Fr Y-14q

Capital Assessments and Stress Testing Reports

FRY14Q_20191231_i_draft

FR Y-14Q

OMB: 7100-0341

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Download: pdf | pdf
Modified September 30, 2019
 

OMB No. 7100-0341
Expiration Date: December 31, 2020

Instructions for the
Capital Assessments and Stress Testing information collection
(Reporting Form FR Y-14Q)

These instructions incorporate the revisions finalized with the 
Tailoring Rules (see 84 FR 59230 and 84 FR 59032 (November 1, 
2019)). 
Revisions in red will go into effect for December 31, 2019. 
Revisions in blue will go into effect for March 31, 2020. 
Revisions in green will go into effect for June 30, 2020. 

This Report is required by law: section 165 of the Dodd‐Frank Act (12 U.S.C. § 5365), section 5 of the Bank Holding 
Company Act (12 U.S.C. § 1844) and section 10 of the Home Owners’ Loan Act (12 U.S.C. 1467a).  Public reporting 
burden for this information collection is estimated to vary from 4 to 1,926 hours per response, with an average of 243 
hours per response, including time to gather and maintain data in the required form and to review instructions and 
complete the information collection.  Comments regarding this burden estimate or any other aspect of this information 
collection, including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the Federal 
Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, 
Paperwork Reduction Project (7100‐0341), Washington, DC 20503.
 
 
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Contents	
GENERAL	INSTRUCTIONS .................................................................................................................................................. 4 
WHO	MUST	REPORT ................................................................................................................................................................................ 4 
WHERE	TO	SUBMIT	THE	REPORTS ............................................................................................................................................................ 6 
WHEN	TO	SUBMIT	THE	REPORTS .............................................................................................................................................................. 6 
HOW	TO	PREPARE	THE	REPORTS: ............................................................................................................................................................ 8 

Schedule	A	–	Retail ............................................................................................................................................................ 11 
A.1	–	INTERNATIONAL	AUTO	LOAN ........................................................................................................................................................ 11 
A.2	–	US	AUTO	LOAN ............................................................................................................................................................................ 16 
A.3	–	INTERNATIONAL	CREDIT	CARD ..................................................................................................................................................... 22 
A.4	–	INTERNATIONAL	HOME	EQUITY .................................................................................................................................................... 26 
A.5	–	INTERNATIONAL	FIRST	LIEN	MORTGAGE ...................................................................................................................................... 30 
A.6	–	INTERNATIONAL	OTHER	CONSUMER	SCHEDULE ............................................................................................................................ 34 
A.7	–	US	OTHER	CONSUMER ................................................................................................................................................................. 37 
A.8	–	INTERNATIONAL	SMALL	BUSINESS ................................................................................................................................................ 40 
A.9	–	US	SMALL	BUSINESS..................................................................................................................................................................... 44 
A.10	–	STUDENT	LOAN ......................................................................................................................................................................... 47 

Schedule	B—Securities .................................................................................................................................................... 51 
B.1—SECURITIES	1	(“MAIN	SCHEDULE”) .............................................................................................................................................. 51 
B.2—SECURITIES	2	(“INVESTMENT	SECURITIES	WITH	DESIGNATED	ACCOUNTING	HEDGES”) .................................................................. 57 

Schedule	C—Regulatory	Capital	Instruments ............................................................................................................. 62 
C.1—REGULATORY	CAPITAL	INSTRUMENTS	AS	OF	QUARTER	END .......................................................................................................... 62 
C.2—REGULATORY	CAPITAL	INSTRUMENT	REPURCHASES/REDEMPTIONS	DURING	QUARTER ................................................................ 64 
C.3	–	REGULATORY	CAPITAL	INSTRUMENTS	ISSUANCES	DURING	QUARTER ............................................................................................. 65 

Schedule	D—Regulatory	Capital	Transitions .............................................................................................................. 68 
D.1—CAPITAL	COMPOSITION ............................................................................................................................................................... 74 
D.2—EXCEPTION	BUCKET	CALCULATOR ............................................................................................................................................... 82 
D.3—	ADVANCED	RISK‐WEIGHTED	ASSETS .......................................................................................................................................... 85 
D.4—STANDARDIZED	RISK‐WEIGHTED	ASSETS .................................................................................................................................... 91 
D.5—LEVERAGE	EXPOSURE .................................................................................................................................................................. 96 
D.6—PLANNED	ACTIONS .................................................................................................................................................................... 101 

Schedule	E—Operational	Risk ...................................................................................................................................... 103 
E.1—OPERATIONAL	LOSS	HISTORY ..................................................................................................................................................... 103 
E.2.		INTERNAL	BUSINESS	LINE ............................................................................................................................................................ 110 
E.3.		UNIT‐OF‐MEASURE	(UOM) ......................................................................................................................................................... 111 
E.4.		THRESHOLD	INFORMATION .......................................................................................................................................................... 111 
E.5—LEGAL	RESERVES	FREQUENCY ..................................................................................................................................................... 112 

Schedule	F—Trading ...................................................................................................................................................... 115 
GLOSSARY ........................................................................................................................................................................................... 117 
REGIONAL	GROUPINGS ........................................................................................................................................................................ 119 
F.1—EQUITY	BY	GEOGRAPHY ............................................................................................................................................................. 121 
F.2—EQUITY	SPOT‐VOL	GRID ............................................................................................................................................................ 122 
F.3—OTHER	EQUITY .......................................................................................................................................................................... 123 

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F.4—FX	SPOT	SENSITIVITIES .............................................................................................................................................................. 124 
F.5—FX	VEGA .................................................................................................................................................................................... 125 
F.6—RATES	DV01 ............................................................................................................................................................................. 126 
F.7—RATES	VEGA .............................................................................................................................................................................. 128 
F.8—OTHER	RATES ............................................................................................................................................................................ 129 
F.9—ENERGY ..................................................................................................................................................................................... 130 
F.10—METALS .................................................................................................................................................................................. 131 
F.11—AGS	&	SOFTS ........................................................................................................................................................................... 132 
F.12—COMMODITY	INDICES ............................................................................................................................................................... 133 
F.13—COMMODITY	SPOT‐VOL	GRIDS ................................................................................................................................................. 134 
F.14—SECURITIZED	PRODUCTS .......................................................................................................................................................... 136 
F.15—AGENCIES ................................................................................................................................................................................ 137 
F.16—MUNIS ..................................................................................................................................................................................... 138 
F.17—AUCTION	RATE	SECURITIES	(ARS) .......................................................................................................................................... 139 
F.18—CORPORATE	CREDIT‐ADVANCED .............................................................................................................................................. 140 
F.19—CORPORATE	CREDIT‐EMERGING	MARKETS............................................................................................................................... 142 
F.20—SOVEREIGN	CREDIT ................................................................................................................................................................. 144 
F.21—CREDIT	CORRELATION ............................................................................................................................................................. 146 
F.22—IDR‐CORPORATE	CREDIT ........................................................................................................................................................ 148 
F.23—IDR‐JUMP	TO	DEFAULT ........................................................................................................................................................... 150 
F.24—PRIVATE	EQUITY ..................................................................................................................................................................... 151 
F.25—OTHER	FAIR	VALUE	ASSETS ..................................................................................................................................................... 152 

Schedule	G—PPNR .......................................................................................................................................................... 153 
G.1—PPNR	SUBMISSION	WORKSHEET ............................................................................................................................................... 156 
G.2—PPNR	NET	INTEREST	INCOME	(NII)	WORKSHEET ..................................................................................................................... 170 
G.3—PPNR	METRICS ........................................................................................................................................................................ 178 

Schedule	H—Wholesale	Risk ........................................................................................................................................ 190 
H.1	‐	 CORPORATE	LOAN	DATA	SCHEDULE ........................................................................................................................................... 190 
H.2	–	 COMMERCIAL	REAL	ESTATE	SCHEDULE ..................................................................................................................................... 247 

Schedule	I	–MSR	Valuation	Schedule ........................................................................................................................... 284 
Schedule	J	–	Retail	Fair	Value	Option/Held	for	Sale	(FVO/HFS) ............................................................................ 287 
Schedule	K	‐	Supplemental ............................................................................................................................................ 290 
Schedule	L	‐	Counterparty ............................................................................................................................................. 293 
Schedule	M—Balances ................................................................................................................................................... 329 
Appendix	A:		FR	Y‐14Q	Supporting	Documentation ................................................................................................. 337 
SUPPORTING	DOCUMENTATION	FOR	SCHEDULE	C	–	REGULATORY	CAPITAL	INSTRUMENTS .................................................................... 337 
SUPPORTING	DOCUMENTATION	FOR	SCHEDULE	D	–	REGULATORY	CAPITAL	TRANSITIONS ..................................................................... 337 
SUPPORTING	DOCUMENTATION	FOR	SCHEDULE	L	–	COUNTERPARTY ..................................................................................................... 338 

 

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INSTRUCTIONS FOR PREPARATION OF
Capital	Assessments	and	Stress	Testing	Report	
FR	Y‐14Q	
GENERAL	INSTRUCTIONS	
The Capital Assessments and Stress Testing Report (FR Y-14Q report) collects detailed data on bank holding
companies’ (BHCs) and intermediate holding companies’ (IHCs) and covered savings and loan holding
companies’ (SLHCs)1 various asset classes, capital components, and categories of pre-provision net revenue
(PPNR) on a quarterly basis, which will be used to support supervisory stress testing models and for continuous
monitoring efforts.
The FR Y-14Q report is comprised of Retail, Securities, Regulatory Capital Instruments, Regulatory Capital
Transitions, Operational, Trading, PPNR, Wholesale, MSR Valuation Schedule, Retail Fair Value Option/Held for
Sale, Supplemental, Counterparty and Balances schedules, each with multiple supporting worksheets. All of the
data schedules are to be submitted for each reporting period unless materiality thresholds apply. The number of
schedules a BHC or IHC must complete is subject to materiality thresholds and certain other criteria.
BHCs and IHCs may also be required to submit qualitative information supporting their projections, including
descriptions of the methodologies used to develop the internal projections of capital across scenarios and other
analyses that support their comprehensive capital plans. Further information regarding the qualitative and
technical requirements of required supporting documentation is provided in individual schedules as
appropriate, as well as in the Supporting Documentation instructions (Appendix A). When submitting supporting
documentation, provide each response in a separate document.
Who	Must	Report	
A. Reporting	Criteria
Bank holding companies (BHCs) with total consolidated assets of $100 billion or more, and intermediate
holding companies (IHCs) with total consolidated assets of $100 billion or more, as defined by the capital plan
rule (12 CFR 225.8), are required to submit the Capital Assessment and Stress Testing report (FR Y-14A/Q/M)
to the Federal Reserve. Covered SLHCs with total consolidated assets of $100 billion or more, as defined by the
Board’s rule on savings and loan holding companies (12 CFR part 238), are required to submit the Capital Assessment
and Stress Testing report (FR Y14A/Q/M) to the Federal Reserve.2 The capital plan and savings and loan holding
company rules define total consolidated assets as the average of the company’s total consolidated assets over
the course of the previous four calendar quarters, as reflected on the BHC’s, IHC’s or SLHC’s Consolidated
Financial Statement for Bank Holding Companies (FR Y–9C). Total assets shall be calculated based on the due
date of the bank or intermediate holding company’s most recent FR Y–9C. If the BHC, IHC or SLHC has not filed
an FR Y-9C for each of the four most recent quarters, the average of the BHC’s,IHC’s or SLHC’s total
consolidated assets in the most recent consecutive quarters as reported quarterly on the BHC’s, IHC’s or
SLHC’s FR Y-9C should be used in the calculation. Firms are required to file the FR Y-14 reports beginning with
the reporting period after the end of the quarter in which the threshold was met. For example, if a firm crossed
the $100 billion threshold on July 25 of a given year, and met the threshold based on their FR Y-9C submission
as of the end of the third quarter, the firm would be required to first report the FR Y-14Q and FR Y14A reports
as of December 31 of that year, and the FR Y-14M report as of December of that year. See “When to Submit the
Reports” for information regarding when the reports are to be submitted to the Federal Reserve.
                                                            
Covered SLHCs are SLHCs that are not substantially engaged in commercial or insurance activities. See 12 CFR 217.2;
238.2(ee) (definitions of “covered savings and loan holding company”).
2
 SLHCs will begin filing the FR Y‐14Q starting with the June 30, 2020, report date. 
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Certain data elements within the schedules are subject to materiality thresholds. The instructions to these data
schedules provide details on how to determine whether a BHC or IHC must submit a specific schedule,
worksheet, or data element. A BHC or IHC must fill out all of the schedules of the FR Y-14M and FR Y-14Q where
the BHC or IHC meets the materiality definition. When applicable, the definition of the BHC’s or IHC’s or SLHC’s
submissions should correlate to the definitions outlined by the corresponding MDRM code within the FR Y-9C
report.
All schedules are required to be reported by all BHCs, IHCs and SLHCs with exceptions as described below:
		
PPNR,	Regulatory	Capital	Transitions,	Regulatory	Capital	Instruments	and	Balances	schedules:	All bank
and intermediate holding companies must submit these schedules.
PPNR	and	Balances	schedules:	All	SLHCs	must	submit	these	schedules.
	
Trading	and	Counterparty	schedules:	 Only BHCs, IHCs or SLHCs subject to supervisory stress tests and that (1)
have aggregate trading assets and liabilities of $50 billion or more, or aggregate trading assets and liabilities
equal to 10 percent or more of total consolidated assets, and (2) are not “large and noncomplex firms” under the
Board’s capital plan rule3 or SLHCs subject to Category IV standards under the Board’s savings and loan holding
company rule must submit this schedule and worksheets.4
All	other	quarterly	schedules:	 Reporting of the remaining schedules is subject to materiality thresholds.
For	large	and	noncomplex	firms5	and	SLHCs	subject	to	Category	IV	standards6: Material portfolios are
defined as those with asset balances greater than $5 billion or with asset balances greater than ten percent of
Tier 1 capital on average for the four quarters preceding the reporting quarter.
For	large	and	complex	or	LISCC	firms7	and	SLHCs	subject	to	Category	II	and	III	standards8:Material
portfolios are defined as those with asset balances greater than $5 billion or asset balances greater than five
percent of Tier 1 capital on average for the four quarters preceding the reporting quarter.
For schedules that require the institutions to report information on serviced loans, the materiality threshold is
based on the asset balances associated with the BHC’s or IHC’s or SLHC’s owned portfolio. All data used to
determine materiality should be measured as of the close of business of the last calendar day of the quarter,
and assets included in a given portfolio are defined in the instructions for each schedule.
                                                            
A large and noncomplex firm is defined under the capital plan rule as a firm that has average total consolidated assets of at
least $50 billion but less than $250 billion, has average total nonbank assets of less than $75 billion, and is not identified as
global systemically important bank holding company (GSIB) under the Board’s rules. See 12 CFR 225.8(d)(9). 
4 See the final notice (82 FR 59608) for further details regarding application of GMS for the 2018 exercise, and Trading and
Counterparty submission for firms newly subject under the modified threshold.
5 A large and noncomplex firm is a BHC or a U.S. intermediate holding company subsidiary of a foreign banking organization
(IHC) with total consolidated assets of at least $50 billion but less than $250 billion, total consolidated nonbank assets of less
than $75 billion, and is not a U.S. GSIB.
6 Category IV standards apply to covered SLHCs with $100 billion or more in total consolidated assets that do not meet the
criteria for Categories II or III. See 12 CFR 238.10.
7 A LISCC firm is a BHC subject to the Federal Reserve’s Large Institution Supervisory Coordinating Committee (LISCC)
framework. A large and complex firm is a BHC, other than a LISCC firm, with total consolidated assets of $250 billion or more;
and nonbank assets of $75 billion or more.
8 Category II standards apply to covered SLHCs with greater than $700 billion in assets or $75 billion in cross-jurisdictional
activity. Category III standards apply to covered SLHCs with greater than $250 billion in assets or greater than $75 billion in
nonbank assets, short-term wholesale funding or off balance-sheet exposure. See 12 CFR 238.10.
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the as-of-date for the
fourth quarter would
be communicated in
the subsequent
quarter.
For all other quarters,
the as-of date would be
the last day of the
quarter, except for
BHCs or IHCs that are
required to re-submit
their capital plan.
For these BHCs or
IHCs, the as-of date for
the quarter preceding
the quarter in which
they are required to resubmit a capital plan
would be
communicated to the
BHCs or IHCs during
the subsequent
quarter.
For FVO loan hedges
submission:
Data as-of each
calendar quarter end

September (seven days after the FR Y9C reporting schedule).
Fourth	quarter	–	Trading	and	
Counterparty	(Regular/unstressed	
submission):	
52 calendar days after the notification
date (notifying respondents of the asof-date) or March 15, whichever
comes earlier. Unless	the	Board	
requires	the	data	to	be	provided	
over	a	different	weekly	period,
BHCs, SLHCs, and IHCs may provide
these data as-of the most recent date
that corresponds to their weekly
internal risk reporting cycle as long as
it falls before the as-of-date.
Fourth	quarter	–	Counterparty	
(CCAR/stressed	submission):	
April 5.
In addition, for BHCs and IHCs that are
required to re-submit a capital plan,
the due date for the quarter preceding the quarter in which the BHCs
or IHCs are required to re-submit a
capital plan would be the later of (1)
the normal due date or (2) the date
that the re-submitted capital plan is
due, including any extensions.
For FVO loan hedges submission:
47 calendar days after the calendar
quarter-end for March, June, and
September and 52 calendar days after
the calendar quarter-end for
December (seven days after the FR Y9C reporting schedule)

If the submission date falls on a weekend or holiday, the data must be received on the first business day after the
weekend or holiday. No other extensions of time for submitting reports will be granted. Early submission,
including submission of schedules on a flow basis prior to the due date, aids the Federal Reserve in reviewing and
processing data and is encouraged.
New	Reporters:	Onboarding delays apply to institutions that have not previously submitted the FR Y-14 reports. 	
For the FR Y-14Q schedules, the filing deadline will be extended to (1) 90 days after the quarter-end for the first
two quarterly submissions and (2) 65 days after the quarter-end for the third and fourth quarterly submissions.
Beginning with the fifth quarterly submission, these respondents will be required to adhere to the standard
reporting deadlines above.	
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How	to	Prepare	the	Reports:		
A.
Applicability	of	GAAP	
BHCs, IHCs and SLHCs are required to prepare and file the FR Y-14Q schedules in accordance with generally
accepted accounting principles (GAAP) and these instructions. The financial records of the BHCs,IHCs and SLHCs
should be maintained in such a manner and scope to ensure the FR Y-14Q is prepared in accordance with these
instructions and reflects a fair presentation of the BHCs', IHCs’ and SLHCs’ financial condition and assessment of
performance under stressed scenarios.
In June 2016, the Financial Accounting Standards Board (FASB) issued accounting standards update (ASU) 201613 which introduced the current expected credit losses methodology (CECL) for estimating allowances for credit
losses and added Topic 326, Credit Losses, to the Accounting Standards Codification (ASC). The new credit losses
standard changes several aspects of existing U.S. GAAP. Firms must apply ASU 2016-13 for FR Y-14 reporting
purposes in accordance with the effective dates set forth in the ASU, ranging from the first quarter of 2019
through the fourth quarter of 2022. As a result, the reporting of information associated with ASU 2016-13 will
begin with the reports effective September 30, 2019, but would not be fully phased in and reflected on the
reporting forms and instructions until the FR Y-14Q report for March 31, 2022.
Institutions that have adopted CECL should refer to Regulation YY, 12 CFR part 252, regarding the requirement
to reflect ASU 2016-13 for a given stress test cycle.
Rules	of	Consolidation
B.
Please reference the FR Y-9C General Instructions for a discussion regarding the rules of consolidation.
C.
Technical	Details	
The following instructions apply generally to the FR Y-14Q schedules, unless otherwise specified. For further
information on the technical specifications for this report, please see the Technical Instructions.
•
Do not enter any information in gray highlighted or shaded cells, including those with embedded formulas.
Only non-shaded cells should be completed by institutions.
•
Ensure that any internal consistency checks are complete prior to submission.
•
Report dollar values in millions of US dollars (unless specified otherwise).
•
Dates should be entered in an YYYYMMDD format (unless specified otherwise).
•
Report negative numbers with a minus (-) sign.
Report data as an integer (unless specified otherwise)
•
•
An amount, zero or null should be entered for all items, except in those cases where other options such as
“not available” or “other” are specified. If information is not available or not applicable and no such options
are offered, the field should be left blank.
•
Report income and loss data on a quarterly basis, and not on a cumulative or year-to-date basis.
D. Other	Instructional	Guidance	
BHCs, IHCs and SLHCs should review the following published documents (in the order listed below) when
determining the precise definition to be used in completing the schedules. Where applicable, references to the FR Y9C have been provided in the instructions and templates noting associations between the reporting series.
1)
2)
3)

The FR Y-14A instructions;
The FR Y-14M instructions;
The latest available FR Y-9C instructions published on the Federal Reserve’s public web site:
http://www.federalreserve.gov/reportforms;

For purposes of completing certain FR Y-14Q schedules, BHCs and IHCs should also consult the most up-to-date
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CCAR instructions available on the Federal Reserve’s public website. following references for relevant guidance:


CapPR 2013 Instructions available at:
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b2.pdf



CCAR 2013 Instructions available at:
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b1.pdf

E. Confidentiality	
As these data will be collected as part of the supervisory process, they are subject to confidential treatment under
exemption 8 of the Freedom of Information Act. 5 U.S.C. 552(b)(8). In addition, commercial and financial
information contained in these information collections may be exempt from disclosure under Exemption 4.5 U.S.C.
552(b)(4). Disclosure determinations would be made on a case-by-case basis.
F. Legal	Considerations	for	International	Exposures
A BHC or IHC or SLHC is not required to report a particular data item if a foreign law prohibits the BHC or IHC or
SLHC from providing the information to the Federal Reserve. However, the Federal Reserve is authorized by law to
collect information from a BHC or IHC or SLHC regarding its exposures, including foreign exposures.
A BHC or IHC or SLHC must include with its data submission a legal analysis of the foreign law that prohibits
reporting the data to the Federal Reserve. The legal analysis must include, but is not limited to, a detailed
description of the law(s) prohibiting the reporting of the information to the Federal Reserve, a summary
description of the exposures omitted, any other information the BHC or IHC or SLHC deems relevant to justify
omitting the data, and any additional information required by the Federal Reserve.
	
G. Amended	Reports
The Federal Reserve will require the filing of amended reports if previous submissions contain significant errors. In
addition, a reporting institution must file an amended report when it or the Federal Reserve discovers significant
errors or omissions subsequent to submission of a report. Failure to file amended reports on a timely basis may
subject the institution to supervisory action.
If resubmissions are required, institutions should contact the appropriate Reserve Bank, as well as the FR Y-14
mailbox at [email protected], and resubmit data via the Intralinks website.
	
H. Questions	and	Requests	for	Interpretations	
BHCs,IHCs and SLHCs should submit any questions or requests for interpretations by e-mail to their designated
Federal Reserve contact or [email protected] for questions regarding CCAR.
I.

Attestation	

For Bank Holding Companies Intermediate Holding Companies, and Savings and Loan Holding Companies that are
subject to supervision by the Federal Reserve’s Large Institution Supervision Committee,9 the Capital Assessments
and Stress Testing (FR Y-14A/Q/M) data submissions must be accompanied by an attestation signed by the chief
financial officer or an equivalent senior officer. By signing the attestation cover page , the authorized officer
acknowledges that any knowing and willful misrepresentation or omission of a material fact on this report
constitutes fraud in the inducement and may subject the officer to legal sanctions provided by 18 USC 1001 and
1007. Material weaknesses in internal controls or material errors or omissions in the data submitted must be
reported through the respondent’s designated Federal Reserve System contacts as they are identified.
                                                            
9

http://www.federalreserve.gov/bankinforeg/large-institution-supervision.htm

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The cover page for the FR Y-14A/Q/M attestations should be submitted as follows:
 FR Y-14A/Q (annual submission): the attestation associated with the annual submission (i.e., data reported
as of December 31, including the global market shock submission ) should be submitted on the last
submission date for those reports, typically April 5 of the following year.10
 FR Y 14A (mid cycle submission): the attestation associated with the semi annual submission (i.e. data
reported as of June 30) should be submitted on the data due date for that submission, October 5 of a given
year.
 FR Y-14M: for those firms that file the FR Y-14M reports, the three attestations for the three months of the
quarter will be due on one date, the final FR Y-14M submission date for those three intervening months.11
Note that one attestation page per monthly submission is still required.
 FR Y-14Q: the FRY14Q attestation for the three remaining quarters (Q1, Q2, and Q3) should be submitted
on the due date for the FR Y-14Q for that quarter.
A signed version of the attestation cover page and any supporting materials should be submitted electronically in
Intralinks and tagged with the attestation submission type and applicable report date. Respondents must maintain in their
files a signed attestation cover page.
	
