excluding
excluding CCPs
Internal
Gross CE to
CCPs
External rating
excluding
CCPs
FR Scenario
rating
CCPs
FR Scenario
CCPs
FR Scenario
(Adverse)
(Severely
(Severely
Adverse)
Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
and BHC/IHC
Hedges
Specification
(Adverse)
Specification
(Severely Adverse)
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Credit Hedges
Credit Hedges
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
and BHC/IHC
Hedges
Specification
(Adverse)
Specification
(Severely Adverse)
CVA Data
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
Stressed
to CCPs
Net CE
FR Scenario
BHC/IHC Scenario
(Severely
Adverse)
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
and BHC/IHC
Hedges
(Severely Adverse)
Specification
CVA Data
Stressed
Net CE
Stressed
to CCPs
Net CE
FR Scenario
BHC/IHC Scenario
(Severely
Adverse)
CVA
Credit Hedges
Credit Hedges
Stressed CVA
Stressed CVA
FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
and BHC/IHC
Hedges
(Severely Adverse)
Specification
Sub‐schedule L.2.a EE profile by counterparty: Top consolidated/parent counterparties comprising 95% of firm unstressed CVA, ranked by unstressed CVA
$ Millions
Counterparty Identifiers
Rank
Consolidated/ Consolidated/
Sub‐netting
Counterparty
Netting Set ID
Counterparty Legal
Parent
Parent
Set ID
Legal Entity
(optional)
Entity Name
Counterparty Counterparty
(optional)
Identifier (LEI)
ID
Name
CVA Inputs
Industry
Code
Country
Internal Rating
External
Rating
Tenor
EE ‐ BHC/IHC
Marginal PD
Bucket in
Specification
Years
LGD
(CVA)
Discount
Factor
Stressed
EE ‐ FR
Scenario
& FR
Specificati
on
(Severely
Adverse)
Stressed EE FR
Scenario & FR
Specification
(Adverse)
ofile by counte
Stressed CVA Inputs
Consolidated/
Stressed EE ‐
Stressed Marginal Stressed Marginal Stressed Marginal
Parent
BHC/IHC Scenario
PD FR Scenario
PD BHC/IHC
PD FR Scenario
Counterparty
& BHC/IHC
(Adverse)
Scenario
(Severely Adverse)
ID
Specification
Stressed LGD
(CVA) FR
Stressed LGD (CVA)
FR Scenario
Scenario
(Adverse)
(Severely
Adverse)
ofile by counte
s
Consolidated/
Parent
Counterparty
ID
Stressed LGD Stressed LGD (PD) Stressed LGD (PD)
Stressed LGD (PD)
FR Scenario
(CVA) BHC/IHC
FR Scenario
BHC/IHC Scenario
(Adverse)
Scenario
(Severely Adverse)
Stressed
Stressed Discount
Discount
Factor
Factor
FR Scenario
FR Scenario
(Severely Adverse)
(Adverse)
Stressed
Discount
Factor
BHC/IHC
Scenario
Sub‐schedule L.3.a Credit quality by counterparty: Top consolidated/parent counterparties ranked by CVA comprising 95% of firm unstressed CVA, ranked by unstressed CVA
Counterparty and Time Identifiers
Rank
Consolidated/P Consolidated/
Sub‐netting
Counterparty
Netting Set ID
Parent
Counterparty
arent
Set ID
Legal Entity
(optional)
Counterparty Counterparty Legal Entity Name
(optional)
Identifier (LEI)
ID
Name
Industry
Code
Country
Internal
Rating
Market
External Time period
spread
Rating
(years)
(bps)
quality by cou
Data Inputs
Stressed
Spread
Consolidated/
Stressed
spreads
Spread (bps) used
Parent
spreads (bps)
(bps)
adjustme in CVA
Counterparty
FR Scenario
FR
nt (bps) calculatio
ID
(Adverse)
Scenario
n
(Severely
Type of Credit Quality Input
Stressed spreads
(bps)
BHC Scenario
Mapping
approach
Proxy
mapping
approach
Proxy
name
Market
Ticker /
input
identifier
type
Source
Report (Bloomber Commen
date
g, Markit,
ts
KMV, etc.)
t quality by cou
enario Stressed CVA for the CCAR quarter
Data Inputs
Stressed
Consolidated/
Spread
Spread (bps) spreads (bps)
Parent
adjustment used in CVA FR Scenario
Counterparty
(Severely
(bps)
calculation
ID
Adverse)
Type of Credit Quality Input
Stressed spreads
(bps)
BHC Scenario
Mapping
approach
Proxy
mapping
approach
Proxy
name
Market
Ticker /
input
identifier
type
Source
Report (Bloomber Commen
date
g, Markit,
ts
KMV, etc.)
Sub‐schedule L.4 Aggregate and Top CVA sensitivities by Risk Factor
L.4.a Aggregate CVA sensitivities by Risk Factor
L.4.b Top 10 Consolidated Counterparies CVA sensitivites by Risk Factor
Change to asset‐side CVA for a given change in the underlying risk factor, gross of any hedges.
$ Millions, Increase in CVA reported as positive figure
Credit Spreads
‐50%
‐10%
‐100bps
‐10bps
Aggregate CVA sensitivities and slides
+1bp
+10%
+100%
+300%
+1bp
<>
<>
+1bp
<>
<>
+300bps
+1bp
+1bp
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<>
<>
<>
<>
<>
<>
<>
<>
<>
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Counterparty/Reference Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC or lower
NR
Interest Rates (bps)
EUR
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
GBP
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
USD
<=1Y
1‐5Y
>=5‐10Y
>=10Y
+1bp
+10bps
+100bps
+1bp
<>
<>
Top 10 CVA Counterparties by Sensitivitiesy to by Risk Factors
+1bp
+1bp
+1bp
+1bp
<>
<>
<>
<>
<>
<>
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
All maturities
Other material IR sensitivities
<>
<>
<>
<>
<>
FX (%)
‐50%
‐10%
+1%
+10%
+50%
+100%
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
CAD
CHF
EUR
GBP
JPY
Other material FX sensitivities
<>
<>
<>
<>
<>
Equity (%)
‐50%
‐10%
+1%
+10%
+50%
+100%
US <>
Europe <>
Other <>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<