Definition	of	Commercially	Available	Credit	Bureau	Score:	
For the purposes of the FR Y-14Q, a credit score is a numerical value or a categorization derived from a statistical
tool or modeling system that characterizes the credit risk of a borrower used by a person who makes or arranges a
loan to predict the likelihood of credit default. A credit bureau score is a credit score based solely on the
borrower’s credit history available through one of the three national credit reporting agencies (Equifax, Experian,
and TransUnion).
A commercially available credit bureau score is a credit bureau score which is available to all commercial lenders.
For example, FICO 08 and VantageScore 3.0 are commercially available credit scores, while internally developed
credit scores and custom scores tailored to a lender’s own portfolio and provided by third parties are not
commercially available credit scores.
For a commercially available credit bureau score to qualify for submission in this schedule, the Federal Reserve
must be able to obtain sufficient information from the credit score vendor to (a) determine whether the credit
score is empirically derived and demonstrably sound (b) evaluate the performance of the credit score and (c)
compare that performance to other commercially available credit bureau scores. The Federal Reserve reserves the
right to determine whether a credit score qualifies as a commercially available credit bureau score for the
purposes of this schedule.
	
Most	Recent	Capital	Framework:	
For all items and instructions related to regulatory capital, particularly where the “most recent capital framework”
is referenced, respondents should refer to 12 CFR parts 208, 217, and 225.

                                                            
For example, all of the FR Y-14Q schedules due 52 days after the as of date (typically mid-February), all of the FR Y-14A
schedules due April 5, and the trading and counterparty schedules due on the global market shock submission date (March 15
at the latest) will be due on the latest of those dates, typically the annual submission date for the FR Y-14A report schedules
(April 5).
11 For example, the attestation cover pages and any associated materials for the FR Y-14M reports with January, February, and
March as of dates will be due on the data due date for the March FR Y-14M.
10

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Schedule	A	–	Retail		
A.1	–	International	Auto	Loan	
This section provides general guidance and data definitions for the International Auto Loan
Worksheet. In this worksheet, include international (not US or US territories and
possessions) auto loans as defined in the FR Y-9C, Schedule HC-C, item 6.c and international
auto leases as defined in the FR Y-9C, Schedule HC-C, item 10.a. For Summary Variable line
items #10 & #11 include all repossessed international auto loans as defined in the FR Y-9C,
Schedule HC-F, item 6. Include only “managed” (securitized or non-securitized) loans,
where “managed” refers to loans originated by the BHC or IHC or SLHC, including
securitized loans put back on the books due to ASC Topics 860 and 810 (FAS 166/167). Do
not include loans that were originated by a third party and only serviced by the BHC or IHC
or SLHC. Only include loans and leases held for investment at amortized cost; do not
include loans or leases held for sale or held for investment and measured at fair value under
the fair value option. For the US Auto Loan Worksheet, see instructions for Worksheet 2.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, three original industry standard credit
score or equivalent segments, six delinquency status segments, and four geography
segments; therefore, the portfolio must be divided into a total of 3*3*6*4 = 216 distinct
segments. Each segment should be identified by a unique eight-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.1.a. For example, the segment containing new auto loans (product type segment “01”)
that had an origination FICO score or equivalent of greater than 620 (origination industry
standard credit score or equivalent “02”), are 120+ DPD (delinquency status segment “06”),
and where the borrowers reside in the Asia Pacific region (geography segment “04”) should
be identified by the segment ID “01020604”. When reporting the segment ID, do not drop
leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 216 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), and the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntAuto”	for this worksheet. For each
row, populate the segment variables listed in Table A.1.a and the summary variables listed
in Table A.1.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.		
	
Note: For Summary Variable line items (items 20-23) use the loan level parameters defined
in the most recent capital framework for all accounts in a specific segment and calculate the
account weighted average. Each month’s parameters need to be calculated specific to that
month.
If Basel data are not refreshed monthly, use the appropriate Basel data from the prior
11 
 

quarter. For example, if the Basel data are not refreshed until the third month of a quarter,
use the Basel data for the prior quarter for the first two months of the next reporting
quarter.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	– Segment the portfolio into the following product types.
01 –New auto loans
02 –Used auto loans
03 –Auto leases
2. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <=620
02 - >620
03 - N/A – Original credit score is missing or unknown
3. Delinquency	status	- Segment the portfolio into the following six delinquency statuses:
01 - Current: Accounts that are not past due (accruing and non-accruing) as of monthend.
02 - 1-29 days past due (DPD): Accounts that are 1 to 29 days past due (accruing and
non-accruing) as of month-end.
03 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing) as
of month-end.
04 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing) as
of month-end.
05 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and non-accruing)
as of month-end.
06 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
4. Geography	–Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Canada
02 - EMEA—Europe, Middle East, and Africa
03 - LATAM—Latin America and Caribbean
04 - APAC—Asia Pacific
12 
 

B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
When reporting $ Vehicle Type (lines 5-8), vehicles should be classified for the purpose of
this schedule by body style; however, a luxury vehicle may include all body styles that meet
the qualification of a high cost vehicle that aspires to provide drivers with the peak of driving
comfort and performance. A luxury vehicle may be manufactured by a conventional
automobile manufacturer but still be considered a luxury vehicle if it meets the standards of
high price as compared to conventional vehicles and peak driving performance and comfort.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– Total unpaid principal balance for accounts on the book for the
segment reported as of month-end.
3. #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $	New	accounts	– The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $	Vehicle	type	car/van	– The unpaid principal balance in the portfolio with vehicle type
classified as “car/van” for the segment as of month-end.
6. $	Vehicle	type	SUV/truck	– The unpaid principal balance in the portfolio with vehicle
type classified as “SUV/truck” for the segment as of month-end.
7. $	Vehicle	type	sport/luxury/convertible	– The unpaid principal balance in the
portfolio with vehicle type classified as “sport/luxury/convertible” for the segment as of
month-end.
8. $	Vehicle	type	unknown	– The unpaid principal balance in the portfolio with vehicle
type classified as “unknown” for the segment as of month-end.
9. $	Repossession	–	The unpaid principal balance of loans still on the books whose
vehicles have been repossessed for the segment as of month-end. This field captures
the stock of repos.
10. $	Current	month	repossession	–	The unpaid principal balance of loans still on the
books whose vehicles were newly repossessed in the given month for the segment as of
month-end. This field captures the flow of repos in the current month, and should
include both active and charged-off loans.
11. $	Gross	contractual	charge‐offs	–The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
The amount reported here should be consistent with the amount reported on Schedule
HI-B, Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
13 
 

charged-off loans by their delinquency status at charge-off. Charge-offs should be
performed per loss recognition policy consistent with the FFIEC Uniform Retail Credit
Classification and Account Management Policy.
12. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
13. $	Recoveries	– The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off, including recoveries on acquired
loans/portfolios. The amount reported here should be consistent with the amount
reported on Schedule HI-B, Part I, Column B of the FR Y-9C for the corresponding time
period. For the Delinquency Status segment, categorize charged-off loans by their
delinquency status at charge-off. Reversals of recoveries should be recorded as negative
recoveries.
14. $	Net	charge‐offs	– The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
15. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs - $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs - $ recoveries] in this variable.
As a separate document included in the submission, provide an explanation for such a
difference (for example, fraud losses are also include in the BHC’s or IHC’s or SLHC’s $
net charge-offs variable). If the adjustment factor variable represents more than one
factor leading to the difference, provide a separate breakout of the multiple factors.
16. $	Ever	30DPD	in	the	last	12	months	–	The total unpaid principal balance for the
segment as of month-end that was 30 or more days past due at any given time in the
twelve months ending in the reference month.
17. $	Ever	60DPD	in	the	last	12	months	–	The total unpaid principal balance for the
segment as of month-end that was 60 or more days past due at any given time in the
twelve months ending in the reference month.
18. Projected	value	–	Total projected value of lease at termination. Only calculated for
leased vehicles.
19. Actual	sale	proceeds	–	Sales proceeds from terminated leases. Only calculated for
leased vehicles.
20. Probability	of	Default	(PD)	‐ Report the average Probability of Default (PD) as defined
in the most recent capital framework for accounts within the segment. More specifically,
use the PD associated with each account’s corresponding segment and then calculate the
account weighted average PD of all the accounts in this specific Y-14Q segment. Note:
14 
 

Applicable only to the advanced approaches reporting banks. A one in ten probability of
default should be reported as 0.1.
21. Loss	Given	Default	(LGD)	‐ Report the Loss Given Default (LGD) as defined in the most
recent capital framework for accounts within the segment. More specifically, use the LGD
associated with each account’s corresponding segment and then calculate the account
weighted average LGD of all the accounts in this specific Y-14Q segment. Note: Applicable
only to the advanced approaches reporting banks. A ninety percent loss given default
should be reported as 0.9.
22. Expected	Loss	Given	Default	(ELGD)	‐ Report the Expected Loss Given Default (ELGD)
as defined in the most recent capital framework parameter for accounts within the
segment. More specifically, use the ELGD associated with each account’s corresponding
segment and then calculate the account weighted average ELGD of all the accounts in this
specific Y-14Q segment. Missing or unavailable values should be reported as null. Note:
Applicable only to the advanced approaches reporting banks. A ninety percent expected
loss given default should be reported as 0.9.
23. Risk‐Weighted	Asset	(RWA)	‐ Report the aggregate dollar Risk Weighted Asset (RWA)
for accounts within the segment as defined in the most recent capital framework. More
specifically, calculate the RWA associated with each account based on the IRB Risk-Based
Capital Formula and then calculate the account weighted average RWA of all the
accounts in this specific Y-14Q segment. Note: Applicable only to banks subject to the
advanced approaches rule. This item is required for BHC or IHC or SLHC-owned loans
only.
24. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.

15 
 

 

A.2	–	US	Auto	Loan	
This section provides general guidance and data definitions for the US Auto Loan
Worksheet. For the International Auto Loan Worksheet, see the instructions for Worksheet
1. In this worksheet, include all domestic auto loans as defined in the FR Y-9C, Schedule
HC-C, item 6.c and domestic auto leases as defined in the FR Y-9C, Schedule HC-C, item
10.a. For Summary Variable line items 10 & 11 include all repossessed auto loans as
defined in the FR Y-9C, Schedule HC-F, item 6. Include only “managed” (securitized or nonsecuritized) loans, where “managed” refers to loans originated by the BHC or IHC or SLHC,
including securitized loans put back on the books due to FAS 166/167 (ASC Topics 860 and
810). Do not include loans that were originated by a third party and only serviced by the
BHC or IHC or SLHC. Only include loans and leases held for investment at amortized cost;
do not include loans or leases held for sale or held for investment and measured at fair
value under the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, six age segments, four original LTV segments,
five six original industry standard credit score or equivalent segments, six geography
segments, and five delinquency status segments; therefore, the portfolio must be divided into
a total of 3*6*4*5 6*6*5 = 10,800 12,960 distinct segments. Each segment should be
identified by a unique twelve-digit segment ID (variable name: SEGMENT_ID) based on the
segment ID positions and attribute codes listed in Table A.2.a. For example, the segment
containing new auto loans (product type segment “01”) that are greater than five years old
(age segment “01”), had an origination LTV of greater than 120 (original LTV segment “03”),
had an origination FICO score or equivalent of greater than 720 (original industry standard
credit score or equivalent segment “04”), where the borrowers reside in Region 3
(geography segment “03”), and that are 120+ DPD (delinquency status segment “05”) should
be identified by the segment ID “010103040305”. When reporting the segment ID, do not
drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 10,800 portfolio segments described above. First time filers
must submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), and the portfolio ID (Variable name: PORTFOLIO_ID). Use the
portfolio ID “Auto” for your Portfolio ID within this worksheet. For each row, populate the
segment variables listed in Table A.2.a and the summary variables listed in Table A.2.b.
Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
Note: For Summary Variable line items (items 28-31) related to the most recent capital
framework use the loan level parameters for all accounts in a specific segment and calculate
the account weighted average. Each month’s parameters need to be calculated specific to
that month.
If Basel data are not refreshed monthly, use the appropriate Basel data from the prior
quarter. For example, if the Basel data are not refreshed until the third month of a quarter,
use the Basel data for the prior quarter for the first two months of the next reporting
quarter.
16 
 

 

A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	- Segment the portfolio into the following product types:
01 –New auto loans
02 –Used auto loans
03 –Auto leases
2. Age	–	Refers to the time that has elapsed since the loan was originated. If there were
multiple disbursements tied to an original then use the time since the first
disbursement. There are six possible ages to report:
01 - 5 years <= Age
02 - 4 years <= Age < 5 years
03 - 3 years <= Age < 4 years
04 - 2 years <= Age < 3 years
05 - 1 year <= Age < 2 years
06 - Age < 1 year
3. Original	LTV	- Segment the portfolio into the loan to value ratio at origination
(calculated using the wholesale price of the vehicle). Please round any LTV ratios up to
the next integer (LTV 90.01-90.99 to 91). Please break into the following segments:
01 - <= 90
02 - 91 – 120
03 - > 120
04 - N/A – Original LTV is missing or unknown
4. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
00 - <=560
01 - >560 and <= 620
02 - > 620 and <= 660
03 - > 660 and <= 720
04 - > 720
05 - N/A — Original credit score is missing or unknown
5. Geography	‐	Segment the portfolio into the following six geographical area
designations. The primary borrower’s current place of residence should be used to
define the region.
01 - Region 1: California, Nevada, Florida, Arizona, and US Territories and possessions
(Puerto Rico, Guam, etc.)
02 - Region 2: Rhode Island, South Carolina, Oregon, Michigan, Indiana, Kentucky,
17 
 

 

Georgia, Ohio, Illinois
03 - Region 3: Washington D.C., Mississippi, North Carolina, New Jersey, Tennessee,
Missouri, West Virginia, Connecticut, Idaho, Pennsylvania, Washington, Alabama
04 - Region 4: Delaware, Massachusetts, New York, Colorado, New Mexico, Texas
05 - Region 5: Alaska, Louisiana, Wisconsin, Arkansas, Maine, Maryland, Utah, Montana,
Minnesota, Oklahoma, Iowa, Virginia, Wyoming, Kansas, Hawaii
06 - Region 6: Vermont, New Hampshire, Nebraska, South Dakota, North Dakota
6. Delinquency	status	- Segment the portfolio into the following five delinquency
statuses:
01 - Current + 1-29 DPD: Accounts that are not past due (accruing and non-accruing) or
are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for
each segment described in Section A.
When reporting $ Vehicle Type (lines 6-9), vehicles should be classified for the purpose
of this schedule by body style; however, a luxury vehicle may include all body styles that
meet the qualification of a high cost vehicle that aspires to provide drivers with the peak
of driving comfort and performance. A luxury vehicle may be manufactured by a
conventional automobile manufacturer but still be considered a luxury vehicle if it
meets the standards of high price as compared to conventional vehicles and peak
driving performance and comfort.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end. The BHC or IHC or SLHC should follow
its standard practice for assigning date of origination.
4. $	New	accounts	– The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end. The BHC or IHC or SLHC should
follow its standard practice for assigning date of origination.
5. Interest	rate	– The average annual percentage rate for accounts on the book for the
segment as of month-end. In making this calculation, report the purchase APR unless
the account is in default or workout. If the account is in default, then use the default
APR. If the account is in a workout program (temporary or permanent), use the
workout APR. Workout programs are programs to alleviate the temporary payment
burden of the borrowers so that they don’t go into default. Loan Modification (a
permanent change in one or more of the terms of a Borrower's loan, allows the loan to
be reinstated, and results in a payment the Borrower can afford), loss mitigation, and
18 
 

 

loan re-negotiation are some examples of workout programs.
6. $	Vehicle	type	car/van	– The unpaid principal balance in the portfolio with vehicle type
classified as “Car/Van” for the segment as of month-end.
7. $	Vehicle	type	SUV/truck	– The unpaid principal balance in the portfolio with vehicle
type classified as “SUV/Truck” for the segment as of month-end.
8. $	Vehicle	type	sport/luxury/convertible	– The unpaid principal balance in the
portfolio with vehicle type classified as “Sport/Luxury/Convertible” for the segment as
of month-end.
9. $	Vehicle	type	unknown	– The unpaid principal balance in the portfolio with vehicle
type classified as “Unknown” for the segment as of month-end.
10. $	Repossession – The unpaid principal balance of loans still on the books whose
vehicles have been repossessed for the segment as of month-end. This field captures
the stock of repos.
11. $	Current	Month	Repossession – The unpaid principal balance of loans still on the
books whose vehicles were newly repossessed in the given month for the segment as of
month-end. This field captures the flow of repos in the current month, and should
include both active and charged-off loans.
12. $	Gross	contractual	charge‐offs – The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
The amount reported here should be consistent with the amount reported on Schedule
HI-B, Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off. Charge-offs should be
performed per loss recognition policy consistent with the FFIEC Uniform Retail Credit
Classification and Account Management Policy.
13. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
14. $	Recoveries	– The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off, including recoveries on acquired
loans/portfolios. The amount reported here should be consistent with the amount
reported on Schedule HI-B, Part I, Column B of the FR Y-9C for the corresponding time
period. For the Delinquency Status segment, categorize charged-off loans by their
delinquency status at charge-off. Reversals of recoveries should be recorded as negative
recoveries.
15. $	Net	charge‐offs	– The dollar amount of write-downs on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
16. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
19 
 

 

– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs -$ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs - $ Recoveries] in this
variable. As a separate document included in your submission, provide an explanation
for such a difference (for example, fraud losses are also included in your BHC’s or IHC’s
or SLHC’s $ Net Charge-offs variable). If the adjustment factor variable represents more
than one factor leading to the difference, provide a separate breakout of the multiple
factors.
17. $	Ever	30DPD	in	the	last	12	months	–	The total unpaid principal balance for the
segment as of month-end that was 30 or more days past due at any given time in the
twelve months ending in the reference month.
18. $	Ever	60DPD	in	the	last	12	months	–	The total Unpaid Principal Balance for the
segment as of month-end that was 60 or more days past due at any given time in the
twelve months ending in the reference month.
19. Projected	value	–	Total projected market value of lease at termination. Only calculated
for leased vehicles.
20. Actual	sale	proceeds	–	Sales proceeds from terminated leases. Only calculated for
leased vehicles.
21. Original	term	<	=	48	months	–	The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 48 months or less.
22. Original	term	49‐60	months	–	The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 49-60 months.
23. Original	term	61‐72	months	–	The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of 61-72 months.
24. Original	term	>72	months	–	The total unpaid principal balance for accounts on the
book for the segment as of month-end that had an original term of greater than 72
months.
25. $	Origination	channel	(direct)	– The total unpaid principal balance for accounts on the
book for the segment as of month-end that were originated through direct channels (i.e.,
a chartered bank, a non- bank subsidiary).
26. $	Loss	mitigation	– The total unpaid principal balance for accounts on the book for the
segment as of month-end that are currently in a loss mitigation program. Loss
mitigation programs are broadly defined to include any program that eases the credit
terms to an impaired borrower for purposes of mitigating loan losses. Examples of loss
mitigation programs include match pay, temporary mitigation programs lasting up to 12
months or permanent mitigation programs lasting more than one year.
27. $	Joint	application	– The total unpaid principal balance for accounts on the book for
the segment as of month-end that were originated with a co-applicant.
28. Probability	of	Default	(PD)	‐ Report the average Probability of Default (PD) as defined
in the most recent capital framework for accounts within the segment. More specifically,
use the PD associated with each account’s corresponding segment and then calculate the
20 
 

 

account weighted average PD of all the accounts in this specific Y-14Q segment. Note:
Applicable only to the advanced approaches reporting banks. A one in ten probability of
default should be reported as 0.1.
29. Loss	Given	Default	(LGD)	‐ Report the Loss Given Default (LGD) as defined in the most
recent capital framework for accounts within the segment. More specifically, use the LGD
associated with each account’s corresponding segment and then calculate the account
weighted average LGD of all the accounts in this specific Y-14Q segment. Note: Applicable
only to the advanced approaches reporting banks. A ninety percent loss given default
should be reported as 0.9.
30. Expected	Loss	Given	Default	(ELGD)	‐ Report the Expected Loss Given Default (ELGD)
parameter as defined in the most recent capital framework for accounts within the
segment. More specifically, use the ELGD associated with each account’s corresponding
segment and then calculate the account weighted average ELGD of all the accounts in this
specific Y-14Q segment. Missing or unavailable values should be reported as null. Note:
Applicable only to the advanced approaches reporting banks. A ninety percent expected
loss given default should be reported as 0.9.
31. Risk‐Weighted	Asset	(RWA)	‐ Report the aggregate dollar Risk Weighted Asset (RWA)
for accounts within the segment as defined in the most recent capital framework. More
specifically, calculate the RWA associated with each account based on the IRB Risk-Based
Capital Formula and then calculate the account weighted average RWA of all the
accounts in this specific Y-14Q segment. Note: Applicable only to banks subject to the
advanced approaches rule. This item is required for BHC or IHC or SLHC-owned loans
only.  
32. $	Unpaid	Principal	Balance	at	Charge‐off – The total unpaid principal balance of loans
in the segment that were charged-off (either partially or fully) during the reporting
month and had not been partially charged-off in a prior reporting month. Report the
unpaid principal balance at the time of the charge-off. Do not include interest and fees.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off.
33. Percent	Loss	Severity	(3	month	Lagged) – Report the total loss net of all recoveries as
a percent of the unpaid principal balance (UPB) for all accounts in the segment that were
charged-off for the first time in the third month prior to the current reporting month. Do
not include losses or recoveries on loans charged-off for the first time in later months.
For the Delinquency Status segment, categorize loans by their delinquency status at the
initial charge-off.
34. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.

 

	

21 
 

 

A.3	–	International	Credit	Card	
This section provides general guidance, data definitions and instructions for the
International Card Worksheet. In this worksheet, include all international (not U.S. or U.S.
territories or possessions) consumer credit and charge card loans as defined in the FR Y-9C,
Schedule HC-C, items 6.a and 6.d. international corporate and SME card loans as defined in
the FR Y-9C, Schedule HC-C, item 4.b. Only include loans and leases held for investment at
amortized cost; do not include loans or leases held for sale or held for investment and
measured at fair value under the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, four geography
segments, five delinquency status segments, and three original industry standard credit
score or equivalent segments; therefore, the portfolio must be divided into a total of
3*2*4*5*3 = 360 distinct segments. Each segment should be identified by a unique ten-digit
segment ID (variable name: SEGMENT_ID) based on the segment ID positions and attribute
codes listed in Table A.3.a. For example, the segment containing bank cards (product type
segment “01”) that are greater than two years old (age segment “02”), made to borrowers
residing in the Asia Pacific region (geography segment “04”), are 120+ DPD (delinquency
status segment “05”), and had an original FICO score or equivalent of greater than 620
(original industry standard credit score or equivalent segment “02”) should be identified by
the segment ID “0102040502”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 360 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntCard” for this worksheet. For each
row, populate the segment variables listed in Table A.3.a and the summary variables listed
in Table A.3.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	– Segment the portfolio into the following three product types:
01 - Bank Card - Bank cards are regular general purpose credit cards that can be used at
a wide variety of merchants, including any who accept MasterCard, Visa, American
Express or Discover credit cards. Include affinity and co-brand cards in this
category, and student cards if applicable. This product type also includes private
label or propriety credit cards, which are tied to the retailer issuing the card and
can only be used in that retailer’s stores. Include oil & gas cards in this loan type.
02 - Charge Card - Charge cards are consumer credit cards for which the balance is
repaid in full each billing cycle.
03 –Corporate, SME, and Business cards - Corporate cards are employer-sponsored
credit cards for use by a company’s employees and SME and Business cards are
credit card accounts where the loan is underwritten with the sole proprietor or
22 
 

 

primary business owner as an applicant. Corporate, SME and Business cards only
include cards where there is any individual liability associated with the sub-lines or
the account is delinquency managed or scored. Also include cards where the
account is delinquency managed or scored and performance is reported to the
credit bureaus; corporate and SME cards do not include loans for which a
commercially-graded corporation is ultimately responsible for repayment of credit
losses with no reporting to credit bureaus.
2. Age	– Age refers to the amount of time that has elapsed since the account was
originated. There are two possible ages to report:
01 - <= Two years old
02 - > Two years old
3. Geography	– Segment the portfolio into the following four geographical area
designations. The primary borrower’s current place of residency should be used to
define the region.
01 - Region 1: Canada
02 - Region 2: EMEA — Europe, Middle East, and Africa
03 - Region 3: LATAM — Latin America and Caribbean
04 - Region 4: APAC — Asia Pacific
4. Delinquency	status	– Segment the portfolio into the following five delinquency
statuses:
01 - Current and 1 - 29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30 - 59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60 - 89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90 - 119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 -120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A – Original credit score is missing or unknown

23 
 

 

B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Receivables	– Total receivables for accounts on the book for the segment as of monthend.
3. $	Unpaid	principal	balance	– Total Unpaid Principal Balance (UPB) on the book for the
segment as of month-end. Unlike receivables, total UPB should be net of any interest
and fees owed by the borrower.
4. $	Commitments	– The total dollar amount of credit lines on the book for the segment as
of month- end (include drawn and undrawn credit lines). The internal automated limit
(shadow limit) should be used when there is no contractual limit.
5. #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
6. $	New	commitments	– The total dollar amount of new commitments on accounts
originated (or purchased) in the given month for the segment as of month-end. If
unknown for some accounts due to an acquisition or a merger, report the credit line at
acquisition.
7. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
8. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
9. $	Recoveries	– The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
10. #	Accounts	charged‐off	– The total number of accounts which experienced a charge-off
(contractual or bankruptcy) in the reference month. For the delinquency status
segmentation, categorize charge-offs by delinquency status at charge-off.
11. $	Net	charge‐offs	– The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
24 
 

 

month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
12. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries] in this
variable, and separately provide an explanation for the difference. In a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s or IHC’s or SLHC’s $ Net
Charge-offs variable). If the adjustment factor variable represents more than one factor
leading to the difference, provide a separate breakout of the multiple factors.
13. $	O/S	for	accounts	that	were	30+	DPD	in	last	24	months	– The total receivables for
the segment as of month-end that was 30 or more days past due at any given time in the
past 24 months ending in the reference month. Exclude charged-off accounts when
making this calculation.
14. #	Accounts	that	were	30+	DPD	in	last	24	months	– The total number of accounts for
the segment as of month-end that were 30 or more days past due at any given time in
the past 24 months ending in the reference month. Exclude charged-off accounts when
making this calculation.
15. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.

 

 

25 
 

 

A.4	–	International	Home	Equity		
This section provides general guidance and data definitions for the International Home
Equity Worksheet. In this worksheet, include all international home equity loans (not US or
US territories and possessions) secured by real estate as defined in the FR Y-9C, Schedule
HC-C, item 1, that meet the loan criteria of item 1.c.1 and 1.c.2.b. Note that this includes
international first lien and second lien home equity lines. Only include loans and leases
held for investment at amortized cost; do not include loans or leases held for sale or held
for investment and measured at fair value under the fair value option. For international
first lien mortgages, see instructions for Worksheet 5.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, three origination industry standard credit
score or equivalent segments, four geography segments, two age segments, two
origination LTV segments, and five delinquency status segments; therefore, the portfolio
must be divided into a total of 2*3*4*2*2*5 = 480 distinct segments. Each segment
should be identified by a unique twelve-digit segment ID (variable name: SEGMENT_ID)
based on the segment ID positions and attribute codes listed in Table A.4.a. For example,
the segment containing HELOCs (product type segment “02”) that had an origination FICO
score or equivalent of greater than 660 (original industry standard credit score or
equivalent segment “02”), where the borrowers reside in the Asia Pacific region
(geography segment “04”), are greater than three years old (age segment “02”), had an
origination LTV of less than 80 percent (original LTV segment “01”), and are 180+ DPD
(delinquency status segment “05”) should be identified by the segment ID
“020204020105”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 480 portfolio segments. First time filers must submit all data for
each month from January 2007 to the end of the current reporting period; returning filers
must submit all data for each month in the current reporting period only. BHCs,IHCs and
SLHCs should only include owned loans, exclude loans serviced for other investors.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntHE"	for this worksheet.			For each
row, populate the segment variables listed in Table A.4.a and the summary variables listed
in Table A.4.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	– Segment the portfolio into product types based on specific features of
the loan. The portfolio should be segmented into two product types:
01 - HELOAN
02 - HELOC
2. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
26 
 

 

be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 660
02 - > 660
03 - N/A—Original credit score is missing or unknown
3. Geography	– Report the region in which the property is located; divide the portfolio
into the following four geographical area designations:
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
4. Age	– Age refers to the amount of time that has elapsed since the account was
originated. There are two possible ages to report:
01 - <= Three years old
02 - > Three years old
5. Original	LTV	(or	CLTV	for	2nds)		– The original combined loan-to-value ratio is the
original amount of the loan or line, in addition to any senior liens, divided by the
property value at the time of origination. Divide the portfolio as follows:
01 - < 80
02 - >=80
6. Delinquency	status	–Divide the portfolio into the following five delinquency statuses:
01 - Current & 1-29 days past due (DPD): Accounts that are not past due (accruing and
non- accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-89 DPD: Accounts that are 30 to 89 days past due (accruing and non-accruing)
as of month-end.
03 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
04 - 120-179 DPD: Accounts that are 120 to 179 days past due (accruing and nonaccruing) as of month-end.
05 - 180+ DPD: Accounts that are 180 or more days past due (accruing and nonaccruing) as of month-end.
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– Total principal amount outstanding as of the end of the month. This
should be reported as unpaid principal balance (UPB) gross of any charge-offs. In other
words, the $ outstanding should not reflect any accounting based write-downs and
should only be reduced to zero when the loan has been liquidated – either paid in full,
charged off, or other real estate owned (OREO) sold.
27 
 

 

3. $	Commitment	(HELOC	only)	– The total dollar amount of HELOC credit lines on the
book for the segment as of month-end. If there is no credit limit on certain accounts,
report the purchase or shadow limit. A shadow limit is defined as an internal BHC or IHC
or SLHC credit limit metric used for line management for lines that do not have a
published credit limit. Report this variable only for HELOC products.
4. #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
5. $	New	accounts	– The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
6. $	New	commitments	(HELOC	only)	– The total dollar amount of new HELOC credit
lines booked on the system in the reporting month. Report this variable only for HELOC
products.
7. $	Commitment	increases	(HELOC	only)	– The dollar amount increase on existing
HELOC credit lines in the reporting-month. Report this variable only for HELOC
products.
8. $	Commitment	decreases	(HELOC	only)	– The dollar amount decrease on existing
HELOC credit lines in the reporting-month. Report this variable only for HELOC
products.
9. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
10. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off due to bankruptcy during the reporting month. The
amount reported here should be consistent with the amount reported on Schedule HI-B,
Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off.
11.	 $	Recoveries	– The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
12. $	Net	charge‐offs	–	The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
13. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
–	If it is not the case that $	Net	Charge‐offs	equals [$	Gross	Contractual	Charge‐offs	+ $	
28 
 

 

Bankruptcy	Charge‐offs	— $	Recoveries], provide the value of $	Net	Contractual	Charge‐
offs	minus [$	Gross	Contractual	Charge‐offs	+$	Bankruptcy	Charge-offs	— $	Recoveries] in
this variable. As a separate document included in the submission, provide an
explanation for such a difference (for example, fraud losses are also included in the
BHC’s or IHC’s or SLHC’s $	Net	Charge‐offs	variable). If the adjustment factor variable
represents more than one factor leading to the difference, provide a separate breakout
of the multiple factors.
14. $	Foreclosure	- The total unpaid principal balance of loans in the foreclosure process.
These dollars are pre-OREO and should be coded as a foreclosure in the system.
15. $	New	foreclosure	‐	The total unpaid principal balance of loans that entered the
foreclosure process in the reporting month. These dollars are pre-OREO and should be
coded as a foreclosure in the system.
16. $	Other	Real	Estate	Owned	(OREO)	- The total unpaid principal balance of mortgages
where the bank has obtained the title at foreclosure sale and the property is on the market
and available for sale. Also include instances where the bank has obtained the title but the
availability for sale is not known
17. $	New	OREO	‐	The total unpaid principal balance of foreclosed loans where the
institution has bought back the property.
18. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.
 

 

	

29 
 

 

A.5	–	International	First	Lien	Mortgage	
This section provides general guidance and data definitions for the International First Lien
Mortgage Worksheet. In this worksheet, include all international (not US or US territories
or possessions) first lien mortgage loans secured by real estate as defined in the FR Y-9C,
Schedule HC-C, item 1 which meet the loan criteria of item 1.c.2.a . Include international first
lien residential mortgage and international first lien closed-end home equity loans. Only
include loans and leases held for investment at amortized cost; do not include loans or
leases held for sale or held for investment and measured at fair value under the fair value
option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, three origination industry standard credit
score or equivalent segments, four geography segments, two age segments, two origination
LTV segments, and five delinquency status segments; therefore, the portfolio must be
divided into a total of 2*3*4*2*2*5 = 480 distinct segments. Each segment should be
identified by a unique twelve-digit segment ID (variable name: SEGMENT_ID) based on the
segment ID positions and attribute codes listed in Table A.5.a. For example, the segment
containing fixed-rate loans (product type segment “01”) that had an origination FICO score
or equivalent of greater than 660 (original industry standard credit score or equivalent
segment “02”), where the borrowers reside in the Asia Pacific region (geography segment
“04”), are greater than three years old (age segment “02”), had an origination LTV of less
than 80 percent (original LTV segment “01”), and are 180+ DPD (delinquency status segment
“05”) should be identified by the segment ID “010204020105”.. When reporting the segment
ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 480 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “IntFM”	for your Portfolio ID within this
worksheet. For each row, populate the segment variables listed in Table A.5.a and the
summary variables listed in Table A.5.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1.			 Product	type	– Segment the portfolio into product types based on payment terms of the
loan (at origination). The portfolio should be segmented into two product types:
01 - Fixed Rate
02 - Other
2.			 Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
30 
 

 

underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 660
02 - > 660
03 - N/A—Original credit score is missing or unknown
3.			 Geography	– Report the region in which the property is located. Segment the portfolio
into the following four geographical area designations:
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia Pacific
4.			 Age	– Age refers to the time that has elapsed since the account was originated. There
are two possible ages to report:
01 - <= Three years old
02 - > Three years old
5.			 Original	LTV	 – The original loan-to-value ratio is the original amount of the loan
divided by the property value at the time of origination. Segment the portfolio as
follows:
01 - < 80
02 - >= 80
6.			 Delinquency	status	– Segment the portfolio into the following five delinquency
statuses:
01 - Current & 1-29 days past due (DPD): Accounts that are not past due (accruing and
non- accruing) or are 1-29 DPD (accruing and non-accruing) as of month-end.
02 - 30-89 DPD: Accounts that are 30 to 89 days past due (accruing and non-accruing)
as of month-end.
03 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
04 - 120-179 DPD: Accounts that are 120 to 179 days past due (accruing and nonaccruing) as of month-end.
05 - 180+ DPD: Accounts that are 180 or more days past due (accruing and nonaccruing) as of month-end.
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1.			 #	Accounts	– Total number of accounts on the book for the segment as of month-end.
	
2.			 $	Outstandings	– Total principal amount outstanding as of the end of the month. This
should be reported as unpaid principal balance gross of any charge-offs. In other words,
the $ outstanding should not reflect any accounting based write-downs and should only
be reduced to zero when the loan has been liquidated – either paid in full, charged off, or
Other Real Estate Owned (OREO) sold.
31 
 

 

3.			 #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4.			 $	New	accounts	– The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5.			 $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
6.		$	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
7.			 $	Recoveries	– The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
8.			 $	Net	charge‐offs	–	The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
9.			 Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
–	If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], please provide the value of $ net contractual
charge-offs minus [$ gross contractual charge-offs + $ bankruptcy charge-offs — $
recoveries] in this variable. In a separate document included in your submission,
provide an explanation for such a difference (for example, fraud losses are also included
in the BHC’s or IHC’s or SLHC’s $ net charge-offs variable). If the adjustment factor
variable represents more than one factor leading to the difference, provide a separate
breakout of the multiple factors.
10.	 $	Foreclosure	- The total unpaid principal balance of loans in the foreclosure process.
These dollars are pre-OREO and should be coded as a foreclosure in the system.
11.	 $	New	foreclosure	‐	The total unpaid principal balance of loans that entered the
foreclosure process in the reporting month. These dollars are pre-OREO and should be
coded as a foreclosure in the system.
12.		 $	Other	Real	Estate	Owned	(OREO)	- The total unpaid principal balance of mortgages
where the bank has obtained the title at foreclosure sale and the property is on the
market and available for sale. Also include instances where the bank has obtained the
32 
 

 

title but the availability for sale is not known.
13.	 $	New	OREO	‐	The total unpaid principal balance of foreclosed loans where the
institution has bought back the property in auction in the reporting month.
14. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.

 

	

33 
 

 

A.6	–	International	Other	Consumer	Schedule	
In this worksheet, include all international loans defined in the FR Y-9C, Schedule HC-C,
item 6.b and 6.d, excluding student loans and non-purpose securities based loans and
should also include all international non-auto leases as defined in the FR Y-9C, Schedule HCC, item 10.a. Only include loans and leases held for investment at amortized cost; do not
include loans or leases held for sale or held for investment and measured at fair value under
the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are five product type segments, five delinquency status segments, three
original industry standard credit score or equivalent segments, two original LTV ratio
segments, and four geography segments; therefore, the portfolio must be divided into a
total of 5*5*3*2*4 = 600 distinct segments. Each segment should be identified by a unique
ten-digit segment ID (variable name: SEGMENT_ID) based on the segment ID positions and
attribute codes listed in Table A.6.a. For example, the segment containing secured
installment loans (product type segment “02”) that are 120+ DPD (delinquency status
segment “05”), had an origination FICO score or equivalent of greater than 620 (original
industry standard credit score or equivalent segment “02”), had an origination LTV ratio of
greater than 70 percent (original LTV ratio segment “02”), and that were made to
borrowers residing in the Asia Pacific region (geography segment “04”) should be identified
by the segment ID “0205020204”. When reporting the segment ID, do not drop leading
zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 600 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “IntlOthCons”	for portfolio ID for this worksheet. For
each row, populate the segment variables listed in Table A.6.a and the summary variables
listed in Table A.6.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	– Reporting BHCs,IHCs and SLHCs should segment the portfolio into the
following five product types based on the various features of the credit:
01 - Secured-Revolving
02 - Secured-Installment
03 - Unsecured-Revolving
04 - Unsecured-Installment
05 - Overdraft
2. Delinquency	status	– Reporting BHCs and IHCs should segment the portfolio into the
following five delinquency statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
34 
 

 

(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 days or more past due (accruing and nonaccruing) as of month-end.
3. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A— Original credit score is missing or unknown
4. Original	LTV– The original combined loan-to-value ratio is the original amount of the
loan or line, in addition to any senior liens, divided by the collateral value at the time of
origination. For loans where the loan-to-value ratio is not applicable, include the lowest
ratio for a segment identifier. Segment the portfolio as follows:
01 - <= 70 or not applicable
02 - > 70
5. Geography	–Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment being reported as of
month-end.
2. $	Outstandings	– The total unpaid principal balance for accounts on the book for the
segment being reported as of month-end.
3. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
35 
 

 

arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
4. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
5. $	Recoveries	– The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
6. $	Net	charge‐offs	– The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
7. #	New	accounts	– The total number of new accounts originated in the given month for
the segment being reported as of month-end.
8. $	New	commitments	– The total dollar amount of new commitments on accounts
originated in the given month for the segment being reported as of month-end. If
unknown for some accounts due to acquisition or merger, report the credit line at
acquisition.
9. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.
 
 

 

36 
 

 

A.7	–	US	Other	Consumer	
In this worksheet, include all domestic loans as defined in the FR Y-9C, Schedule HC-C,
items 6.b and 6.d, excluding student loans and non-purpose securities based loans. Include
domestic non-auto leases included as defined in the FR Y-9C, Schedule HC-C, item 10.a. Only
include loans and leases held for investment at amortized cost; do not include loans or
leases held for sale or held for investment and measured at fair value under the fair value
option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are five product type segments, five delinquency status segments, three
original industry standard credit score or equivalent segments, and three original LTV ratio
segments; therefore, the portfolio must be divided into a total of 5*5*3*3 = 225 distinct
segments. Each segment should be identified by a unique eight-digit segment ID (variable
name: SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table
A.7.a. For example, the segment containing secured installment loans (product type
segment “02”) that are 120+ DPD (delinquency status segment “05”), had an origination
FICO score or equivalent of greater than 620 (original industry standard credit score or
equivalent segment “02”), and had an origination LTV ratio of greater than or equal to 100
percent (original LTV ratio segment “03”) should be identified by the segment ID
“02050203”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 225 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “ USOthCons”	 for the portfolio ID within this
worksheet. For each row, populate the segment variables listed in Table A.7.a and the
summary variables listed in Table A.7.b. Please provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.			
	
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	– Segment the portfolio into the following five product types based on the
various features of the credit:
01 - Secured-Revolving
02 - Secured-Installment
03 - Unsecured-Revolving
04 - Unsecured-Installment
05 - Overdraft
2. Delinquency	status	– Segment the portfolio into the following five delinquency
statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non-accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
37 
 

 

as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 days or more past due (accruing and nonaccruing) as of month-end.
3. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A—Original credit score is missing or unknown
4. Original	LTV– The original combined loan-to-value ratio is the original amount of the
loan or line, in addition to any senior liens, divided by the collateral value at the time of
origination. For unsecured loans for which loan-to-value is not applicable, report the
summary variables in the segment entitled <=70	or	not	applicable.		Segment the portfolio
as follows:
01 - <= 70 or not applicable
02 - > 70 and < 100
03 - >= 100
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– The total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.

38 
 

 

4. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
5. $	Recoveries	– The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
6. $	Net	Charge‐offs	– The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
7. #	New	accounts	– The total number of new accounts originated in the given month for
the segment as of month-end.
8. $	 New	 commitments	 – The total dollar amount of new commitments on accounts
originated in the given month for the segment as of month-end. If unknown for some
accounts due to acquisition or merger, report the credit line at acquisition.
9. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.
 
 

	

39 
 

 

A.8	–	International	Small	Business	
In this worksheet, include all "scored" or "delinquency managed" international small
business loans. The main differentiating factor between corporate loans and small business
loans is how the consolidated holding company evaluates the creditworthiness of the
borrower. For small business lending, banks look at the credit score of the borrower
(scored rating) and/or use delinquency management. Therefore, small business loans are
loans that are “scored” or “delinquency managed” for which a commercial internal risk
rating is not used or that uses a different scale than other corporate loans. Include
international small business loans as defined in the FR Y-9C, Schedule HC-C included in
items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.2, and 10.b. Exclude corporate and SME credit card loans
as defined in the FR Y-9C, Schedule HC-C, item 4.b. Exclude all non-purpose securities-based
loans and loans for purchasing and carrying securities. Only include loans and leases held
for investment at amortized cost; do not include loans or leases held for sale or held for
investment and measured at fair value under the fair value option. For domestic small
business loans, see the instructions for Worksheet 9.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, four geography
segments, three original industry standard credit score or equivalent segments, five
delinquency status segments, and two secured or unsecured segments; therefore, the
portfolio must be divided into a total of 3*2*4*3*5*2 = 720 distinct segments. Each
segment should be identified by a unique twelve-digit segment ID (variable name:
SEGMENT_ID) based on the segment ID positions and attribute codes listed in Table A.8.a.
For example, the segment containing term loans (product type segment “02”) that are
greater than three years old (age segment “02”), were made to borrowers that reside in the
Asia Pacific region (geography segment “04”), had an origination FICO score or equivalent of
greater than 620 (original industry standard credit score or equivalent segment “02”), are
120+ DPD (delinquency status segment “05”), and are secured (secured or unsecured
segment “01”) should be identified by the segment ID “020204020501”. When reporting
the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 720 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC name (Variable name: BHC_NAME), your RSSD ID
number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use “IntSB”	for the portfolio ID within this worksheet. For
each row, populate the segment variables listed in Table A.8.a and the summary variables
listed in Table A.8.b. Provide all dollar amounts in millions.
	
Detailed instructions on how to submit the data will be provided separately.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	- Segment the portfolio into the following product types as of month-end:
01 - Line of Credit
02 - Term Loan
03 - Other
40 
 

 

2. Age	- Age refers to the time that has elapsed since the account was originated.
01 - <= Three years old
02 - > Three years old
3. Geography	–Segment the portfolio into the following four geographical area
designations. The borrower’s current place of residency should be used to define the
region.
01 - Region 1: Canada
02 - Region 2: EMEA—Europe, Middle East, and Africa
03 - Region 3: LATAM—Latin America and Caribbean
04 - Region 4: APAC—Asia-Pacific
4. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 -> 620
03 - N/A – Original credit score is missing or unknown
5. Delinquency	status	- Segment the portfolio into the following five delinquency statuses:
01 - Current and 1-29 days past due (DPD): Accounts that are not past due (accruing
and non- accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
6. Secured	or	unsecured:	 Segment the portfolio based on the following two categories:
01 - Secured
02 - Unsecured
B.			 Summary	Variables
For each month in the reporting period, report the following variables for each segment
described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– Total unpaid principal balance for accounts on the book for the
segment as of month-end.
41 
 

 

3. #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $	New	accounts	– The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $	Commitments	– The total dollar amount of commitments for the segment as of
month-end.
6. $	Modifications	–	Total unpaid principal balance of loans that have been adjusted as
part of a loan modification program. For purposes of this Schedule, a loan modification
occurs when the terms of the loan were changed from those stated in the original loan
contract as part of loss mitigation efforts.
7. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
8. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
9. $	Recoveries	The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
10. $	Net	charge‐offs	–	The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
11. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
–	If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs — $ recoveries] in this
variable, and separately provide an explanation for the difference. As a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s or IHC’s or SLHC’s $ net
charge-offs variable). If the adjustment factor variable represents more than one factor
leading to the difference, provide a separate breakout of the multiple factors.
12. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans should reflect
the current position, the impact of new business activity, as well as the impact of
42 
 

 

behavioral assumptions such as prepayments or defaults, based on the expected
remaining lives, inclusive of behavioral assumptions as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.
 

	

43 
 

 

A.9	–	US	Small	Business	
In this worksheet, include all "scored" or "delinquency managed" domestic small business
loans. The main differentiating factor between corporate loans and small business loans is
how the consolidated holding company evaluates the creditworthiness of the borrower. For
small business lending, banks look at the credit score of the borrower (scored rating)
and/or use delinquency management. Therefore, small business loans are loans that are
“scored” or “delinquency managed” for which a commercial internal risk rating is not used
or that uses a different scale than other corporate loans. Include domestic small business
loans as defined in the FR Y-9C, Schedule HC-C included in items 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a,
9.b.2, and 10.b. Exclude corporate and SME credit card loans as defined in the FR Y-9C,
Schedule HC-C, item 4.a. Exclude all non-purpose securities-based loans and loans for
purchasing and carrying securities. Only include loans and leases held for investment at
amortized cost; do not include loans or leases held for sale or held for investment and
measured at fair value under the fair value option. For international small business loans,
see the instructions for Worksheet 8.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are three product type segments, two age segments, three original industry
standard credit score or equivalent segments, five delinquency status segments, and two
secured or unsecured segments; therefore, the portfolio must be divided into a total of
3*2*3*5*2 = 180 distinct segments. Each segment should be identified by a unique ten-digit
segment ID (variable name: SEGMENT_ID) based on the segment ID positions and attribute
codes listed in Table A.9.a. For example, the segment containing term loans (product
segment “02”) that are less than or equal to three years old (age segment “01”), had an
origination FICO score or equivalent of greater than 620 (original industry standard credit
score or equivalent segment “02”), are 120+ DPD (delinquency status segment “05”), and
are secured (secured or unsecured segment “01”) should be identified by the segment ID
“0201020501”. When reporting the segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 180 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID) and segment ID
(variable name: SEGMENT_ID). Use “USSB”	for portfolio ID within this worksheet. For each
row, populate the segment variables listed in Table A.9.a and the summary variables listed
in Table A.9.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.	
	
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	- Segment the portfolio into the following product types as of month-end:
01- Line of Credit
02 - Term Loan
03 - Other
2. Age	- Age refers to the time that has elapsed since the account was originated.
44 
 

 

01 - <= Three years old
02 - > Three years old
3. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 620
02 - > 620
03 - N/A - Original credit score is missing or unknown
4. Delinquency	status	- Segment the portfolio into the following five delinquency statuses:
01 - Current and 1-29 (days past due) DPD: Accounts that are not past due (accruing
and non- accruing) as of month-end and accounts that are 1 to 29 days past due
(accruing and non-accruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Secured	or	unsecured:	 Segment the portfolio based on the following two categories:
01 - Secured
02 - Unsecured
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. #	New	accounts	– The total number of new accounts originated (or purchased) in the
given month for the segment as of month-end.
4. $	New	accounts	– The total dollar amount of new accounts originated (or purchased) in
the given month for the segment as of month-end.
5. $	Commitments	– The total dollar amount of commitments for the segment as of
45 
 

 

month-end.
6. $	Modifications	–	Total unpaid principal balance of loans that have been adjusted as
part of a loan modification program. For purposes of this Schedule, a loan modification
occurs when the terms of the loan were changed from those stated in the original loan
contract as part of loss mitigation efforts.
7. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.
8. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the segment
that were charged-off due to bankruptcy during the reporting month. The amount
reported here should be consistent with the amount reported on Schedule HI-B, Part I,
Column A of the FR Y-9C. For the Delinquency Status segment, categorize charged-off
loans by their delinquency status at charge-off.
9. $	Recoveries	– The dollar amount recovered during the reporting month on loans in the
segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
10. $	Net	charge‐offs	–	The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
11. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
–	If it is not the case that $ net charge-offs equals [$ gross contractual charge-offs + $
bankruptcy charge-offs — $ recoveries], provide the value of $ net charge-offs minus [$
gross contractual charge-offs + $ bankruptcy charge-offs — $ recoveries] in this
variable, and separately provide an explanation for the difference. In a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the reporting BHC’s or IHC’s or SLHC’s $ Net
Charge-offs variable). If the adjustment factor variable represents more than one factor
leading to the difference, provide a separate breakout of the multiple factors.
12. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.
 
 

	
46 

 

 

A.10	–	Student	Loan	
In this worksheet, include all student loans as defined in the FR Y-9C, Schedule HC-C, lines
6.b and 6.d. Only include loans and leases held for investment at amortized cost; do not
include loans or leases held for sale or held for investment and measured at fair value under
the fair value option.
Segment the portfolio along all combinations of the segment variables listed in Section A
below. There are two product type segments, five age segments, three original industry
standard credit score or equivalent segments, five delinquency status segments, and four
education level segments; therefore, the portfolio must be divided into a total of 2*5*3*5*4
= 600 distinct segments. Each segment should be identified by a unique ten-digit segment
ID (variable name: SEGMENT_ID) based on the segment ID positions and attribute codes
listed in Table A.10.a. For example, the segment containing government guaranteed student
loans (product type segment “01”) that are less than three years old (age segment “05”), had
an origination FICO score or equivalent of greater than 660 (original industry standard
credit score or equivalent segment “02”), are 120+ DPD (delinquency status segment “05”),
and were made to loan recipients pursuing an undergraduate degree (education level
segment “01”) should be identified by the segment ID “0105020501”. When reporting the
segment ID, do not drop leading zeroes.
For each month in the required reporting period, report the summary variables listed below
in Section B for each of the 600 portfolio segments described above. First time filers must
submit all data for each month from January 2007 to the end of the current reporting
period; returning filers must submit all data for each month in the current reporting period
only.
Start each row of data with your BHC or IHC or SLHC name (Variable name: BHC_NAME),
your RSSD ID number (Variable name: RSSD_ID), the reporting month (Variable name:
REPORTING_MONTH), the portfolio ID (Variable name: PORTFOLIO_ID), and segment ID
(variable name: SEGMENT_ID). Use the portfolio ID “Student”	for portfolio ID for this
worksheet. For each row, populate the segment variables listed in Table A.10.a and the
summary variables listed in Table A.10.b. Provide all dollar amounts in millions.
Detailed instructions on how to submit the data will be provided separately.
A.			Segment	Variables
Segment the portfolio along the following segment variables as described above. For each
resulting segment, report the summary variables described in Section B.
1. Product	type	–	Reporting institutions should segment the portfolio into the following
two product types. An example of a government guaranteed loan is a FFELP loan.
01 - Managed - Gov Guaranteed
02 - Managed – Private
2. Age	–	Refers to the time that has elapsed since the loan was originated. If there were
multiple disbursements tied to an original then use the time since the first disbursement.
There are five possible ages to report:
01 - 6 years <= Age
02 - 5 years <= Age < 6 years
03 - 4 years <= Age < 5 years
04 - 3 years <= Age < 4 years
05 - Age < 3 years
47 
 

 

3. Original	commercially	available	credit	bureau	score	or	equivalent	–
Segment the portfolio by the credit score of the borrower at origination using a
commercially available credit bureau score (e.g. FICO Score, VantageScore, or another
qualifying credit score). The original credit score used to assign a loan to a segment must
be the score upon which the original underwriting decision was based. If the
underwriting decision was based on an internal score, please map this score to an
industry standard credit score. Please provide supporting documentation listing the
credit score supplied or mapped to.
The ranges below should be used for loans for which FICO was either the original credit
score used at origination or the commercially available credit bureau score to which an
internal credit score was mapped. Ranges for other commercially available credit
bureau scores will be provided upon request.
01 - <= 660
02 - > 660
03 - N/A— Original credit score is missing or unknown
4. Delinquency	status	‐	Reporting institutions should segment the portfolio into the
following five delinquency statuses:
01 - Current + 1-29 DPD: Accounts that are not past due (accruing and non-accruing) as
of month-end and accounts that are 1 to 29 days past due (accruing and nonaccruing) as of month-end.
02 - 30-59 DPD: Accounts that are 30 to 59 days past due (accruing and non-accruing)
as of month-end.
03 - 60-89 DPD: Accounts that are 60 to 89 days past due (accruing and non-accruing)
as of month-end.
04 - 90-119 DPD: Accounts that are 90 to 119 days past due (accruing and nonaccruing) as of month-end.
05 - 120+ DPD: Accounts that are 120 or more days past due (accruing and nonaccruing) as of month-end.
5. Education	level	– The level of education being pursued by the recipient of the loan. For
consolidated loans, report the highest level of education pursued by the borrower.
01 - Undergraduate – 4 year
02 - Graduate / Professional
03 - Other (e.g. community college, trade school, etc.)
04 - Not available
B.			 Summary	Variables
For each month in the reporting period, report the following summary variables for each
segment described in Section A.
1. #	Accounts	– Total number of accounts on the book for the segment as of month-end.
2. $	Outstandings	– Total unpaid principal balance for accounts on the book for the
segment as of month-end.
3. #	Accounts	in	repayment	– Total number of accounts on the book for the segment as of
month- end that have entered the loan’s repayment period.
4. $	Outstandings	in	repayment	– Total unpaid principal balance for accounts on the
book for the segment as of month-end that have entered the loan’s repayment period.
48 
 

 

5. #	New	disbursements	– The total number of new disbursements in the given month for
the segment as of month-end.
6. $	New	disbursements	– The total dollar amount disbursed in the given month for the
segment as of month-end.
7. $	of	Unpaid	principal	balance	with	co‐signer	– The dollar amount of unpaid principal
balance in the segment that was underwritten with a co-signer reported as of the
month-end.
8. $	of	Unpaid	principal	balance	in	grace	–	The dollar amount of unpaid principal
balance for accounts that are in grace status for the segment being reported as of monthend.
9. $	of	Unpaid	principal	balance	in	deferment	–	The dollar amount of unpaid principal
balance for accounts that are in deferment status for the segment being reported as of
month-end.
10. $	of	Unpaid	principal	balance	in	forbearance	–	The dollar amount of unpaid principal
balance for accounts that are in forbearance status for the segment being reported as of
month-end.
11. $	CDR	[0%	through	1.99%)	‐	The total unpaid principal balance in the segment that
has a school cohort default rate as computed by the Department of Education falling
within 0% through 1.99% as of the month-end.
12. $	CDR	[2%	through	3.99%)	–	The total unpaid principal balance in the segment that
has a school cohort default rate as computed by the Department of Education falling
within 2% through 3.99% as of the month-end.
13. $	CDR	[4%	through	5.99%)	–	The total unpaid principal balance in the segment that
has a cohort default rate falling within 4% through 5.99% as of the month-end.
14. $	CDR	[6%	through	7.99%)	–	The total unpaid principal balance in the segment that
has a cohort default rate falling within 6% through 7.99% as of the month-end.
15. $	CDR	[8%	through	9.99%)	–	The total unpaid principal balance in the segment that
has a cohort default rate falling within 8% through 9.99% as of the month-end.
16. $	CDR	>	10%	- The total unpaid principal balance in the segment that has a cohort
default rate falling above 10%as of the month-end.
17. $	CDR	=	N/A	- The total unpaid principal balance in the segment that has no cohort
default rate as of the month-end.
18. $	Gross	contractual	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off during the reporting month, except where the charge-off
arises from the bankruptcy of the borrower (see the variable $ Bankruptcy Charge-offs).
Also include write-downs to fair value on loans transferred to the held-for-sale account
during the reporting month. The amount reported here should be consistent with the
amount reported on Schedule HI-B, Part I, Column A of the FR Y-9C. For the
Delinquency Status segment, categorize charged-off loans by their delinquency status at
charge-off.

49 
 

 

19. $	Bankruptcy	charge‐offs	– The dollar amount of write-downs on loans in the
segment that were charged-off due to bankruptcy during the reporting month. The
amount reported here should be consistent with the amount reported on Schedule HI-B,
Part I, Column A of the FR Y-9C. For the Delinquency Status segment, categorize
charged-off loans by their delinquency status at charge-off.
20. $	Recoveries	– The dollar amount recovered during the reporting month on loans in
the segment that were previously charged-off. The amount reported here should be
consistent with the amount reported on Schedule HI-B, Part I, Column B of the FR Y-9C.
For the Delinquency Status segment, categorize charged-off loans by their delinquency
status at charge-off. Reversals of recoveries should be recorded as negative recoveries.
21. $	Net	Charge‐offs	– The dollar amount of write-downs net on loans in the segment that
were charged-off during the reporting month, net of any recoveries in the reporting
month on loans in the segment that were previously charged-off. Generally, $ Net
Charge-offs should equal [$ Gross Contractual Charge-offs + $Bankruptcy Charge-offs —
$ Recoveries].
22. Adjustment	factor	to	reconcile	$	gross	contractual	charge‐offs	to	$	net	charge‐offs	
– If it is not the case that $ Net Charge-offs equals [$ Gross Contractual Charge-offs + $
Bankruptcy Charge-offs — $ Recoveries], provide the value of $ Net Charge-offs minus [$
Gross Contractual Charge-offs + $ Bankruptcy Charge-offs — $ Recoveries] in this
variable, and separately provide an explanation for the difference. As a separate
document included in the submission, provide an explanation for such a difference (for
example, fraud losses are also included in the Reporting Institution’s $ Net Charge-offs
variable). If the adjustment factor variable represents more than one factor leading to
the difference, provide a separate breakout of the multiple factors.
23. Weighted	Average	Life	of	Loans	– The Weighted Average Life of Loans 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 as of month-end. It should reflect
the weighted average of time to principal actual repayment (as modeled) for all positions
in the segment, rounded to the nearest monthly term.
 
 

 

	

50 
 

 

Schedule	B—Securities	
Each BHC or IHC or SLHC should submit the two schedules (B.1and B.2) comprising the FRY-14 Quarterly Securities data. The BHCs, IHCs and SLHCs should refer to the separate
Technical Submission Instructions for details on the technical specifications of these
schedules including the schedule naming convention, row headers, and value formats. The
first schedule (B.1 - Securities 1) is the Main Schedule containing the individual securitylevel data. The second (B.2 - Securities 2) provides additional detail on securities in the
Main Schedule that are part of designated hedge accounting relationships. 12
Please refer to Accounting Standards Codification (ASC) Topic 320, Investments—Debt and
Equity Securities (formerly FASB Statement No. 115, Accounting for Certain Investments in
Debt and Equity Securities) for additional guidance when preparing this schedule.
If the instrument exists and is reported on the FR Y9C as of quarter-end, then it should be
included in this schedule Institutions are encouraged to provide further details on its
hedging practices in supplemental materials if the institution believes doing so will provide
additional and relevant clarity.
A unique identifier must be included to identify each unique record for each of the subschedules B.1 and B.2. as discussed below.
Exclude from this schedule all securities held for trading and securities the holding
company has elected to report at fair value under a fair value option even if holding
company management did not acquire the securities principally for the purpose of selling
them in the near term. Also exclude securities that have been sold, but not settled as of the
quarter-end date.
B.1—Securities	1	(“Main	Schedule”)	
The Securities 1 schedule collects individual security-level details on positions, security type,
cumulative OTTI (credit and non-credit related impairments) by security, and accounting intent
(AFS or HTM). Amounts should be reported in U.S. dollars (USD). The reporting of Securities should
follow balance sheet classification of the FR Y-9C (e.g., Securities will correspond with Schedule HC-B
breakdowns or be classified as Equity securities with readily determinable fair values not held for trading
included in FR Y-9C, Schedule HC, item 2.c). Any securities not specifically excluded from this schedule
should be reported. Additionally, the method of reporting individual security-level information
should be consistent with the level of aggregation the company uses to assess impairment and
measure realized and unrealized gains and losses on investment securities under GAAP (ASC
paragraph 320-10-35-20). 13

 

In circumstances whereby the BHC or IHC or SLHC holds securities in both AFS and HTM categories within
a given asset class, separate each security in to separate line items.

 

The following information should be reported in this schedule.
	
Unique	ID	
                                                            
References to credit impairment models under current U.S. GAAP that would be outside the scope of CECL will be eliminated from the
instructions upon full adoption of ASU 2016-13. This includes, but is not limited to, references to OTTI, ASC 310-10, ASC 310-30, and ASC 32010.
13 In Schedule B.1, institutions that have adopted ASU 2016-13 should report allowances for credit losses on AFS and HTM debt securities.
References to OTTI, credit impairment, and ASC 310-30 do not apply to these institutions and will be eliminated upon full adoption of ASU
2016-13. 
12

51 
 

 

A unique identifier must be included to identify each unique record. For a given security
position, the same Unique ID should be used from one period to the next.
Identifier	Type	and	Identifier	Value
Report individual security-level data for all available-for-sale (AFS) and held-to-maturity
(HTM) securities, adding new rows as necessary. Generally, securities should always be
reported with a public identifier, if available, such as a valid CUSIP, ISIN, or SEDOL. If a valid
CUSIP, ISIN or SEDOL identifier exists for the security, please report the value of the chosen
identifier (the CUSIP, ISIN, or SEDOL code) and indicate the identifier type as “CUSIP”,
“ISIN”, or “SEDOL”. If a CUSIP, ISIN, or SEDOL identifier is not available for a given security,
please report an alternative public identifier value, if available, and report the identifier
type. If only an internal identifier is available and provided, please report the identifier type
as “INTERNAL.” Securities where an internal identifier is reported must have additional
information reported in the Security Description 2 or Security Description 3 fields that
clarifies the name of the security or issuer and the nature of the obligation (see the general
requirement for securities in the “Other” Security Description 1 category), to the extent that
the Security Description 2 and Security Description 3 fields are available after meeting any
specific requirements in the instructions for these fields under “Security Description” below.
For the purpose of this field, CUSIP means either a CUSIP or CINS (CUSIP International
Numbering System) code.
Private	Placement	
Please enter “Y” if the security is a private placement security or other non-publicly offered
security or “N” if it is a publicly offered security. For clarity, please enter "Y" for Rule 144A
securities and direct purchase municipal securities (as defined in the Municipal Securities
Rulemaking Board’s Notice 2011-52).
Security	Description	
Report the security description as indicated below.
Agency	MBS: Report mortgage-backed securities (MBS) issued or guaranteed by U.S.
Government agencies.
	
Auction	Rate	Securities:		Report auction rate securities. Auction-rate securities are variable
rate securities with long-term maturities whose interest rates are periodically reset through
auctions occurring at predetermined short-term intervals (generally 7, 14, 28, or 35 days).
	
CDO: Report collateralized debt obligations (CDOs). CDOs are asset-backed securities
collateralized by a discrete portfolio of fixed income assets and that make payments based
on the performance of those assets.
	
CLO: Report collateralized loan obligations (CLOs). CLOs are securitizations of portfolios of
loans through a bankruptcy-remote special-purpose vehicle (SPV) that issues asset-backed
securities in one or more classes (or tranches). In general, CLOs are backed by a variety of
assets, including whole commercial loans, revolving credit facilities, letters of credit, and
bankers’ acceptances.
	
CMBS:		Report commercial mortgage-backed securities (CMBS). Exclude securities that have
been issued or guaranteed by the Federal National Mortgage Association (FNMA) or the
Federal Home Loan Mortgage Corporation (FHLMC) or guaranteed by the Government
National Mortgage Association (GNMA). Report these securities as “Agency MBS” (above).
	
Common	Stock	(Equity): Report common stock (equity). Provide the name of the issuer in
the Security Description 2 column.
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Auto	ABS:		Report asset-backed securities (ABS) collateralized by auto loans.
	
Credit	Card	ABS: Report asset-backed securities (ABS) collateralized by credit card loans.
	
Student	Loan	ABS: Report asset-backed securities (ABS) collateralized by student loans.
	
Other	ABS	(excl	HEL	ABS): Report all other ABS that cannot properly be reported as auto
ABS, credit card ABS, student loan ABS or home equity loan ABS; such as, leasing, Small
Business Association (SBA) and fleet (auto) and floor plan ABS.
	
Corporate	Bond: Report corporate bonds. Corporate bonds are debt obligations issued by
corporations and may be secured or unsecured. Report the issuer name in the Security
Description 2 column. Report the sector (i.e., the industry name) in the Security Description
3 column according to North American Industry Classification System (NAICS) industry. If a
NAICS industry is not available, report the relevant Global Industry Classification Standard
(GICS) industry. If neither NAICS nor GICs industries are available, report the relevant
Standard Industrial Classification (SIC) industry.
Covered	Bond: Report securities generally classified as “covered bonds” that feature
recourse to cash flows of a pool of mortgages or public-sector loans on the balance sheet of
an issuing financial institution.
	
Domestic	Non‐Agency	RMBS	(incl	HEL	ABS): Report residential mortgage-backed securities
(RMBS), including securities backed by home equity loans, that are issued by domestic nongovernment agency entities.
	
Foreign	RMBS: Report residential mortgage-backed securities of foreign issuers. Provide
the country in the Security Description 2 column.
	
Municipal	Bond:		Report bonds issued by U.S. states, cities, counties, and other governmental
entities at or below the state level. For example, include bonds issued by Canadian
provinces or other local government entities and bonds issued by other non-US local
government entities. In the Description 2 column, report the sector from the list below that
best describes the principal source of repayment and intended use of the capital raised by
the offering.














General Obligation - State
General Obligation - Local
Revenue - Single Family Housing
Revenue - Multi-Family Housing
Revenue - Hospitals and Health Care
Revenue - Education
Revenue - Industrial Development Revenue
Revenue - Utilities
Revenue - Transportation
Revenue - Tax
Revenue – Other
Appropriation-Backed14
Other

                                                            
For a definition of appropriation-backed debt, please refer to the Municipal Securities Rulemaking Board glossary definition
for subject-to-appropriation-debt.

14

53 
 

 

	
Mutual	Fund:		Report investments in mutual funds, including money market mutual funds
and mutual funds that invest solely in U.S. government securities. In the Description 2
column, enter either “Money Market Mutual Fund” for investments in money market mutual
funds or similar cash reserve instruments or “Non-Money Market Mutual Fund” for all other
categories of mutual funds. Provide the name of the fund in the Description 3 column.
	
Preferred	Stock	(Equity): Refer to the FR Y-9C Glossary entry for “Preferred Stock.” Provide
the issuer name in the Security Description 2 column.
	
Sovereign	Bond: Report bonds issued by the central governments of foreign countries. Provide the
two-letter Country ISO code in the Security Description 2 column. Also, include in this category
obligations of foreign country central banks, foreign central government units or agencies, fully
government-guaranteed obligations of municipal or state-owned enterprises (e.g., non-central
government(s)); and obligations of supranational organizations such as the International Bank for
Reconstruction and Development (World Bank), Inter-American Development Bank, and Asian
Development Bank. Sovereign Bonds that are issued by supranational entities should identify the
issuer of the bond in the second or third security description column in place of a country code.
Additionally, for non-guaranteed government securities, include additional information in the
remaining description columns to explain the source of repayment (if not full faith and credit of the
sovereign).
	
US	Treasuries	&	Agencies:	Exclude	mortgage-backed securities. Report U.S. government agency
obligations issued by U.S. government agencies and U.S. government-sponsored agencies, including but
not limited to, Small Business Administration “Guaranteed Loan Pool Certificates,” U.S. Maritime
Administration obligations, and Export–Import Bank participation certificates. Include obligations
(other than mortgage-backed securities) issued by the Farm Credit System, the Federal Home Loan
Bank System, the Federal Home Loan Mortgage Corporation, the Federal National Mortgage
Association, the Financing Corporation, Resolution Funding corporation, and FDIC Structured Sale
Guaranteed Notes and NCUA Guaranteed Notes.
	
Other:	Report all securities that cannot properly be reported in the categories above. It is
required to use the Security Description 2 and/or Security Description 3 columns to provide
a description of the security that clarifies the name of the security or issuer, type or nature of
obligation, and, if applicable, key terms such as the maturity date and stated interest rate.
Exposure	to	Debt/Equity	Security	(USD	Equivalent)
Report exposure to the debt/equity security as indicated below.
Amortized	Cost	(USD	Equivalent): In general, amortized cost is the purchase price of a debt
security adjusted for amortization of premium or accretion of discount if the debt security
was purchased at other than par or face value (for more information, refer to the FR Y-9C
Glossary entry for “premiums and discounts”).
	
Market	Value	(USD	Equivalent): In general, market value is “the price that would be received
to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date.” For further information, refer to ASC Topic 820,
Fair Value Measurements and Disclosures (formerly FASB Statement No. 157, Fair	Value	
Measurements) and the FR Y-9C glossary entry for “fair value.”
	
Current	Face	Value	(USD	Equivalent):		The nominal dollar amount of the security as of the
report date.
	
Original	Face	Value	(USD	Equivalent):		The nominal dollar amount originally assigned to the
54 
 

 

security by the issuer.	
OTTI	Taken
Report the cumulative amount of other-than-temporary impairments (OTTI) recognized in
earnings in the calendar year to date by the BHC or IHC or SLHC on the security (. Ffor
clarity, please include only the portion of OTTI recorded in form FR Y-9C, Schedule HI,
memoranda item 17(c).
Institutions that have not adopted ASU 2016-13 should continue to report OTTI taken.
Institutions that have adopted ASU 2016-13 do not report OTTI taken, but must report the
Amount of Allowance for Credit Losses and Writeoffs.
Amount	of	Allowance	for	Credit	Losses	
For AFS securities, report the allowance for credit losses by the BHC or IHC on the security. For HTM
securities, report the allowance for credit losses on the security if such information is available at security
level. If only pool level information is available, report this field as: pool-level amount of allowance for
credit losses * (the security’s amortized cost) / (total amortized cost in the pool).
Writeoffs	
Report any writeoffs of this security during the quarter on a quarter-to-date basis.	
	
Accounting	Intent
Indicate whether the security is available-for-sale (AFS) or held-to-maturity (HTM). For
equity securities with readily determinable fair values not held for trading included in FR Y9C, Schedule HC, item 2.c, report “EQ” in this field.
Price	
Report the price of the security associated with the reported market value in USD. In
general, this is the value that, when multiplied by the current USD equivalent face value or
nominal amount of the security, results in the USD equivalent amount that would be
received (excluding accrued interest) if the security were sold at market value. A security
whose market value is equal to its outstanding face value has a price of 100. For equity
securities, report the price per share.  
Pricing	Date
Report the pricing date of the security.
Book	yield15
Report the effective interest rate that would be used to determine credit losses on debt
instruments for other-than-temporary impairment (OTTI) purposes in accordance with ASC
Topic 320. This item is not required for equity and mutual fund securities. For
securitization debt, this relates to the yield implicit at the time of acquisition. This value
should be the original unamortized yield, without subsequent adjustments for paydowns or
accretion. However, if the reported book yield differs from the yield determined according
to the methodology above, such as using the retrospective interest method for only
structured notes outlined in ASC 320-10-35-40, document the reason for the use of the
alternative in supplemental materials.

                                                            
 Institutions that have adopted ASU 2016-13 should report the effective interest rate that would be used to determine the allowance for
credit losses allocated to the respective security in Book Yield. When ASU 2016-13 is effective for all institutions, language around OTTI will
be updated to the new treatment from ASC Topic 326 regarding allowance for credit losses on HTM and AFS securities. 
15

55 
 

 

Purchase	Date16
Report the date on which the security was purchased or acquired in the case of credit
sensitive securities that are evaluated for other-than-temporary impairment (OTTI)
purposes in accordance with ASC Topic 320, Investments—Debt and Equity Securities
(formerly FASB Statement No. 115, Accounting for Certain Investments in Debt and Equity
Securities). The purchase date should be the date associated with the amortized cost and
book yield of the security (exclude for equity and mutual fund securities). If current
holdings of the same security were acquired in different periods, please provide the
amounts and respective purchase dates distinct trade lots in separate rows of the
worksheets. The preferred method for reporting purchases and sales of securities is as of
trade date. However, settlement date accounting is acceptable if the reported amounts
would not be materially different. (See the Glossary entry for “trade date and settlement
date accounting" in the FR Y-9C instructions).
Currency
Indicate the currency denomination of contractual payments on the security, or for an
equity security, the currency in which it trades in its principal exchange, using the standard
ISO 4217 three-letter currency code (e.g., USD, EUR, GBP, CAD, etc.). For the avoidance of
doubt, whether or not the value of this field is USD (U.S. dollars), all amounts reported in
this schedule must be in USD-equivalent terms as of the reporting date.

                                                            
Institutions that have adopted ASU 2016-13 should report the date on which the security was purchased or acquired in the case of credit
sensitive securities that are evaluated for credit loss purposes in accordance with ASC Topic 326. When ASU 2016-13 is effective for all
institutions, language around OTTI will be updated to the new treatment from ASC Topic 326 regarding allowance for credit losses on HTM
and AFS securities.

16

56 
 

 

B.2—Securities	2	(“Investment	Securities	with	Designated	Accounting	Hedges”)	
The Securities 2 schedule contains information on investment security hedging
relationships designated under GAAP as cash flow or fair value hedges of AFS or HTM
securities. All amounts should be reported in U.S. dollars. Gains and losses should be
reported gross of tax.
In each row, report the unique ID, identifier type and identifier value using the
corresponding instructions for Securities 1 for each investment security for which the BHC
or IHC or SLHC has an existing qualifying hedging relationship. Security holdings listed in
this worksheet should be a subset of the line-by-line holdings reported in the Securities 1
schedule and use a consistent ID, Identifier Type and Identifier Value for matching
purposes. In addition, for qualifying hedging relationships reported on Securities 2, the
unique ID reported for the investment security on Securities 1 must also be reported.
There should be one row submitted for each distinct investment security hedging
relationship. Use multiple rows to reflect one-to-many relationships: For example, if
multiple hedging relationships apply to a single security holding, please list each
hedging relationship affecting the security in a separate row of the Securities 2 file,
repeating relevant details about the hedged security. (This treatment would apply, for
example, if distinct hedging instruments – such as interest rate and foreign exchange
hedging instruments – hedge different risks of the same holding and are accounted for
separately, or if a fair value hedge co-exists with a cash flow hedge to address distinct
risks.) Similarly, if a portfolio hedge is used to hedge more than one security under a
single hedging relationship, please list each of the hedged security holdings in separate
rows alongside the characteristics and allocable amount of the associated portfolio
hedging instrument.  If a hedging instrument hedges an investment security and also
hedges assets that are not investment securities, report the amount allocable to the
investment security (or securities) being hedged.
Please refer to the following table for detailed instructions on each column of this
worksheet. The abbreviation ASC stands for the Financial Accounting Standards Board
Accounting Standards Codification. In general, in the instructions that follow, the terms
hedging instrument and hedged item follow their usage in the ASC. Note that hedging	
instrument may refer either to a single instrument or derivative that hedges the hedged
item in a hedging relationship, or a group of instruments jointly considered a hedging
instrument under a single hedging relationship.

57 
 

 

Field
No.

Field	Name	

Description

1

Identifier Type

Report the identifier type for an investment security for which the See Securities 1
BHC or IHC or SLHC has an existing qualifying accounting hedging instructions
relationship, and whose identifier value is provided in Field 2
(“Identifier Value”). If more than one distinct qualifying hedging
relationship exists for the security, please list the security more
than once.

2

Identifier Value

Report the identifier value for an investment security for which the See Securities 1
BHC or IHC or SLHC has an existing qualifying accounting hedging instructions
relationship. If more than one distinct qualifying hedging
relationship exists for the security, please list the security more
than once.

3

Amortized Cost

Report the amortized cost (USD equivalent) of the security being See Securities 1
hedged. This amount should equal the amount recorded in the instructions
Securities 1 file for this security, unless the amount in Securities 1
contains trade lots or holdings that are not part of the hedging
relationship, in which case only include the amortized cost of the
holdings of the security that are hedged under the qualifying
hedging relationship.

(USD Equivalent)

4

Market Value (USD
Equivalent)

Report the market value (USD equivalent) of the security being See Securities 1
hedged. This amount should equal the amount recorded in the instructions
Securities 1 file for this security, unless the amount in Securities 1
contains trade lots or holdings that are not part of the hedging
relationship, in which case only include the amortized cost of the
holdings of the security that are hedged under the qualifying
hedging relationship.

5

Accounting Intent
(AFS, HTM, EQ)

Indicate whether the security being hedged is available-for-sale See Securities 1
instructions
(AFS), or held-to-maturity (HTM), or an equity security (EQ).

6

Type of Hedge(s)

Report the type of hedge (fair value or cash flow hedge) associated 1= Fair Value Hedge,
with the holding as defined by ASC 815. Make this indication for 2=Cash Flow Hedge.
each hedged security, whether it is hedged individually or is hedged
as part of a portfolio of assets with similar risk that are hedged as a
group in line with ASC 815-20-25-12 (b), ASC 815-20-2512A, or
ASC 815-10-25-15.

58 
 

Allowable	Values

 

Field
No.

Field	Name	

7

Indicate the risk being hedged, among the potential hedged risks 1=Overall Change in Fair
described under ASC 815-20-25-12 and ASC 815-20-25-15.
Value or Variability in
Cash Flows, 2=Interest
Rate Risk, 3=Foreign
Exchange Risk, 4=Credit
Risk, 5 = Interest Rate
Risk & Foreign Exchange
Risk, 6= Interest Rate
Risk & Credit Risk, 7=
Foreign Exchange Risk &
Credit Risk, 8 = Interest
Rate Risk & Foreign
Exchange Risk & Credit
Risk, 9= Change in Fair
Value of Embedded Call
or Put Option, 10=Other,
11= Not applicable.

Hedge Interest
Rate

For hedges of interest rate risk, indicate the benchmark interest 1=US Treasury Security
rates from among those eligible under ASC 815-20-25-6A and other Interest Rate, 2=London
relevant guidance.
Interbank Offered Rate
(LIBOR) Swap Rate,
3=Federal Funds
Effective Swap Rate, 4
=Other, 5 = Not
applicable.

Hedge Percentage

Indicate, in the case of a designated fair value hedge, the portion of Enter a numeral in
the asset being hedged, as determined according to ASC 815-20-25- decimal format with up
to 4 decimal places
12 (b) and ASC 815-20-25-12A. Enter a decimal value.
between 0 and 1,
If the hedge is allocated to 100 percent of the securities notional or inclusive.
100 percent of the hedged risk associated with the investment
amounts reported in Fields 3 and 4 (amortized cost and market
value), please enter a value of 1.

	

9

Allowable	Values

Hedged Risk
	

8

Description

If the associated hedge is a designated cash flow hedge of foreign
currency fluctuation, please indicate the percentage of principal or
interest cash flows (as applicable) being hedged in accordance with
ASC 815-20-25-41.
10

Hedge Horizon	

If the hedge is a fair value hedge, report the latest date of the
remaining effectiveness horizon (e.g., the remaining life of the
derivative instrument or an applicable shorter period, as discussed
in ASC 815-20-25-118), consistent with the documented risk
management strategy for the fair value hedge.
If the hedge is a cash flow hedge, report the latest date within which
the latest transaction covered by the hedge is expected to occur, in
line with the documentation requirements under ASC 815-20-25-3
and the effectiveness testing requirements under ASC 815-20-25.

59 
 

Must be in yyyy- mm-dd
format, e.g.:
2005-02-01
1999-12-14

 

Field
No.

Field	Name	

Description

11

Hedged Cash Flow

Indicate the type of cash flow associated with the hedge if it is a cash 1=Principal and Interest
Cash Flows, 2=Interest
flow hedge.
Only, 3=Principal Only,
4=A Fixed Portion of
Either Principal or
Interest Cash Flows,
5=Other 6= Not
applicable.

12

Sidedness

Indicate whether the hedging instrument provides a one-sided 1=One-sided. 2= Not
effective offset of the hedged risk, as permitted under ASC 815-20- One-sided.
25-76.

13

Hedging
Instrument at Fair
Value

Indicate the USD-equivalent fair value of the hedging instrument
used to hedge the security under the indicated hedging
relationship. The hedging instrument associated with the hedged
security may consist of a proportion of a whole derivative (see ASC
815-20-25-45), in which case report the applicable portion of the
hedging derivative’s fair value. In addition, more than one
instrument may be used in combination as a hedging instrument, in
which case report the sum of the allocable fair values of these
instruments.

Rounded positive or
negative whole dollar
amount with no cents,
e.g.: 20000000
Supply numeric values
without any nonnumeric formatting (no
dollar sign, commas or
decimal). For negative
values use a negative sign
‘-‘, not parentheses.

14

Effective Portion of Indicate the effective portion of the gains and losses in the quarter Rounded positive or
in USD of the hedging instrument(s), associated with the hedged negative whole dollar
Cumulative Gains
risk and hedged percentage of the security.
amount with no cents,
and Losses
e.g.: 20000000
Supply numeric values
without any nonnumeric formatting (no
dollar sign, commas or
decimal). For negative
values use a negative sign
‘-‘, not parentheses.

15

Ineffective Portion
of Cumulative
Gains and Losses

Indicate the ineffective portion of the gains and losses in the
quarter in USD of the hedging instrument(s), associated with the
hedged risk and hedged percentage of the security, which have
been recognized in earnings.

60 
 

Allowable	Values

Rounded positive or
negative whole dollar
amount with no cents,
e.g.: 20000000
Supply numeric values
without any non
numeric formatting (no
dollar sign, commas or
decimal). For negative
values use a negative sign
‘ ‘, not parentheses.

 

Field
No.

15

Field	Name	

ASU 2017-12
Hedge
Designations

Description

Allowable	Values

Indicate if any of the ASU 2017-12 hedge designations allowed in
conjunction with partial-term hedging election in ASC 815-20-2512b(2)(ii) are applicable. These designations are described in ASC
815-20-25-12A and 815-25-35-13B.

1= Last-of-Layer;
2= One or more selected
contractual cash flows;

61 
 

3= Not applicable

 

Schedule	C—Regulatory	Capital	Instruments		
 

General	guidance	
	
The FR Y-14Q Regulatory Capital Instruments quarterly schedules collect historical data of
BHCs’ and IHCs’ transactions in and balances of funded instruments that are included in
regulatory capital as well as subordinated debt instruments and their related hedging
instruments – included in FR Y-9C line item BHCK4062, “Subordinated notes and
debentures.” They collect historical data at the CUSIP level on the balances of each funded
regulatory capital instrument, in addition to information on any issuances and redemptions
of individual instruments that occurred during the quarter. The quarterly schedule does
not require BHCs or IHCs to report changes in the balances of capital instruments due to
amortizations or accretions as either Redemptions or Issuances. Note: All	subordinated	
debt	instruments	must	be	included,	regardless	of	whether	or	not	the	instrument	is	
included	in	regulatory	capital.	
	
Concurrently	with	their	initial	submission	of	the	Regulatory	Capital	Instruments	
schedule,	a	new	filer	of	FRY‐14Q	Schedule	C	must	make	a	one‐time	submission	of	all	
subordinated	debt	as	of	quarter	end	that	includes	all	of	the	information	required	in	
schedule	C.3	(Issuances	During	Quarter)	for	each	subordinated	debt	instrument	
outstanding	as	of	quarter	end.	Report	in	Column	I	the	notional	dollar	amount	of	the	
instrument	as	of	quarter	end.		

	

C.1—Regulatory	Capital	and	Subordinated	Debt	Instruments	as	of	Quarter	End	
	
This worksheet collects historical information on the BHCs’ and IHCs’ regulatory capital and
subordinated debt instruments as of the end of the most recent quarter. Complete this
worksheet with details on each of these funded instruments as of quarter end. For each
instrument, provide the applicable details below:
Columns I through Columns N apply to subordinated debt instruments, related interest rate
hedges as well as any new interest rate hedges associated with outstanding subordinated
debt instruments.
For a subordinated debt instrument with multiple hedging instruments (interest rate
swaps), report the sum of the values for all interest rate swaps. There should be one CUSIP
number and one line associated with each subordinated debt instrument.
Column	Instructions	
	
Column	B	
Committee	on	Uniform	Security	Identification	Procedures	(CUSIP)	or	
unique	identifier	provided	by	BHC	or	IHC	
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC or IHC. If there are different instrument types associated with one
CUSIP, report the same CUSIP across multiple rows, provided that a different Instrument
Type is used for each recurrence of the respective CUSIP. If there are duplicate records with
the same CUSIP and Instrument Type, the firm should append a differentiating feature on
the end of the CUSIP (e.g., “v1” and “v2”, etc.) and specify in the comments column that these
are in fact swaps on the same CUSIP.
	
Column	C	
Instrument	type	
	
62 
 

 

	
	

Report the type of regulatory capital instrument. Instruments should be reported based on
whether they were included in Tier 1 or Tier 2 regulatory capital. This item should indicate:
Common Stock, CPP TARP Preferred, CS USG Investment, CS Warrants, Cumulative Dated
Preferred (TRUPS), Cumulative Perpetual Preferred (CPP), Mandatory Convertible
Preferred (MCP), MCP USG Preferred, NCPP Convertible, Non-Cumulative Perpetual
Preferred (NCPP), Other Tier 1 Instruments, Other Tier 2 Instruments, REIT Preferred,
Subordinated Debt, USG Preferred TRUPS, or Subordinated Debt.
Column	D	
Regulatory	capital	rule	treatment	 	
Report the regulatory capital treatment for the instrument as per the regulatory capital rule
(See generally 12 CFR 217). If the instrument being reported is a subordinated debt
instrument not included in regulatory capital, “NA” should be reported.	
	
Column	E	
Cumulative/noncumulative	 	
Report whether the instrument’s coupon/dividend is cumulative or noncumulative.
	
Column	F	
Notional	amount	($Millions)		
Report the notional dollar amount of the instrument as of quarter end.
	
Column	G	
Amount	recognized	in	regulatory	capital	($Millions)	
	
Report the dollar amount of the instrument that qualified as regulatory capital as of quarter
end.
	
Column	H	
Comments	 	
Use this field to report any supporting information regarding the instrument, including how
it relates to amounts approved in the BHC’s or IHC’s capital plan. Comments should also
reflect summary balance variances by Instrument Type.
Column	I	
Carrying	value,	as	of	quarter‐end	($Millions)		
Report the carrying value of the instrument. This number should match the value that
enters in FR Y-9C line item BHCK4062, “Subordinated notes and debentures”. For
subordinated debt with multiple interest rate swaps, report the sums of the full carrying
values of the underlying note.
Column	J	

Unamortized	discounts/premiums,	fees,	and	foreign	exchange	
translation	impacts	as	of	quarter‐end	($Millions)
Report the dollar amount of unamortized discounts/ premiums, fees, and foreign exchange
translation impact (for FX-denominated instruments) associated with the instrument. For
subordinated debt with multiple interest rate swaps, report the sums of the full amounts of
unamortized discounts/ premiums, fees, and foreign exchange translation impact (for FXdenominated instruments) associated with the underlying note.

Column	K	
Fair	value	of	swaps,	as	of	quarter	end	($Millions)
Report the dollar value of swaps associated with the instrument that enter FR Y-9C line item
BHCK4062, “Subordinated notes and debentures.” For subordinated debt with multiple
interest rate swaps, report the sums of the fair values of all the interest rate swaps
associated with the instrument detailed in this line.
Column	L	
Notional	amount	of	interest	rate	swap	($Millions)		
Report the notional dollar amount of the interest rate swap associated with the instrument.
For subordinated debt with multiple interest rate swaps, report the notional amount for all
the interest rate swaps associated with the instrument detailed in this line.
63 
 

 

Column	M	
Currency	denomination	of	the	instrument	
Report the currency the instrument is denominated in. If the relevant currency is not in the
drop down box, specify the currency in the Comments field.
Column	N	
Y‐9C	BHCK	4062	reconciliation		
If the carrying value in column I differs from the amount that enters in in FR Y-9C line item
BHCK 4062, provide an explanation in this field. Also provide an explanation for the
discrepancy between the sum of carrying values in column I and the amount reported in FR
Y-9C line item BHCK 4062. The discrepancy may come from life-time preferred stock
included in BHCK 4062 for example.
C.2—Regulatory	Capital	and	Subordinated	Debt	Instrument	
Repurchases/Redemptions	During	Quarter		
BHCs and IHCs are to complete this worksheet with details on any repurchase or
redemption activity for its capital and subordinated debt instruments during the quarter.
For each instrument that was subject to a redemption or repurchase, provide the applicable
details below.
Note: Do not use this worksheet to report decreases in the amount of any capital
instrument that are the result of amortizations of the remaining balance of the instrument.
Any changes due to amortizations of instruments that occurred during the quarter should
be reflected in the balances of those instruments as reported on the C.1‐Regulatory	Capital	
and	Subordinated	Debt	Instruments	as	of	Quarter	End worksheet.
Decreases in APIC resulting from employee stock compensation-related drivers should not
be captured in sub-schedule C.2. Decreases in APIC as a result of treasury stock being
issued at a price lower than its cost basis (i.e., the accounting amount of the stock held on
the firm’s balance sheet) must not be captured in sub-schedule C.2.
An IHC must report remittances of capital to a non-IHC entity such as its foreign parent if it
reduces the IHC's regulatory capital, even if it does not arise from the payment on or
repurchase or redemption of a regulatory capital instrument. Reductions in APIC on subschedule C.2 should reflect only instances in which an IHC remits capital to its foreign
parent outside the context of payment on or redemption of an internal capital instrument.
An example of this would be the reversal of contributed capital that was originally paid by
the parent to the IHC in the form of cash. In these instances, report the CUSIP with the
following convention: P00000001, P00000002, etc.
Column	Instructions	
	
Column	B	
Committee	on	Uniform	Security	Identification	Procedures	(CUSIP)	or	
unique	identifier	provided	by	BHC	or	IHC	 	
Report the CUSIP number or unique identification number assigned to the instrument as
provided by the BHC or IHC. If there are different instrument types associated with one
CUSIP, report the same CUSIP across multiple rows, provided that a different Instrument
Type is used for each recurrence of the respective CUSIP. If there are duplicate records with
the same CUSIP and Instrument Type, the firm should append a differentiating feature on
the end of the CUSIP (e.g., “V1” and “V2”, etc.) and specify in the comments column that
these are in fact swaps on the same CUSIP.
Column	C	
Instrument	type	
	
Report the type of regulatory capital instrument. This item should also indicate where
64 
 

 

common stock is related to employee compensation (Common Stock - Employee Stock
Compensation), and remissions of capital to a foreign parent entity for IHCs (APIC - Foreign
Parent), in addition to the following items: Common Stock, CPP TARP Preferred, CS USG
Investment, CS Warrants, Cumulative Dated Preferred (TRUPS), Cumulative Perpetual
Preferred (CPP), Mandatory Convertible Preferred (MCP), MCP USG Preferred, NCPP
Convertible, Non-Cumulative Perpetual Preferred (NCPP), Other Tier 1 Instruments, Other
Tier 2 Instruments, REIT Preferred, Subordinated Debt, USG Preferred TRUPS, or
Subordinated Debt.
Column	D	
Regulatory	capital	rule	treatment	 	
Report the regulatory capital treatment for the instrument as per the regulatory capital rule
(See generally 12 CFR 217). If the instrument being reported is a subordinated debt
instrument not included in regulatory capital, “NA” should be reported.
	
Column	E	
Redemption	action	 	
Report the redemption action executed on the instrument.
	
Column	F	
Date	on	which	action	was	executed	(mm/dd/yyyy)	
	
Report the date on which the redemption/repurchase action was executed.
	
Column	G	
Notional	amount	transacted	($Millions)	 	
Report the notional dollar amount by which the instrument was reduced as a result of the
redemption/repurchase action.
	
Column	H	
Regulatory	capital	amount	transacted	($Millions)		
Report the dollar amount of regulatory capital by which the instrument was reduced as a
result of the redemption/repurchase action.
	
Column	I	
Notional	amount	remaining	at	quarter	end	($Millions)	 	
Report the remaining notional dollar amount of the instrument as of quarter end.
	
Column	J	
Amount	recognized	in	regulatory	capital		remaining	at	quarter	end	
($Millions)	 	
Report the remaining dollar amount of the instrument that was included in regulatory
capital as of quarter end.
	
Column	K	
Comments	 	
Use this field to report any supporting information regarding the instrument, including how
it relates to amounts approved in the BHC’s or IHC’s capital plan. Comments should also
reflect summary balance variances by Instrument Type.
C.3	–	Regulatory	Capital	and	Subordinated	Debt	Instruments	Issuances	During	
Quarter	
BHCs and IHCs are to complete this worksheet with details on any issuances of capital and
subordinated debt instruments – as well as any related hedging instruments, which includes
new hedges on outstanding subordinated debt instruments - that were issued during the
quarter. For each issued instrument, provide the applicable details below.
Columns BB through Columns OO apply to subordinated debt instruments, related hedges
as well as any new hedges associated with outstanding subordinated debt instruments.
For a subordinated debt instrument with multiple hedging instruments (swaps), please
65 
 

 

report on multiple lines with the naming convention: CUSIP_1, CUSIP_2, etc., where CUSIP is
the unique identifier of the underlying instrument. Columns C-Z and BB-CC should be
repeated for all swap and reflect the underlying instrument, even though the entries may be
the same due to the swaps having the same underlying instrument. 	
Note: Do not use this worksheet to report increases in the amount of any capital
instruments that are the result of accretions that occurred during the quarter. Any changes
due to accretions that occurred during the quarter should be reflected in the balances of
those instruments as reported on the	C.1	‐	Regulatory	Capital	Instruments	as	of	Quarter	End
worksheet.
Increases in APIC resulting from employee stock compensation-related drivers should not
be captured in sub-schedule C.3.
An IHC must report capital contributions to the IHC from a non-IHC entity such as its
foreign parent if it increases the IHC's regulatory capital, even if it does not arise from the
issuance of a regulatory capital instrument from the IHC to that entity. In these instances,
report the CUSIP with the following convention: P00000001, P00000002, etc.
Column	Instructions	
	
Column	B	
Committee	on	Uniform	Security	Identification	Procedures	(CUSIP),	
International	Securities	Identification	Number	(ISIN)	or	unique	
identifier	provided	by	BHC	or	IHC	
Report the CUSIP or ISIN number. If the instrument does not have a CUSIP or ISIN, provide
the unique identification number assigned to the instrument as provided by the BHC or IHC.
For subordinated debt with multiple swaps, please report on multiple lines with the naming
convention CUSIP_1, CUSIP_2, etc., where CUSIP is the unique identifier of the underlying
instrument. If there are different instrument types associated with one CUSIP, report the
same CUSIP across multiple rows, provided that a different Instrument Type is used for
each resurrence of the respective CUSIP. If there are duplicate records with the same CUSIP
and Instrument Type, the firm should append a differentiating feature on the end of the
CUSIP (e.g., "v1" and "v2", etc.) and specify in the comments column that these are in fact
swaps on the same CUSIP.
	
Column	C	
Instrument	type	
	
Report the type of regulatory capital instrument. Instruments should be reported based on
whether they were actually included in Tier 1 or Tier 2 regulatory capital. This item should
also indicate where common stock is related to employee compensation (Common Stock Employee Stock Compensation) and contributions of surplus capital from a foreign parent
entity for IHCs (APIC - Foreign Parent), in addition to the following items: Common Stock,
CPP TARP Preferred, CS USG Investment, CS Warrants, Cumulative Dated Preferred
(TRUPS), Cumulative Perpetual Preferred (CPP), Mandatory Convertible Preferred (MCP),
MCP USG Preferred, NCPP Convertible, Non-Cumulative Perpetual Preferred (NCPP), Other
Tier 1 Instruments, Other Tier 2 Instruments, REIT Preferred, Subordinated Debt, USG
Preferred TRUPS, or Subordinated Debt.
	
Column	D	
Is	issuance	result	of	conversion?	 	
Report whether the issued instrument is the result of a conversion.
	
Column	E	
If	conversion,	indicate	CUSIP	of	original	instrument	
	
For issuances that are the result of a conversion, report the CUSIP of the instrument from
which the new issuance was converted.
66 
 

 

	
Column	F	
Date	of	issuance	(mm/dd/yyyy)	
Report the date the instrument was issued.

	

Column	G	
Regulatory	capital	rule	treatment	 	
Report the regulatory capital treatment for the instrument as per the regulatory capital rule
(See generally 12 CFR 217). If the instrument being reported is a subordinated debt
instrument not included in regulatory capital, “NA” should be reported.
	
Column	H	
Cumulative/noncumulative	 	
Report whether the instrument’s coupon/dividend is cumulative or noncumulative.
	
Column	I	
Notional	amount	transacted	($Millions)	 	
Report the notional dollar amount of the issued instrument. For subordinated debt with
multiple swaps, report the full notional amount transacted of the underlying instrument.
	
Column	J	
Regulatory	capital	amount	transacted	($Millions)		
Report the dollar amount of the instrument that qualified as regulatory capital as of quarter
end.
	
Column	K	
Perpetual/dated	
	
Report whether the issued instrument is of fixed maturity (“dated”) or of no fixed date
when capital will be returned to the investor (“perpetual”).
	
Column	L	
If	dated,	date	of	maturity	(mm/dd/yyyy)	
	
For instruments of fixed maturity (i.e., “dated” instruments), report the maturity date. For
“perpetual” instruments, report “NA”.
	
Column	M	
Issuer	call	
	
Report whether there is an issuer call option for the instrument. 	
	
Column	N	
If	callable,	optional	call	date	(mm/dd/yyyy)	
	
For instruments that feature an issuer call option, report the first date of call.
	
Column	O	
Fixed/floating	
	
Report whether the instrument has a fixed coupon, a floating coupon/dividend, steps up or
converts from paying a fixed to paying a floating coupon.
	
Column	P	
Coupon/dividend	rate	(dividend	yield)	(bps)	at	issuance	
	
For instruments with fixed coupon/dividends, report the coupon/dividend rate for the
instrument at issuance. For instruments that have a floating coupon/dividend or that have
neither a fixed nor floating coupon/dividend rate (such as common stock), input the
coupon/dividend rate paid in the reporting quarter.
	
	
Column	Q	
Index	at	issuance	
	
For instruments with a coupon/dividend rate that is linked to the rate of a particular index,
report the index to which it is linked at issuance. For instruments with a fixed
coupon/dividend rate, report “NA.” If the index is not available, specify the index in the
Comments field.
	
	
Column	R	
Spread	over	index	(bps)	at	issuance	
For instruments with a coupon/dividend rate that is linked to the rate of a particular index,
report the spread over the relevant index in basis points (e.g., 1M LIBOR+50bps should be
67 
 

 

reported as “50”) at issuance. For instruments that have a fixed coupon/dividend rate or
that have neither a fixed nor floating coupon/dividend rate, report “NA”.
	
Column	S	
Date	at	which	coupon	terms	change
For instruments that step up or convert from paying a fixed rate to paying a floating coupon,
specify the date at which the rate change occurs. If the terms of the instrument do not
change, report “NA.”
Column	T	
Coupon/dividend	rate	(bps)	when	terms	change	
For instruments that step up, report the coupon/dividend rate for the instrument after the
change of terms. If the terms of the instrument do not change, report “NA.”
	
Column	U	
Index	when	terms	change	
For instruments that convert from paying a fixed rate to paying a coupon/dividend rate that
is linked to the rate of a particular index, report the index to which it is linked. Select from
options in the drop down box. If the index is not available in the drop down menu, specify
the index in the Comments field. If the terms of the instrument do not change, report “NA.”
Column	V	
Spread	over	index	(bps)	when	terms	change	
For instruments that convert from paying a fixed rate to paying a coupon/dividend with a
coupon/dividend rate that is linked to the rate of a particular index, report the spread over
the relevant index in basis points (e.g., 1M LIBOR+50bps should be reported as “50”). If the
terms of the instrument do not change, report “NA.”
	
Column	W	
Existence	of	step	up	or	other	incentive	to	redeem	
Report whether the instrument features a step up or other incentive to redeem the security.
Step–up securities initially pay the investor an above–market yield for a short period and
then, if not called, ‘‘step up’’ to a higher coupon rate.
	
Column	X	
Convertible/non‐convertible	
	
Report whether the instrument is convertible into another instrument or non–convertible.
	
Column	Y	
If	convertible,	mandatory	or	optional	conversion?	
	
For instruments that are convertible into another instrument, report whether the
conversion is mandatory or optional. For non–convertible instruments, report “NA”.
	
Column	Z	
If	convertible,	specify	the	instrument	type	into	which	it	will	convert	
	
For instruments that are convertible into another instrument, report the type of instrument
into which the instrument will convert. For non–convertible instruments, report “NA”.
	
Column	AA	 Comments	 	
Use this field to report any supporting information regarding the instrument, including how
it relates to amounts approved in the BHC’s capital plan. Comments should also reflect
summary balance variances by Instrument Type. If the nature of the swap (fixed-to-floating,
floating-to-fixed, FX) is not self-evident, please provide details here.
Column	BB	 Carrying	value,	as	of	quarter end	($Millions)		
Report the carrying value of the instrument. This number should match the value that
enters in FR Y 9C line item BHCK4062, “Subordinated notes and debentures,” and should be
equal to the sum of column I, CC, and DD. For subordinated debt with multiple swaps, please
report the full carrying value of the underlying note.
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Column	CC	

Unamortized	discounts/premiums,	fees,	and	foreign	exchange	
translation	impacts	as	of	quarter end	($Millions)
Report the dollar amount of unamortized discounts/ premiums, fees, and foreign exchange
translation impact (for FX denominated instruments) associated with the instrument. For
subordinated debt with multiple swaps, please report the full amount of unamortized
discounts/ premiums, fees, and foreign exchange translation impact (for FX denominated
instruments) associated with the underlying note.
Column	DD	 Fair	value	of	swaps,	as	of	quarter	end	($Millions)
Report the dollar value of swaps associated with the instrument that enter FR Y 9C line item
BHCK4062, “Subordinated notes and debentures.” For subordinated debt with multiple
swaps, please report the fair value of the specific swap detailed in this line.
Column	EE	 Interest	rate	swap	issue	date	(mm/dd/yyyy)		
If there is an interest rate swap associated with the instrument that is accounted for in FR Y
9C line item BHCK4062, “Subordinated notes and debentures,” and BHCK4397, “Interest on
Subordinated Notes and Debentures and on Mandatory Convertible Securities,” report the
issue date of the swap.
Column	FF	 Interest	rate	swap	maturity	date	(mm/dd/yyyy)		
Report the maturity date of the interest rate swap associated with the instrument.
Column	GG	 Notional	amount	of	interest	rate	swap	($Millions)		
Report the notional dollar amount of the interest rate swap associated with the instrument.
For subordinated debt with multiple swaps, please report the notional amount for the
specific swap detailed in this line.
Column	HH	 Swap	fixed	rate	(bps)		
If the interest rate swap is floating to fixed, report the fixed interest rate payment. If the
interest rate swap is fixed to floating, report the fixed interest rate received from the swap.
If the interest rate swap is floating to fixed, report the fixed interest rate paid.
Column	II	
Swap	index		
If the interest rate swap is fixed-to-floating, report the index to which the swap payment is
linked. If the interest rate swap is floating-to-fixed, report the index to which the received
leg is linked. If the index is not available in the drop down box, please specify index in the
Comments field. For instruments unrelated to an index report “N/A”.
Column	JJ	
Swap	spread	over	index	(bps)		
Report the effective spread (the paid-spread-over-index rate plus the difference between
the fixed coupon on the underlying note and the received fixed rate on the swap) over the
relevant index in basis points (e.g., 1M LIBOR+50bps should be reported as “50”). For
instruments unrelated to an index report “N/A”.
Column	KK	 Currency	denomination	of	the	instrument	
Report the currency the instrument is denominated in. If the relevant currency is not in the
drop down box, please specify the currency in the Comments field.
Column	LL	 Currency	of	foreign	exchange	swap	payment		
If a foreign exchange swap is associated with the instrument, report the currency of the
swap payment. For example, for an instrument denominated in EUR, a foreign exchange
swap may imply a USD payment for a receipt of EUR. The currency of the swap payment is
thus USD. Select from options in the drop down box. If the relevant currency is not in the
drop down box, please specify the currency in the Comments field. If the terms of the swaps
69 
 

 

associated with the instrument and accounted for in FR Y-9C line item BHCK4062,
“Subordinated notes and debentures,” and BHCK4397, “Interest on Subordinated Notes and
Debentures and on Mandatory Convertible Securities,” are not represented adequately in
columns EE to LL on the form, please provide additional information on swaps in the
Comments field.
Column	MM	 Notional	amount	of	foreign	exchange	swap	($	Million)		
Report the notional dollar amount of the foreign exchange swap associated with the
instrument.
Column	NN	 Exchange	rate	implied	by	foreign	exchange	swap	(LL/KK)		
Report the exchange rate of the foreign exchange swap. Express the exchange rate as the
amount of currency reported in column LL per unit of currency reported in column KK.
Column	OO	 Y 9C	BHCK	4062	reconciliation		
If the carrying value in column BB differs from the amount that enters in in FR Y 9C line item BHCK 4062,
or if the sum of columns I, CC and DD does not add up to the carrying value, provide an explanation in this
field. Also provide an explanation for the discrepancy between the sum of carrying values in column BB
and the amount reported in FR Y 9C line item BHCK 4062. The discrepancy may come from life time
preferred stock included in BHCK 4062 for example (include this explanation in the field for instrument Nr.
1).	
	

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Schedule	D—Regulatory	Capital	Transitions	
General	Guidance
For the purposes of the Regulatory Capital Transitions Schedule, all BHCs and IHCs must
reflect the regulatory capital and supplementary leverage ratio rules on a fully phased in
basis for the reporting quarter (e.g., BHCs and IHCs should apply 100% of all capital
deductions, not assuming the transition provisions for implementation of changes to the
capital composition as in the regulatory capital rule).17 Where applicable, BHCs and IHCs
should also reference the methodology descriptions outlined within the FR Y-9C, Schedule
HC-R. Please note, however, that numbers do not need to tie to the FR Y-9C reports, given that
the FR Y-14 Transitions schedule requires calculations on a fully phased-in basis. Similarly,
the FR Y-14Q, Schedule D, should not reflect any election of the CECL transition provision.
Non advanced approaches firms should continue to apply, indefinitely, the risk weight and
the deduction treatment applicable during 2017, as outlined in the capital rules.18 In
accordance with Table 7 of section 300 of the capital rules, non advanced approaches
banking organizations should:





Deduct from regulatory capital 80 percent of the amount of any of these five items
that is not includable in regulatory capital;
Apply a 100 percent risk weight to any amounts of MSAs, temporary difference DTAs,
and significant investments in the capital of unconsolidated financial institutions in the
form of common stock that are not deducted from capital, and continue to apply the
current risk weights under the capital rules to amounts of non significant investments
in the capital of unconsolidated financial institutions and significant investments in
the capital of unconsolidated financial institution not in the form of common stock that
are not deducted from capital; and
Include 20 percent of any common equity tier 1 minority interest, tier 1 minority
interest, and total capital minority interest exceeding the capital rule’s
minority interest limitations (surplus minority interest) in regulatory capital.

Where applicable, BHCs and IHCs should also reference the methodology descriptions
outlined within the FR Y 9C, HC R, Part IB (final) and part II (draft). Please note, however,
that numbers do not need to tie to the FR Y 9C reports, given that the FR Y 14 Transitions
schedule requires calculations on a fully phased in basis except for instances as prescribed in
the Regulatory Capital Rules: Retention of Certain Existing Transition Provisions for Banking
Organizations That Are Not Subject to the Advanced Approaches Capital Rules (82 FR 55309).
The Regulatory Capital schedule collects additional data necessary to calculate the items
that may receive limited recognition in Common Equity Tier 1 (i.e., significant and nonsignificant investments in the common shares of unconsolidated financial institutions,
mortgage servicing assets and deferred tax assets arising from temporary differences) that
are not collected on the FR Y-9C.
The Regulatory Capital Transitions FR Y 14Q quarterly schedule is used for monitoring
actual progress against the forecasts provided in the FR Y 14A submission. Submit the FR
Y 14Q schedule with actual data as of the close of each quarter (Note	actual	Q4	data	are	
submitted	on	the	FR	Y 14Q	report	in	addition	to	the	actual	data	submitted	separately	
                                                            
Advanced approaches BHCs and IHCs are generally firms that have $250 billion or more in total consolidated assets and/or
$10 billion or more in consolidated on balance sheet foreign exposures. See 12 CFR 217.100(b)
18 See 82 FR 55309.
17

71 
 

 

on	the	FR	Y 14A	report).	
Relevant	Reference
All BHCs and IHCs are required to follow the methodologies outlined in the regulatory capital
rule, the updated market risk capital rule (78 Federal Register 76521, December 18, 2013),
and the supplementary leverage ratio final rule (September 2014) for purposes of completing
the Regulatory Capital Transitions schedules on a quarterly basis. Except for instances as
prescribed in Regulatory Capital Rules: Retention of Certain Existing Transition Provisions
for Banking Organizations That Are Not Subject to the Advanced Approaches Capital Rules
(82 FR 55309). BHCs and IHCs should reflect the regulatory capital framework on a fully
phased in basis.
Links to these reference documents are listed below:
•

Basel global systemically important banks: updated assessment methodology and
the higher loss absorbency requirement (July 2013):
http://www.bis.org/publ/bcbs255.pdf
Regulatory Capital Rule (78 Federal Register 62018, October 11, 2013):
http://www.gpo.gov/fdsys/pkg/FR 2013 10 11/pdf/2013 21653.pdf

•

Updated Market Risk Rule (78 Federal Register 76521, December 18, 2013):

•

Supplementary Leverage Ratio Final Rule (September 2014):
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf



Regulatory Capital Rules: Retention of Certain Existing Transition Provisions for
Banking Organizations That Are Not Subject to the Advanced Approaches Capital
Rules (November 21, 2017; 82 FR 55309):
https://www.federalregister.gov/documents/2017/11/21/2017
25172/regulatory capital rules retention of certain existing transition
provisions for banking

Completing	the	Schedule	
Data should be provided in all non-shaded items; shaded items are derived and will be
automatically populated.
All BHCs and IHCs, including advanced approaches BHCs and IHCs and non advanced
approaches BHCs and IHCs must complete Schedule D.4 Standardized RWA for all
reporting periods. For the purpose of completing Schedule D.4, BHCs and IHCs are required
to report credit risk weighted assets using the methodologies under the standardized
approach of the regulatory capital rule. Advanced approaches BHCs and IHCs, including the
BHCs and IHCs that are considered mandatory advanced approaches institutions or that
have opted in voluntarily as an advanced approaches institution, are also required to
complete Schedule D.3 Advanced RWA for all reporting periods. All firms should provide
all data on a fully phased in basis (i.e., not assuming any transitional or phase out
arrangements included in the regulatory capital rule) except for instances as prescribed in
82 FR 55309.

72 
 

 

If a BHC or IHC does not have an exposure relevant to any particular line item (except for
Schedule D.6 Planned Actions) it should enter zero (0) in those items. In order for the
derived items to automatically populate the shaded items in the schedule with calculated
numbers, BHCs and IHCs must complete all non shaded items in the schedule with a value.
	
	

73 
 

 

D.1

Capital	Composition	

The Capital Composition schedule (along with Schedule D.2 Exceptions Bucket
Calculator) collects the data necessary to calculate the composition of capital under the
guidelines set forth by t h e Revised Regulatory Capital Rule. Please provide all data on a
fully phased in basis (i.e., not assuming any transitional or phase out arrangements
included in the regulatory capital rule. All firms should provide all data on a fully
phased in basis (i.e., not assuming any transitional or phase out arrangements included in
the regulatory capital rule) except for instances as prescribed in 82 FR 55309.
	
Line	item	1	 AOCI	opt out	election
Non advanced approaches BHCs and IHCs have the option to select either 1 for opt out, or 0
for opt in. Note that there are no transition provisions applied.
As provided in section 22(b)(ii) of the revised regulatory capital framework, a non
advanced approaches banking organization that seeks to make an AOCI opt out election is
required to do so upon filing its first Call Report or FR Y 9 series report after the date upon
which it becomes subject to the final rule (January 1, 2015).
Common	Equity	Tier	1	Capital	
	
Line	item	2	 Common	stock	and	related	surplus	(net	of	treasury	stock	and	unearned	
employee	stock	ownership	plan	(ESOP)	shares	 	
Report common shares and the related surplus issued by BHCs and IHCs that meet the
criteria of the final rules. This should be net of treasury stock and other investments in own
shares to the extent that these are already not recognized on the balance sheet under the
relevant accounting standards. This line item should reflect the impact of share
repurchases or issuances projected in the CCAR forecast horizon. This line should also
reflect the netting of any treasury stock, unearned ESOP shares, and any other contra equity
components.
	

Line	item	3	 Retained	earnings	 	
Retained earnings reported by BHCs and IHCs. This should reflect the impact of dividend
pay outs projected in the CCAR forecast horizon.
	
Line	item	4	 Accumulated	other	comprehensive	income	(AOCI)	
Report the amount of AOCI as reported under generally accepted accounting principles
(GAAP) in the U.S. that is consistent with the definitions included in Schedule HC R, Part
I.B., item 3, with no transition provisions.
Line	item	5	 Common	equity	tier	1	minority	interest	includable	in	common	equity	
tier	1	capital	(report	this	on	a	fully	phased in	basis)	
Report the aggregate amount of common equity tier 1 minority interest that is consistent
with the definitions provided in Schedule HC R, Part I.B., item 4, Common equity tier 1
minority interest means the common equity tier 1 capital of a depository institution or
foreign bank that is a consolidated subsidiary of the holding company and that is not owned
by the holding company. In addition, the capital instruments issued by the subsidiary must
meet all of the criteria for common equity tier 1 capital (qualifying common equity tier 1
capital).
Line	item	6 Common	equity	tier	1	capital	before	adjustments	and	deductions
This captures the sum of line items 2 through 5.
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Common	equity	tier	1	capital:	adjustments	and	deductions	
	
Line	item	7	 Goodwill	net	of	associated	deferred	tax	liabilities	(DTLs)	
Report the amount of goodwill that is consistent with the definitions provided in Schedule
HC R, Part I.B., item 6, with no transition provisions.
However, if a BHC or IHC has a DTL that is specifically related to goodwill acquired in a
taxable purchase business combination that it chooses to net against the goodwill, the
amount of disallowed goodwill to be reported in this item should be reduced by the amount
of the associated DTL.
If a holding company has significant investments in the capital of unconsolidated financial
institutions in the form of common stock, the holding company should report in this item
goodwill embedded in the valuation of a significant investment in the capital of an
unconsolidated financial institution in the form of common stock (embedded goodwill).
Such deduction of embedded goodwill would apply to investments accounted for under the
equity method. Under GAAP, if there is a difference between the initial cost basis of the
investment and the amount of underlying equity in the net assets of the investee, the
resulting difference should be accounted for as if the investee were a consolidated
subsidiary (which may include imputed goodwill).
	
Line	item	8	 Intangible	assets	(other	than	goodwill	and	mortgage	servicing	assets	
(MSAs)),	net	of	associated	DTLs	
Report all intangible assets (other than goodwill and MSAs) net of associated DTLs, included
in Schedule HC M, items 12.b and 12.c, that do not qualify for inclusion in common equity
tier 1 capital under the regulatory capital rules. Generally, all purchased credit card
relationships (PCCRs) and non mortgage servicing rights, reported in Schedule HC M, item
12.b, and all other identifiable intangibles, reported in Schedule HC M, item 12.c, do not
qualify for inclusion in common equity tier 1 capital and should be included in this item.
Further, if the holding company has a DTL that is specifically related to an intangible asset
(other than servicing assets and PCCRs) acquired in a nontaxable purchase business
combination that it chooses to net against the intangible asset for regulatory capital
purposes, the amount of disallowed intangibles to be reported in this item should be
reduced by the amount of the associated DTL. However, a DTL that the holding company
chooses to net against the related intangible reported in this item may not also be netted
against DTAs when the holding company determines the amount of DTAs that are
dependent upon future taxable income and calculates the maximum allowable amount of
such DTAs for regulatory capital purposes.
Line	item	9	 Deferred	Tax	Assets	(DTAs)	that	arise	from	net	operating	loss	and	tax	
credit	carryforwards,	net	of	any	related	valuation	allowances	and	net	of	DTLs	
Report the amount of DTAs that arise from net operating loss and tax credit carryforwards,
net of any related valuation allowances and net of DTLs.
AOCI related	adjustments	
Holding	companies	that	entered	“1”	for	“Yes”	under	item	1,	must	complete	items	10	
through	14	only	for	AOCI	related	adjustments.	
	
Line	item	10	 Net	unrealized	gains	(losses)	on	available for sale	securities	
Report the amount of net unrealized holding gains (losses) on available for sale securities,
net of applicable taxes, that is consistent with the definitions provided in Schedule HC R,
75 
 

 

Schedule I.B., item 9a, “Accumulated other comprehensive income,” With no transition
provisions. If the amount is a net gain, report it as a positive value in this item. If the amount
is a net loss, report it as a negative value in this item.
Line	item	11	 Net	unrealized	loss	on	available for sale	preferred	stock	classified	as	
an	equity	security	under	GAAP	and	available for sale	equity	exposures	
Report as a positive value net unrealized loss on available for sale preferred stock classified
as an equity security under GAAP and available for sale equity exposures, consistent with
the definitions that is included in Schedule HC R, Schedule I.B., item 9b, with no transition
provisions.

	
Line	item	12	 Accumulated	net	gains	(losses)	on	cash	flow	hedges	
Report the amount of accumulated net gains (losses) on cash flow hedges, consistent with
the definitions that is included in Schedule HC R, Schedule I.B., item 9c, “Accumulated other
comprehensive income,” With no transition provisions. If the amount is a net gain, report it
as a positive value in this item. If the amount is a net loss, report it as a negative value in this
item.

	
Line	item	13	 Amounts	recorded	in	AOCI	attributed	to	defined	benefit	
postretirement	plans	resulting	from	the	initial	and	subsequent	application	of	the	
relevant	GAAP	standards	that	pertain	to	such	plans	
Report the amounts recorded in AOCI and is consistent with the definitions included in
Schedule HC R, Schedule I.B., item 9d, “Accumulated other comprehensive income,” with no
transition provisions, resulting from the initial and subsequent application of ASC Subtopic
715 20 (formerly FASB Statement No. 158, “Employers’ Accounting for Defined Benefit
Pension and Other Postretirement Plans”) to defined benefit postretirement plans resulting
from the initial and subsequent application of the relevant GAAP standards that pertain to
such plans.
Line	item	14	 Net	unrealized	gains	(losses)	on	held to maturity	securities	that	are	
included	in	AOCI	
Report the amount of net unrealized gains (losses) that are not credit related on held to
maturity securities and are included in AOCI, consistent with the definitions as reported in
Schedule HC R, Schedule I.B., item 9e, “Accumulated other comprehensive income, ” with no
transition provisions. If the amount is a net gain, report it as a positive value. If the amount
is a net loss, report it as a negative value.	

	

Holding	companies	that	entered	“0”	for	“No”	under	item	1,	must	complete	item	15	
only	for	AOCI	related	adjustments.	

	

Line	item	15	 Accumulated	net	gain	(loss)	on	cash	flow	hedges	included	in	AOCI,	net	
of	applicable	tax	effects	that	relate	to	the	hedging	of	items	that	are	not	recognized	at	
fair	value	on	the	balance	sheet.			
Report the amount of accumulated net gain (loss) on cash flow hedges included in AOCI, net
of applicable tax effects that relate to the hedging of items not recognized at fair value on
the balance sheet. If the amount is a net gain, report it as a positive value. If the amount is a
net loss, report it as a negative value.
Other	deductions	from	(additions	to)	common	equity	tier	1	capital	before	threshold
based	deductions:	
Line	item	16	 Unrealized	net	gain	(loss)	related	to	changes	in	the	fair	value	of	
76 
 

 

liabilities	that	are	due	to	changes	in	own	credit	risk	
Report the amount of unrealized net gain (loss) related to changes in the fair value of
liabilities that are due to changes in the holding company’s own credit risk. If the amount is
a net gain, report it as a positive value in this item. If the amount is a net loss, report it as a
negative value in this item.
Advanced approaches holding companies only: include the credit spread premium over the
risk free rate for derivatives that are liabilities.
Line	item	17	 All	other	deductions	from	(additions	to)	common	equity	tier	1	capital	
before	threshold based	deductions	
Report the amount of other deductions from (additions to) common equity tier 1 capital
that are not captured below:
(1) After tax	gain on sale	in	connection	with	a	securitization	exposure	
Include any after tax gain on sale in connection with a securitization exposure.
Gain on sale means an increase in the equity capital of a holding company resulting
from a securitization (other than an increase in equity capital resulting from the
holding company’s receipt of cash in connection with the securitization or reporting
of a mortgage servicing asset on Schedule HC).
(2) Defined	benefit	pension	fund	assets,	net	of	associated	DTLs	
A BHC or IHC must deduct defined benefit pension fund assets, net of associated
DTLs, held by a holding company. With the prior approval of the Federal Reserve,
this deduction is not required for any defined benefit pension fund net asset to the
extent the holding company has unrestricted and unfettered access to the assets in
that fund.
(3) Investments	in	the	holding	company’s	own	shares	to	the	extent	not	excluded	
as	part	of	treasury	stock.	
Include the BHC’s and IHC’s investments in (including any contractual obligation to
purchase) its own common stock instruments, including direct, indirect, and
synthetic exposures to such instruments (as defined in the regulatory capital rules),
to the extent such instruments are not excluded as part of treasury stock.
For example, if a BHC or IHC already deducts its investment in its own shares (for
example, treasury stock) from its common equity tier 1 capital elements, it does not
need to make such deduction twice.
A holding company may deduct gross long positions net of short positions in the
same underlying instrument only if the short positions involve no counterparty
credit risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments.
In addition:
(i) Gross long positions in investments in a holding company’s own regulatory
capital instruments resulting from holdings of index securities may be netted
against short positions in the same underlying index;
(ii) Short positions in index securities that are hedging long cash or synthetic
positions may be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that
77 
 

 

is being hedged may be used to offset the long position if both the exposure
being hedged and the short position in the index are covered positions under
the market risk capital rule, and the hedge is deemed effective by the holding
company’s internal control processes which would have been assessed by the
Federal Reserve.
(4) Reciprocal	cross holdings	in	the	capital	of	financial	institutions	in	the	form	of	
common	stock	
Include investments in the capital of other financial institutions (in the form of
common stock) that the holding company holds reciprocally (this is the
corresponding deduction approach). Such reciprocal crossholdings may result from
a formal or informal arrangement to swap, exchange, or otherwise intend to hold
each other’s capital instruments.
(5) Equity	investments	in	financial	subsidiaries	
A BHC or IHC must deduct the aggregate amount of its outstanding equity
investment, including retained earnings, in its financial subsidiaries (as defined in
12 CFR 208.77) and may not consolidate the assets and liabilities of a financial
subsidiary with those of the parent institution. No other deduction is required for
these investments in the capital instruments of financial subsidiaries.
(6) Amount	of	expected	credit	loss	that	exceeds	its	eligible	credit	reserves	
(Advanced	approaches	institutions	that	exit	parallel	run	only)	
Include the amount of expected credit loss that exceeds the eligible credit reserves.
Line	item	18	 Non significant	investments	in	the	capital	of	unconsolidated	financial	
institutions	in	the	form	of	common	stock	that	exceed	the	10	percent	threshold	for	
non significant	investments	
BHC or IHC has a non significant investment in the capital of an unconsolidated financial
institution (as defined in the regulatory capital rules) if it owns 10 percent or less of the
issued and outstanding common shares of that institution. Report the amount of non
significant investments in the capital of unconsolidated financial institutions in the form of
common stock that, in the aggregate, exceed the 10 percent threshold for non significant
investments, calculated as described below. The BHC or IHC may apply associated DTLs to
this deduction.
Line	item	19	 Subtotal	
This item is shaded and is derived from other items in the schedule; no input required. This
is the total of common equity tier 1 prior to adjustments less all of the regulatory
adjustments and deductions.
Line	item	20	 Significant	investments	in	the	capital	of	unconsolidated	financial	
institutions	in	the	form	of	common	stock,	net	of	DTLs,	that	exceed	the	10	percent	
common	equity	tier	1	capital	deduction	threshold	
This item is shaded and is derived from other items in the schedule; no input required.
	
Line	item	21	 MSAs,	net	of	associated	DTLs,	that	exceed	the	10	percent	common	
equity	tier	1	capital	deduction	threshold	
This item is shaded and is derived from other items in the schedule; no input required.
	
Line	item	22	 DTAs	arising	from	temporary	differences	that	could	not	be	realized	
through	net	operating	loss	carrybacks,	net	of	related	valuation	allowances	and	net	of	
DTLs,	that	exceed	the	10	percent	common	equity	tier	1	capital	deduction	threshold	
78 
 

 

This item is shaded and is derived from other items in the schedule; no input required.
	
	
Line	item	23	 Amount	of	significant	investments	in	the	capital	of	unconsolidated	
financial	institutions	in	the	form	of	common	stock;	MSAs,	net	of	associated	DTLs;	and	
DTAs	arising	from	temporary	differences	that	could	not	be	realized	through	net	
operating	loss	carrybacks,	net	of	related	valuation	allowances	and	net	of	DTLs;	that	
exceeds	the	15	percent	common	equity	tier	1	capital	deduction	threshold	
This item is shaded and is derived from other items in the schedule; no input required.
	
Line	item	24	 Deductions	applied	to	common	equity	tier	1	capital	due	to	insufficient	
amounts	of	additional	tier	1	capital	and	tier	2	capital	to	cover	deductions	
Report the total amount of deductions related to reciprocal cross holdings, non significant
investments in the capital of unconsolidated financial institutions, and non common stock
significant investments in the capital of unconsolidated financial institutions if the holding
company does not have a sufficient amount of additional tier 1 capital and tier 2 capital to
cover these deductions.
Line	item	25	 Total	adjustments	and	deductions	for	common	equity	tier	1	capital	
This is the sum of line item 20 through 24.
	
Line	item	26	 Common	Equity	Tier	1	
This is the subtotal of line item 19 minus line item 25.
Line	item	27	 Additional	tier	1	capital	instruments	plus	related	surplus	
Report the portion of noncumulative perpetual preferred stock and related surplus as
defined by Schedule HC R, Part I.B., item 20, with zero transition provisions, that satisfy all
the criteria for additional tier 1 capital in the regulatory capital rules of the Federal Reserve.
Include instruments that were (i) issued under the Small Business Job’s Act of 2010, or,
prior to October 4, 2010, under the Emergency Economic Stabilization Act of 2008 and (ii)
were included in the tier 1 capital under the Federal Reserve’s general risk based capital
rules (12 CFR part 225, appendix A, and, if applicable, appendix E) (for example, tier 1
instruments issued under the TARP program that are grandfathered permanently). Also
include additional tier 1 capital instruments issued as part of an ESOP, provided that the
repurchase of such instruments is required solely by virtue of ERISA for a banking
organization that is not publicly traded.
Line	item	28	 Tier	1	minority	interest	not	included	in	common	equity	tier	1	capital	
(report	on	a	fully	phased in	basis)	
Similar to item 5, this captures all qualifying tier 1 minority interest includable under
additional tier 1 capital.
Line	item	29	 Additional	tier	1	capital	before	deductions	
This is the sum of line items 27 and 28.
Line	item	30	 Additional	tier	1	capital	deductions	
Report additional tier 1 capital deductions as the sum of the following elements:
(1) Investments in own additional tier 1 capital instruments:
Report the holding company’s investments in (including any contractual obligation to
purchase) its own additional tier 1 instruments, whether held directly or indirectly.
79 
 

 

A holding company may deduct gross long positions net of short positions in the same
underlying instrument only if the short positions involve no counterparty risk.
The holding company must look through any holdings of index securities to deduct
investments in its own capital instruments. In addition:
(i) Gross long positions in investments in a holding company’s own regulatory capital
instruments resulting from holdings of index securities may be netted against short
positions in the same index;
(ii) Short positions in index securities that are hedging long cash or synthetic positions
can be decomposed to recognize the hedge; and
(iii) The portion of the index that is composed of the same underlying exposure that is
being hedged may be used to offset the long position if both the exposure being
hedged and the short position in the index are covered positions under the market
risk capital rule, and the hedge is deemed effective by the holding company’s
internal control processes.
(2) Reciprocal cross holdings in the capital of financial institutions.
Include investments in the additional tier 1 capital instruments of other financial
institutions that the holding company holds reciprocally, where such reciprocal
crossholdings result from a formal or informal arrangement to swap, exchange, or
otherwise intend to hold each other’s capital instruments. If the holding company does
not have a sufficient amount of a specific component of capital to effect the required
deduction, the shortfall must be deducted from the next higher (that is, more
subordinated) component of regulatory capital.
For example, if a holding company is required to deduct a certain amount from
additional tier 1 capital and it does not have additional tier 1 capital, then the deduction
should be from common equity tier 1 capital.
(3) Non significant investments in additional tier 1 capital of unconsolidated financial
institutions that exceed the 10 percent threshold for non significant investments.
Calculate this amount as follows:
(i) Determine the aggregate amount of non significant investments in the capital of
unconsolidated financial institutions in the form of common stock, additional tier 1,
and tier 2 capital.
(ii) Determine the amount of non significant investments in the capital of
unconsolidated financial institutions in the form of additional tier 1 capital.
(iii) If the amount in (i) is greater than the 10 percent threshold for non significant
investments then multiply the difference by the ratio of (ii) over (i).
(iv) If the amount in (i) is less than the 10 percent threshold for non significant
investments, report zero.
(4) Significant investments in the capital of unconsolidated financial institutions not in the
form of common stock to be deducted from additional tier 1 capital.
Report the total amount of significant investments in the capital of unconsolidated
financial institutions in the form of additional tier 1 capital.
(5) Other adjustments and deductions.
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Include adjustments and deductions applied to additional tier 1 capital due to
insufficient tier 2 capital to cover deductions (related to reciprocal cross holdings, non
significant investments in the tier 2 capital of unconsolidated financial institutions, and
significant investments in the tier 2 capital of unconsolidated financial institutions).
Line	item	31	 Additional	tier	1	capital	(greater	of	item	29	minus	item	30	or	zero)	
This item is shaded and is derived from other items in the schedule. This provides the total
of additional tier 1 capital.
	
	
Tier	1	Capital	
	
Line	item	32	 Tier	1	capital	(sum	of	items	26	and	31)	
This item is shaded and is derived from other items in the schedule. This provides the total
amount of tier 1 capital.
	
	
Other	(reflect	all	items	on	a	quarterly	basis)	
	
Line	item	33	 Issuance	of	Common	Stock	(Including	Conversion	of	Common	Stock)
Captures the total issuance of common stock and related surplus in the reporting period on
a quarterly basis.

 

Line	item	34	 Repurchases	of	Common	Stock
Captures the total repurchases of common stock in the reporting period on a quarterly basis.

 

Line	item	35	 Net	Income	(Loss)	Attributable	to	Bank	or	Intermediate	Holding	
Company
Refer to FR Y 9C instructions for Schedule HI A, item 4 and report on a quarterly basis.
Report losses as a negative value.

 

Line	item	36	 Cash	Dividends	Declared	on	Preferred	Stock
Refer to FR Y 9C instructions for Schedule HI A, item 10 and report on a quarterly basis.

 

Line	item	37	 Cash	Dividends	Declared	on	Common	Stock
Refer to FR Y 9C instructions for Schedule HI A, item 11 and report on a quarterly basis.

 

Line	item	38	 Previously	Issued	Tier	1	Capital	Instruments	(Excluding	Minority	
Interest)	that	would	No	Longer	Qualify	(please	report	100%	value)
Report 100% of the value of previously issued Tier 1 capital instruments that will no longer
qualify as Tier 1 capital as per the regulatory capital rule (including perpetual preferred
stock and trust preferred securities subject to phase out arrangements). Report balances in
full, without reflecting any phase out arrangements included in the regulatory capital rule.

 

Line	item	39	 Previously	Issued	Tier	1	Minority	Interest	that	Would	No	Longer	
Qualify	(Please	Report	100%	Value)	
	
Report 100% of the value of previously issued tier 1 minority interest that will no longer
qualify as tier 1 capital as per the regulatory capital rule. Report balances in full, without
reflecting any phase out arrangements included in the regulatory capital rule.

 
 
 
81 
 

 

D.2

Exception	Bucket	Calculator	

The Exception Bucket Calculator schedule collects the data necessary to calculate the
items that may receive limited recognition in Common Equity Tier 1 (i.e., significant
investments in the common shares of unconsolidated financial institutions, mortgage
servicing assets and deferred tax assets arising from temporary differences). These items
may be recognized in Common Equity Tier 1 up to 10% of the BHC’s or IHC’s common
equity on an individual basis and 15% on an aggregated basis after application of all
regulatory adjustments.
Non‐Significant	investments	in	the	capital	of	unconsolidated	financial	institutions	in	
the	form	of	common	stock	
Line	item	1	 Aggregate	amount	of	non‐significant	investments	in	the	
capital	of	unconsolidated	financial	institutions		
Report the gross amount of non-significant investments in the capital of unconsolidated
financial institutions, incluing the form of common stock, additional tier 1, and tier 2 capital.
	
Line	item	2	 Non‐significant	investments	in	the	capital	of	unconsolidated	financial	
institutions	in	the	form	of	common	stock		
Report the gross amount of non-significant investments in the capital of unconsolidated
financial institutions in the form of common stock.
Line	item	3	 10	percent	threshold	for	non‐significant	investments	
Report the 10 percent threshold for non-significant investments. This is calculated as
common equity tier 1 capital before adjustments and deductions, less deductions and
adjustments for goodwill, intangible assets, DTAs that arise from net operating loss and tax
credit carryforwards, AOCI-related adjustments, and other deductions from (additions to)
common equity tier 1 capital before threshold-based deductions.
Line	item	4	 Amount	to	be	deducted	from	common	equity	tier	1	due	to	10	percent	
deduction	threshold	 	
This item is shaded and is derived from other items in the schedule; no input required.
Significant	investments	in	the	capital	of	unconsolidated	financial	institutions	in	the	
form	of	common	stock
Line	item	15	 Gross	significant	investments	in	the	capital	of	unconsolidated	financial	
institutions	in	the	form	of	common	stock		
Aggregate holdings of capital instruments relevant to significant investments in the capital
of unconsolidated financial entities, including direct, indirect and synthetic holdings in both
the banking book and trading book.
	
Line	item	26	 Permitted	offsetting	short	positions	in	relation	to	the	specific	gross	
holdings	included	above	
Offsetting positions in the same underlying exposure where the maturity of the short
position either matches the maturity of the long position or has a residual maturity of at
least one year.
	
Line	item	37	 Significant	investments	in	the	capital	of	unconsolidated	financial	
institutions	in	the	form	of	common	stock	net	of	short	positions	
This item is shaded and is derived from other items in the schedule; no input required.
	
Line	item	48	 10	percent	common	equity	tier	1	deduction	threshold	 	
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Report the 10 percent common equity tier 1 deduction threshold. This item is shaded and is
derived from other items in the schedule; no input required.
	
Line	item	59	 Amount	to	be	deducted	from	common	equity	tier	1	due	to	10	percent	
deduction	threshold	 	
This item is shaded and is derived from other items in the schedule; no input required.
	
	
Mortgage	servicing	assets	
	
Line	item	610	Total	mortgage	servicing	assets	classified	as	intangible	
Mortgage servicing assets may receive limited recognition when calculating common equity
tier 1, with recognition typically capped at 10% of the bank’s common equity (after the
application of all regulatory adjustments).
	
Line	item	711	Associated	deferred	tax	liabilities	which	would	be	extinguished	if	the	
intangible	becomes	impaired	or	derecognized	under	the	relevant	accounting	
standards	
	
The amount of mortgage servicing assets to be deducted from common equity tier 1 is to be
offset by any associated deferred tax liabilities, with recognition capped at 10% of the
bank’s common equity tier 1(after the application of all regulatory adjustments). If the bank
chooses to net its deferred tax liabilities associated with mortgage servicing assets against
deferred tax assets (in Line 17 of Schedule D.1 Capital Composition), those deferred tax
liabilities should not be deducted again here.
	
Line	item	812	Mortgage	servicing	assets	net	of	related	deferred	tax	liabilities	 	
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	913	10	percent	common	equity	tier	1	deduction	threshold	 	
This item is shaded and is derived from other items in the schedule; no input required. This
item is derived based on item 8, 10 percent common equity tier 1 deduction threshold.
	
Line	item	1014	Amount	to	be	deducted	from	common	equity	tier	1	due	to	10	percent	
deduction	threshold	
This item is shaded and is derived from other items in the schedule; no input required.
	
	
Deferred	tax	assets	due	to	temporary	differences	
	
Line	item	15			Deferred	tax	assets	arising	from	temporary	differences,	net	of	DTLs 
Report the aggregate amount of DTAs arising from temporary differences net of DTLs. If DTLs
exceed DTAs from temporary differences, this item should be reported as a negative number.
This line item should correspond to the gross amount of DTAs arising from temporary
differences, net of DTLs as defined in FR Y-9C, Schedule HC-R, part I, line item 15, before any
netting associated with potential net operating loss carrybacks or related valuation
allowances.
Line	item	16	Valuation	allowances	related	to	DTAs	arising	from	temporary	
differences  
Report any valuation allowances related to DTAs arising from temporary differences.
	
Line	item	17	Potential	net	operating	loss	carrybacks  
83 
 

 

Report the amount of taxes previously paid that the bank or intermediate holding company
could recover through net operating loss carrybacks. Report the full amount recoverable
without consideration of the bank holding company’s DTA/DTL position at the reporting date.
For purposes of this line item, the firm should not include taxes paid in jurisdictions that do
not allow a firm to recover taxes in prior fiscal years.
	
Line	item	1118		DTAs	arising	from	temporary	differences	that	could	not	be	realized	
through	net	operating	loss	carrybacks,	net	of	related	valuation	allowances	and	net	of	
DTLs		
Net deferred tax assets arising from temporary differences may receive limited recognition
in common equity tier 1, with recognition capped at 10% of the bank’s common equity
(after the application of all regulatory adjustments).
Line	item	1219		10	percent	common	equity	tier	1	deduction	threshold	 	
This item is shaded and is derived from other item 8, 10 percent common equity tier 1
deduction threshold. items in the schedule; no input required.
	
Line	item	1320		Amount	to	be	deducted	from	common	equity	tier	1	due	to	10	percent	
deduction	threshold	
This item is shaded and is derived from other items in the schedule; no input required.
	
	
Aggregate	of	items	subject	to	the	15%	limit	(significant	investments,	mortgage	
servicing	assets	and	deferred	tax	assets	arising	from	temporary	differences)	
	
Line	item	1421	Sum	of	items	37,	812,	and	1118	
This item is shaded and is derived from other items in the schedule; no input required.
	
Line	item	1522		15	percent	common	equity	tier	1	deduction	threshold	 	
This item is shaded and is derived from other items in the schedule; no input required.
Report the 15% common equity tier 1 deduction threshold.
	
Line	item	1623		Sum	of	items	59,	1014,	and	1320	
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	1724	Item	1421	minus	item	1623	
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	1825	Amount	to	be	deducted	from	common	equity	tier	1	due	to	15	percent	
deduction	threshold	 	
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	2633		Issuance	of	Common	Stock	(Including	Conversion	of	Common	Stock)
Captures the total issuance of common stock and related surplus in the reporting period on
a quarterly basis.

 
	

Line	item	2734		Repurchases	of	Common	Stock
Captures the total repurchases of common stock in the reporting period on a quarterly basis.
MEMORANDA	
	
Line	item	M1	Taxes	paid	through	the	as‐of	date	of	the	current	fiscal	year		
84 

 

 

Report the amount of taxes paid during the current fiscal year through the as-of date that
are included in Schedule D, line item 17, assuming that fiscal years align with calendar
years.	
	
D.3 	Advanced	Risk Weighted	Assets	

 

Advanced	approaches	BHCs	and	IHCs,	including	BHCs	and	IHCs	that	are	considered	as	
mandatory	advanced	approaches	institutions	or	that	have	opted in	voluntarily	as	an	
advanced	approaches	institution,	are	required	to	complete	Schedule	D.3	 	Advanced	
RWA.		All BHCs and IHCs, including advanced approaches BHCs and IHCs and non advanced
approaches BHCs and IHCs must complete Schedule D.4 Standardized RWA.
 

In Schedule D.3 Advanced RWA, BHCs and IHCs should provide risk weighted asset
estimates reflecting the regulatory capital rule (78 Federal Register 62018, October 11,
2013) and the market risk capital rule (78 Federal Register 76521, December 18, 2013)
released by the U.S. banking agencies.

 

BHCs and IHCs that are subject to market risk capital requirements at the as of date are
required to complete the market risk weighted asset section within the schedule. Please
refer to the revised regulatory capital rule (78 Federal Register 62018, October 11, 2013)
and the updated market risk capital rule (78 Federal Register 76521, December 18, 2013)
released by the U.S. banking agencies for details of the requirements.

 

Advanced approaches BHCs and IHCs that are unable to provide advanced approaches risk
weighted asset estimates should send formal written notification to the Federal Reserve and
specify the affected portfolios, current limitations that preclude the BHC or IHC from
providing advanced approaches RWA estimates as well as management's plan for
addressing those limitations. The notification should be sent to [email protected].
 

 

Advanced	Approaches	Credit	Risk	(Including	CCR	and	non trading	credit	risk),	with	
1.06	scaling	factor	where	applicable		
	
Applicable	to	Advanced	Approaches	Banking	Organizations
Risk weighted assets should reflect the 1.06 scaling factor to the Internal Rating Based
Approach (IRB) credit risk weighted assets where relevant, unless noted otherwise.

 

Line	item	1	 Credit	RWA
This item is shaded and is derived from other items in the schedule; no input required. This
is the sum of Schedule D.3 line items 2, 15, 21, 25, 29, 30 and 31.

 

Line	item	2	through	30	
Definition of the BHC’s or IHC’s projections should correspond to the definitions outlined
by the corresponding MDRM code in the FFIEC 101 report, Schedule B, Column G per the
regulatory capital rule (78 Federal Register 62018, October 11, 2013).
Line	item	2	Wholesale	Exposures	
This item is derived as the sum of items 3 through 8.
Line	item	3	Wholesale	Exposures:	Corporate	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 1 column G.
85 
 

 

Line	item	4	Wholesale	Exposures:	Bank	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 2 column G.
Line	item	5	Wholesale	Exposures:	Sovereign	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 3 column G.
Line	item	6	Wholesale	Exposures:	IPRE	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 4 column G.
Line	item	7	Wholesale	Exposures:	HVCRE	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 5 column G.
Line	item	8	Wholesale	Exposures:	Counterparty	Credit	Risk	
This item is derived as the sum of items 9 through 14.
Line	item	9	Wholesale	Exposures:	Counterparty	Credit	Risk	(Eligible	margin	loans,	
repostyle	transactions	and	OTC	derivatives	with	cross product	netting EAD	
adjustment	method)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 6 column G.
Line	item	10	Wholesale	Exposures:	Counterparty	Credit	Risk	(Eligible	margin	loans,	
repostyle	transactions	and	OTC	derivatives	with	cross product	netting collateral	
reflected	in	LGD)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 7 column G.
Line	item	11	Wholesale	Exposures:	Counterparty	Credit	Risk	(Eligible	margin	loans,	
repostyle	transactions no	cross product	netting EAD	adjustment	method)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 7 column G.
Line	item	12	Wholesale	Exposures:	Counterparty	Credit	Risk	(Eligible	margin	loans,	
repostyle	transactions no	cross product	netting collateral	reflected	in	LGD)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 8 column G.
Line	item	13	Wholesale	Exposures:	Counterparty	Credit	Risk	(OTC	derivative no	
cross product	netting EAD	adjustment	method)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 9 column G.
Line	item	14	Wholesale	Exposures:	Counterparty	Credit	Risk	(OTC	derivatives no	
cross product	netting collateral	reflected	in	LGD)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 10 column G.
Line	item	15	Retail	Exposures	
This item is derived as the sum of items 16 through 20.
Line	item	16	Retail	Exposures:	Residential	mortgage closed end	first	lien	exposure	
86 
 

 

Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 12 column G.
Line	item	17	Retail	Exposures:	Residential	mortgage closed end	junior	lien	
exposure	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 13 column G.
Line	item	18	Retail	Exposures:	Residential	mortgage revolving	exposures	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 14 column G.
Line	item	19	Retail	Exposures:	Qualifying	revolving	exposures	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 15 column G.
Line	item	20	Retail	Exposures:	Other	retail	exposures	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 16 column G.
Line	item	21	Securitization	Exposures	
This item is derived as the sum of items 22 through 24. 	
Line	item	22	Securitization	Exposures:	Subject	to	supervisory	formula	approach	
(SFA)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 17 column G.
	
Line	item	23	Securitization	Exposures:	Subject	to	simplified	supervisory	formula	
approach	(SSFA)	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 18 column G.
Line	item	24	Securitization	Exposures:	Subject	to	1,250%	risk weight	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 19 column G.
Line	item	25	Cleared	Transaction	
This item is derived as the sum of items 26 through 28. 	
Line	item	26	Cleared	Transaction:	Derivative	contracts	and	netting	sets	to	derivatives	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 20 column G.
	
Line	item	27	Cleared	Transaction:	Repo style	transactions	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 21 column G.
	
Line	item	28	Cleared	Transaction:	Default	fund	contributions
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 22 column G.
Line	item	29	Equity	Exposures	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 23, 24, and 25 column G.
87 
 

 

Line	item	30	Other	Assets	
Report the amount that is consistent with the definitions provided in FFIEC 101 Schedule B
Line Item 26, 27, and 28 column G.

 
 
 

Line	item	31	 Credit	Valuation	Adjustment	(CVA)	Capital	Charge	(Risk Weighted	
Asset	Equivalent)
This item is shaded and is derived from other items in the schedule; no input required.

 

Line	item	32	 Advanced	Credit	Valuation	Adjustment	(CVA)	Approach
This item is shaded and is derived from other items in the schedule; no input required.

 

Line	item	33	 Credit	Valuation	Adjustment	(CVA)	capital	charge	(Risk Weighted	Asset
Equivalent);	Advanced	CVA	Approach:	Unstressed	Value	at	Risk	(VaR)	with	Multipliers
Stand alone 10 day value at risk (VaR) calculated on the set of credit valuation adjustments
(CVAs) for all Over the counter (OTC) derivatives counterparties together with eligible
credit valuation adjustment (CVA) hedges. The reported value at risk should consist of both
general and specific credit spread risks and is restricted to changes in the counterparties
credit spreads. The bank must multiply the reported value at risk by three times, consistent
with the approach used in calculating market risk capital charge (three time multiplier).
The 1.06 scaling factor does not apply.
 

BHC or IHC should report 0 if it does not use the advanced credit value adjustment (CVA)
approach.

 

Line	item	34	 Credit	Valuation	Adjustment	(CVA)	Capital	Charge	(Risk Weighted	
Asset	Equivalent);	Advanced	CVA	Approach:	Stressed	Value	at	Risk	(VaR)	with	
multipliers		
Stand alone 10 day stressed Value at risk (VaR) calculated on the set of credit valuation
adjustments (CVAs) for all over the counter (OTC) derivatives counterparties together with
eligible credit valuation adjustments (CVA) hedges. The reported value at risk should
consist of both general and specific credit spread risks and is restricted to changes in the
counterparties credit spreads. It should reflect three times multiplier. The 1.06 scaling
factor does not apply. BHC or IHC should report 0 if it does not use the advanced credit
valuation adjustments (CVA) approach.
Line	item	35	 Credit	Valuation	Adjustment	(CVA)	Capital	Charge	(Risk Weighted	
Asset	Equivalent):	Simple	CVA	Approach
Risk weighted asset (RWA) equivalent using the simple credit valuation adjustment (CVA)
approach.

 
 

Advanced	Approaches	Operational	Risk
Line	item	36	 Operational	RWA	
Report the amount consistent with the definitions provided in FFIEC 101 Schedule B line
item 35 Column G per the regulatory capital rule (78 Federal Register 62018, October 11,
2013).
	
Market	Risk
Line	item	37	 Market	RWA
This item is shaded and is derived from other items in the schedule; no input required. This
88 
 

 

is the sum of Schedule D.3 line items 38, 39, 40, 41, 46, 47, and 50. The amount derived is
consistent with the definitions provided in FFIEC 101 Schedule B line item 34 Column G.
	
Line	item	38	 Value	at	Risk	(VaR)	based	capital	requirement
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 4.
Line	item	39	 Stressed	Value at Risk	(VaR)	based	capital	requirement
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 7.

 

Line	item	40	 Incremental	Risk	Capital	Charge	(IRC)
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 18.

 

Line	item	41	 Correlation	Trading
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 45. Only if a BHC or IHC has received supervisory approval of its comprehensive risk
model effectiveness report the risk weighted asset amount consistent with the definition
for FFIEC 102 Line Item 51.

 

Line	item	42	 Correlation	Trading:	Comprehensive	Risk	Measurement	(CRM),	Before
Application	of	Surcharge
Report the risk weighted asset amount consistent with the definition for FFIEC 102, Line
Item 19.

 

Line	item	43	 Correlation	Trading:	8%	of	Advanced	Measurement	Method	(100%)	for
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)
This item is shaded and is derived from other items in the schedule; no input required. This
item should equal the risk weighted asset amount consistent with the definition for FFIEC
102 Line Item 39.

 

Line	item	44	 Correlation	Trading:	Advanced	Measurement	Method	(100%)	for
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)	 	Net	long
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 27.

 

Line	item	45	 Correlation	Trading;	Advanced	Measurement	Method	(100%)	for
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)	 	Net	Short
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 35.

 

Line	item	46	 Non modeled	Securitization
Report the risk weighted asset amount consistent with the definitions for FFIEC 102 Line
Item 13. 	

 

Line	item	47	 Specific	Risk	add on	(excluding	securitization	and	correlation)
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	48	Debt	
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 8.

 

Line	item	49	 Equity
89 
 

 

Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 9.
	
Line	item	50	 Other	Market	Risk
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 54.

 

Line	item	51	 Assets	subject	to	the	general	risk based	capital	requirements	
Definition of the BHC’s or IHC’s projections should correspond to the definitions outlined by
the MDRM code (AABGJ198) of the FFIEC 101 report, Schedule B, Line 32, Column G per the
regulatory capital rule (78 Federal Register 62018, October 11, 2013).
Line	item	52	 Other	RWA
If the BHC or IHC is unable to assign RWA to one of the above categories, even on a best
efforts basis, they should be reported in this line.

 

Line	item	53	 Excess	eligible	credit	reserves	not	included	in	tier	2	capital
Include excess eligible credit reserves not included in tier 2 capital, consistent with the
revised regulatory capital rule (78 Federal Register 62018, October 11, 2013). Definition of
the BHC’s or IHC’s projections should correspond to the definitions outlined by the MDRM
code (AABGJ152) of the FFIEC 101, Schedule B, Line Item 33, Column G.

 

Line	item	54	 Total	Risk Weighted	Assets
This item is shaded and is derived from other items in the schedule, no input required. This
is the sum of Schedule D.3 line items 1, 36, 37, 51 and 52 minus Schedule D.3 Line Item 53.

90 
 

 

D.4

Standardized	Risk Weighted	Assets		

All	BHCs	and	IHCs,	including	advanced	approaches	BHCs	and	IHCs	and	non advanced	
approaches	BHCs	and	IHCs	must	complete	Schedule	D.4	 	Standardized	RWA.		In	
addition,	advanced	approaches	BHCs	and	IHCs	are	required	to	complete	Schedule	D.3	 	
Advanced	RWA	due	to	the	floor	requirement	per	the	Collins	Amendment	under	Section	
171	of	the	DFA.
 
For the purpose of completing Schedule D.4 Standardized RWA, BHCs and IHCs are
required to report credit risk weighted assets using the methodologies in the
standardized approach of the regulatory capital rule.
Advanced approachs firms must apply a 250 percent risk weight to mortgage servicing
assets (MSAs), deferred tax assets arising from temporary differences that could not be
realized through net operating loss carrybacks, and significant investments in the capital
of unconsolidated financial institutions in the form of common stock that are not
deducted from capital. For all reporting quarters, a non advanced approaches firm should
apply a 100 percent risk weight to any amounts of MSAs, deferred tax assets arising from
temporary differences that could not be realized through net operating loss carrybacks,
and significant investments in the capital of unconsolidated financial institutions in the
form of common stock that are not deducted from capital, and continue to apply the
2017current risk weights under the capital rules to amounts of non significant
investments in the capital of unconsolidated financial institutions and significant
investments in the capital of unconsolidated financial institution not in the form of
common stock that are not deducted from capital.
BHCs and IHCs that are subject to market risk capital requirements at the as of date are
required to complete the market risk weighted asset section within the schedule. Please
refer to the regulatory capital rule (78 Federal Register 62018, October 11, 2013) and the
market risk capital rule (78 Federal Register 76521, December 18, 2013) released by the
U.S. banking agencies for details of the requirements.
Where possible, please reference the definitions on Standardized RWA that is provided in
the FR Y 9C, Schedule HC R, Part II, on a fully phased in basis.

 
 

Standardized	Approach	Credit	Risk
Line	item	1	 Cash	and	balances	due	from	depository	institutions
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 1
Line	item	2a	 Securities	(excluding	securitizations):	Held to maturity	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
91 
 

 

II, Line Item 2a.
Line	item	2b	 Securities	(excluding	securitizations):	Available for sale
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 2b.
Line	item	3	 Federal	funds	sold	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 3a.
	
Loans	and	leases	on	held	for	sale
Line	item	4a	 Residential	Mortgage	exposures	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 4a.
Line	item	4b	 High	Volatility	Commercial	Real	Estate		
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 4b.
Line	item	4c	 Exposures	past	due	90	days	or	more	or	on	nonaccrual	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 4c.
Line	item	4d	 All	other	exposures		
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 4d.
Loans	and	leases,	net	of	unearned	income	
Line	item	5a	 Residential	mortgage	exposures	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 5a.
Line	item	5b	 High	Volatility	Commercial	Real	Estate
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 5b.
Line	item	5c	 Exposures	past	due	90	days	or	more	or	on	nonaccrual	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 5c.
Line	item	5d	 All	other	exposures
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 5d.
Line	item	6	 Trading	assets	(excluding	securitizations	that	receive	standardized	
charges)	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 7.
Line	item	7a	 All	other	assets	
Report the risk weighted asset amount consistent with the definition of FR Y 9C, HC R,
Part II, Line Item 8.
Line	item	7b	Separate	account	bank owned	life	insurance	
92 
 

 

Report the risk weighted asset amount consistent with the definition of FR Y 9C, HC R, Part
II, Line Item 8a.
Line	item	7c	Default	fund	contributions	to	central	counterparties	
Report the risk weighted asset amount consistent with the definition of FR Y 9C, HC R, Part
II, Line Item 8b.
On balance	sheet	securitization	exposures	
Line	item	8a	 Held to maturity	securities	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 9a.
Line	item	8b	 Available for sale	securities	
Report the risk weighted asset amount consistent with the definition of FR Y 9C, HC R, Part
II, Line Item 9b.
Line	item	8c	 Trading	assets	that	receive	standardized	charges	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 9c.
Line	item	8d	 All	other	on balance	sheet	securitization	exposures	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 9d.
	
Line	item	9	 Off balance	sheet	securitization	exposures	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 10.
	
Line	item	10	RWA	for	Balance	Sheet	Asset	Categories	(sum	of	items	1	through	8d)	
This item is shaded and is derived from other items in the schedule, no input required.
	
Derivatives	and	Off Balance	Sheet	Items	(Excluding	Securitization	Exposures)	
	
Line	item	11	 Financial	standby	letters	of	credit	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 12.
Line	item	12	 Performance	standby	letters	of	credit	and	transaction	related	
contingent	items	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 13.
Line	item	13	 Commercial	and	similar	letters	of	credit	with	an	original	maturity	of	
one	year	or	less	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 14.
Line	item	14	 Retained	recourse	on	small	business	obligations	sold	with	recourse	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 15.
Line	item	15	 Repo style	transactions		
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
93 
 

 

Part II, Line Item 16.
Line	item	16	 All	other	off balance	sheet	liabilities	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 17.
Line	item	17a	 Unused	commitments:	Original	maturity	of	one	year	or	less,	excluding	
ABCP	conduits	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 18a.
Line	item	17b	Unused	commitments:	Original	maturity	of	one	year	or	less	to	ABCP	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 18b.
Line	item	17c	 Unused	commitments:	Original	maturity	exceeding	one	year	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 18b.
Line	item	18	 Unconditionally	cancelable	commitment	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 19.
	
Line	item	19	 Over the counter	derivatives	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 20.
Line	item	20	 Centrally	cleared	derivatives	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 21.
 

Line	item	21	 Unsettled	transactions	(failed	trades)	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R,
Part II, Line Item 22.
 
 

Line	item	22	 RWA	for	Derivatives	and	Off Balance Sheet	Asset	Categories	
This item is shaded and is derived from other items in the schedule, no input required. This
item is derived as the sum of items 9 through 21.
Line	item	23	 RWA	for	purposes	of	calculating	the	allowance	for	loan	and	lease	losses	
(ALLL)	1.25	percent	threshold	
Report the risk weighted asset amount consistent with the definition for FR Y 9C, HC R, Part
II, Line Item 26.
	
Market	Risk
Line	item	24	 Market	RWA
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	25	 Value at risk	(VaR)	with	Multiplier
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 4.
Line	item	26	 Stressed	VaR	with	Multiplier
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 7.
94 
 

 

Line	item	27	Incremental	risk	charge	(IRC)	
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 18.
Line	item	28	 Correlation	Trading	
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 42. Only if a BHC or IHC has received supervisory approval of its comprehensive risk
model effectiveness report the risk weighted asset amount consistent with the definition
for FFIEC 102 Line Item 48.
Line	item	29	 Correlation	Trading:	Comprehensive	Risk	Measurement	(CRM),	Before
Application	of	Surcharge
Report the risk weighted asset amount consistent with the definition for FFIEC 102, Line
Item 19.
Line	item	30	8%	of	Standardized	Measurement	Method	(100%)	for	Exposures	Subject	
to	Comprehensive	Risk	Measurement	(CRM)
This item is shaded and is derived from other items in the schedule; no input required. This
item should equal the risk weighted asset amount consistent with the definition for FFIEC
102 Line Item 37.
	
Line	item	31	 Correlation	Trading:	Standardized	Measurement	Method	(100%)	for
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)	 	Net	long
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 26.
Line	item	32	 Correlation	Trading;	Standardized	Measurement	Method	(100%)	for
Exposures	Subject	to	Comprehensive	Risk	Measurement	(CRM)	 	Net	Short
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 34.
Line	item	33	 Non modeled	Securitization	
Report the risk weighted asset amount consistent with the definitions for FFIEC 102 Line
Item 10.
Line	item	34	 Specific	risk	add on	(excluding	securitization	and	correlation)	
This item is shaded and is derived from other items in the schedule; no input required.

	

Line	item	35	 Debt	
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 8.
Line	item	36	 Equity	
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 9.
	
Line	item	37	 Other	market	risk	
Report the risk weighted asset amount consistent with the definition for FFIEC 102 Line
Item 54. 
 

Other  
Line	item	38	 Excess	allowance	for	loan	and	lease	losses	
Report the asset amount consistent with the definition for FR Y 9C, HC R, Part II, Line Item
29.
 

Line	item	39	 Allocated	transfer	risk	reserve	
Report the asset amount consistent with the definition for FR Y 9C, HC R, Part II, Line Item
30.
Line	item	40	 Total	Risk Weighted	Assets
95 
 

 

This item is shaded and is derived from other items in the schedule; no input required.

D.5

Leverage	Exposure	

All BHCs and IHCs must complete the portion of the schedule relevant to “Leverage
Exposure for Tier 1 Leverage Ratio” (lines 1 4). Advanced approaches BHCs and IHCs
must also complete the portion of the schedule relevant to “Leverage Exposure for
Supplementary Leverage Ratio” (lines 5 24).
The exposure measure for the tier 1 leverage ratio is based upon methodology in the
regulatory capital rule. The exposure measure for the supplementary leverage ratio has
been revised from the 2014 CCAR instructions to reflect the changes to the definition of
leverage exposure, per the final rule on the Supplementary Leverage Ratio issued by the
banking agencies on September 3, 2014.19 The final rule modifies “leverage exposure,”
which is the denominator calculation for the supplementary leverage ratio, in a manner
consistent with recent changes agreed to by the Basel Committee on Banking Supervision.
The revisions in the final rule would apply to all advanced approaches banking
organizations.
Consistent with the final rule, an advanced approaches banking organization should
calculate its supplementary leverage ratio as the ratio of its tier 1 capital to total leverage
exposure. The proposed rule would have required banking organizations to use daily

averages to calculate both on and off balance sheet items in total leverage exposure.
However, under the final rule, institutions are required to calculate total leverage
exposure as the mean of the on balance sheet assets calculated as of each day of the
reporting quarter, plus the mean of the off balance sheet exposures calculated as of the
last day of each of the most recent three months, minus the applicable deductions under
the 2013 capital rule. For purposes of calculating projections for the supplementary
leverage ratio denominator, BHCs and IHCs that are unable to calculate averages based on
the averages of daily or monthly data may report exposures as of the quarter end.
Leverage	Exposure	for	Tier	1	Leverage	Ratio	(applicable	to	all	BHCs	and	IHCs)
	
Line	item	1	 Average	total	consolidated	assets	 	
Report average total on balance sheet assets as reported in the FR Y 9C, Schedule HC K,
item 5.
	
Line	item	2	 LESS:	Deductions	from	Common	Equity	Tier	1	and	Additional	Tier	1	
Capital	(report	as	a	positive	number)	
Regulatory deductions from common equity tier 1 and additional tier 1 capital. Deductions
should be calculated as defined in the FR Y 9C, Schedule HC R, Part I.B., item 37.
Line	item	3	 LESS:	Other	Deductions	from	(Additions	to)	Assets	for	Leverage	Ratio	
Purposes	(report	as	a	positive	number	if	a	net	deduction	or	a	negative	value	if	a	net	
addition)	
                                                            
19

See http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf.

96 
 

 

Other deductions from or additions to assets for purposes of the leverage ratio as defined in
the FR Y 9C, Schedule HC R, Part I.B., item 38.
Line	item	4	 Total	Assets	for	the	Leverage	Ratio	(item	1	less	the	sum	of	items	2	&	3)	
This item is shaded and is derived from other items in the schedule; no input required.
	
Leverage	Exposure	for	Supplementary	Leverage	Ratio	(applicable	to	advanced	
approaches	BHCs	and	IHCs	only)	
Refer to section 217.10(c)(4)(ii)(A) of the final rule.
Line	item	5	 On Balance	Sheet	Assets	(excluding	on balance	sheet	assets	for	repo
style	transactions	and	derivative	exposures,	but	including	cash	collateral	received	in	
derivative	transactions)
On balance sheet assets (excluding on balance sheet assets for repo style transactions and
derivative exposures, but including cash collateral received in derivative transactions).
Line	item	6	 LESS:	Deductions	from	common	equity	tier	1	capital	and	additional	tier	
1	capital	(report	as	a	positive	number)	
Regulatory deductions from common equity tier 1 and additional tier 1 capital, as applicable
to advanced approaches BHCs and IHCs per the capital rules under section 217.22(a),(c),
and (d).
Line	item	7	 Total	On Balance	Sheet	Exposures	(excluding	on balance	sheet	assets	
for	repo style	transactions	and	derivative	exposures,	but	including	cash	collateral	
received	in	derivative	transactions)	(item	5	less	item	6)	
This item is shaded and is derived from other items in the schedule; no input required.

Derivative	exposures	
Refer to sections 217.10(c)(4)(ii) (B), (C), (D), or (I) of the final rule as appropriate.
	
Line	item	8	 Replacement	cost	for	derivative	exposures	(net	of	cash	variation	
margin).	
Report the total amount of the replacement cost for all derivative exposures, generally
consistent with the US GAAP balance sheet numbers, and adjusted for cash variation margin
that does not meet the criteriadescribed in section 217.10 (c)(4)(ii)(C) of the final rule.
Line	item	9	 Add on	amounts	for	potential	future	exposure	(PFE)	for	derivatives	
exposures	
Report the total amount of PFE for each derivative contract, including for cleared
transactions except as provided in section 217.10 (c)(4)(ii)(I) of the final rule, to which the
banking organization is a counterparty (or each single product netting set of such
transactions), as described in section 34 of the regulatory capital rule, but without regard to
section 217.34(b). Specifically, a banking organization may not use cash variation margin to
reduce the net current credit exposure or the gross current credit exposure in calculation of
the net to gross ratio.
Line	item	10	 Gross up	for	collateral	posted	if	deducted	from	the	on balance	sheet	
assets,	except	for	cash	variation	margin	
	
Report cash (except for qualifying cash variation margin) and non cash collateral posted to
a counterparty in a derivative transaction that has reduced the institution’s on balance
sheet assets.
97 
 

 

Line	item	11	 LESS:	Deductions	of	receivable	assets	for	cash	variation	margin	posted	
in	derivatives	transactions,	if	included	in	on balance	sheet	assets	(report	as	a	positive	
value)		
Report the value of cash collateral that is posted to a counterparty to a derivative contract
and that has been included on the banking organization’s balance sheet as a receivable if the
posted cash collateral satisfies the requirements described in section 217.10 (c)(4)(ii)(C) of
the final rule. If not applicable, report zero.
Line	item	12	 LESS:	Exempted	CCP	leg	of	client cleared	transactions	(report	as	a	
positive	value)		
A clearing member banking organization that does not guarantee the performance of a CCP
with respect to a transaction cleared on behalf of a clearing member client may exclude its
exposure to the CCP for purposes of determining its total leverage exposure (if such
exposure is included in the on balance sheet items).
A clearing member banking organization that guarantees the performance of a CCP with
respect to a transaction cleared on behalf of a clearing member client must treat its
exposure to the CCP as a derivative contract for purposes of determining its total leverage
exposure.
Line	item	13	 Effective	notional	principal	amount	of	sold	credit	protection		
The effective notional principal amount (that is, the apparent or stated notional principal
amount multiplied by any multiplier in the derivative contract) of a credit derivative, or
other similar instrument, through which the banking organization provides credit
protection (for example, credit default swaps or total return swaps that reference
instruments with credit risk, such as a bond).
Line	item	14	 LESS:	Effective	notional	principal	amount	offsets	and	PFE	adjustments	
for	sold	credit	protection	(report	as	a	positive	value)		
A banking organization may reduce the effective notional principal amount of sold credit
protection by a reduction in the mark to fair value of the sold credit protection if the
reduction is recognized in common equity tier 1 capital.
A banking organization may further reduce the effective notional principal amount of sold
credit protection by the effective notional principal amount of a credit derivative or similar
instrument through which the banking organization has purchased credit protection from a
third party (purchased credit protection) if the requirements of section 217.10 (c)(4)(ii)(D)
of the final rule are satisfied. When a banking organization reduces the effective notional
principal amount of sold credit protection by purchased credit protection in accordance
with this section, the banking organization must reduce the effective notional principal
amount of purchased credit protection by the amount of any increase in the mark to fair
value of the purchased credit protection that is recognized 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.
A banking organization may also adjust PFE for sold credit protection as described in
section 217.10 (c)(4)(ii)(B) of the final rule, to avoid double counting of the notional
amounts of these exposures.
98 
 

 

Line	item	15	 Total	derivative	exposures	(sum	of	items	8,	9,	10,	and	13,	minus	items	
11,	12,	and	14)	
This item is shaded and is derived from other items in the schedule; no input required.
Repo style	transactions	
Refer to sections (c)(4)(ii) (E), (F), or (G) of the final rule as appropriate.
Line	item	16	 On balance	sheet	assets	for	repo style	transactions	
Report the on balance sheet assets for repo style transactions, except include the gross
value of receivables for reverse repurchase transactions. Exclude from this item the value
of securities received in a security for security repo style transaction where the securities
lender has not sold or re hypothecated the securities received. Include in this item the
value of securities sold under a repo style arrangement.
Line	item	17	 LESS:	Reduction	of	the	gross	value	of	receivables	in	reverse	repurchase	
transactions	by	cash	payables	in	repurchase	transactions	under	netting	agreements	
(report	as	a	positive	value)	
Where a banking organization acting as a principal has more than one repo style
transaction with the same counterparty and has applied the GAAP offset for repo style
transactions, report the reduction of the gross value of receivables in reverse repurchase
transactions if the criteria in section 217.10(c)(4)(ii)(E), (1) through (3) of the final rule are
satisfied.
Line	item	18	 Counterparty	credit	risk	for	all	repo style	transactions	
Report the aggregate amount of counterparty credit risk for all repo style transactions in which
the institution acts as principal. Do not include repo style transactions in which the institution acts
as an agent. To determine the counterparty credit risk exposure, the banking organization
would subtract the fair value of the instruments, gold, and cash received from a
counterparty from the fair value of any instruments, gold and cash lent to the counterparty.
If the resulting amount is greater than zero, it would be included in total leverage exposure.
For repo style transactions that are not subject to a qualifying master netting agreement or
that are not cleared transactions, the counterparty exposure measure must be calculated on
a transaction by transaction basis. However, if a qualifying master netting agreement is in
place, or the transaction is a cleared transaction, the banking organization could net the
total fair value of instruments, gold, and cash lent to a counterparty against the total fair
value of instruments, gold and cash received from the counterparty for those transactions.
Line	item	19	 Exposure	for	repo style	transactions	where	a	banking	organization	
acts	as	an	agent	
Where a banking organization acts as agent for a repo style transaction and provides a
guarantee (indemnity) to a customer with regard to the performance of the customer’s
counterparty that is greater than the difference between the fair value of the security or
cash lent and the fair value of the security or cash borrowed, the banking organization must
include the amount of the guarantee that is greater than this difference. Include both on
and off balance sheet repos in this line.
Line	item	20	 Total	exposures	for	repo style	transactions	(sum	of	items	16,	18,	and	
19	minus	item	17)	
This item is shaded and is derived from other items in the schedule; no input required.
Other	off balance	sheet	exposures	
Refer to section (c)(4)(ii) (H) of the final rule.
99 
 

 

Line	item	21	 Off balance	sheet	exposures	at	gross	notional	amounts	
The notional amount of all off balance sheet exposures (excluding off balance sheet
exposures associated with securities lending, securities borrowing, reverse repurchase
transactions, and derivatives).
Line	item	22	 LESS:	Adjustments	for	conversion	to	credit	equivalent	amounts	(report	
as	a	positive	value)	
The final rule retains the 10 percent CCF for unconditionally cancellable commitments, but
it would replace the uniform 100 percent CCF for other off balance sheet items with the
CCFs applicable under the standardized approach for risk weighted assets in section 217.33
of the regulatory capital rule.
Line	item	23	 Off balance	sheet	exposures	(item	21	less	item	22)	
This item is shaded and is derived from other items in the schedule; no input required.
Line	item	24	 Total	Leverage	Exposure	(sum	of	items	7,	15,	20	and	23)	
This item is shaded and is derived from other items in the schedule; no input required.
	

	

100 
 

 

D.6

Planned	Actions	

The FR Y 14Q Planned Action schedule collects information on the results of all material
planned actions that management outlined in its FR Y 14A Regulatory Capital Transitions
submission. The objective of this section is to track the BHC’s progress in its actual strategic
actions taken relative to its proposed planned actions as reported in its most recently
submitted FR Y 14A Regulatory Capital Transitions Schedule D.6 Planned Actions.

 

For each reporting period, BHCs and IHC’s should report the incremental quantitative
impact of each action on:
 









Common equity tier 1 capital
Tier 1 capital
RWA_Standardized
RWA_Advanced
Average Total Assets for Leverage Capital Purposes (relevant to the tier 1 leverage ratio;
to be completed by all BHCs and IHCs)
Total Leverage Exposure for the Supplementary Leverage Ratio (to be completed by
advanced approaches BHCs and IHCs only); and
Balance sheet.

 

The quantitative impact of actions submitted by BHCs and IHCs should represent the
stand alone, incremental immediate impact of the action.

 

Column	Instructions
Note that certain columns include an option of "other" in the drop down list that can be used
if the listed action cannot be described using the listed selections.
	
Column	B	
Description
Brief description of the planned action.

 

Column	C	
Action	Type
Select from a list of available actions provided in the schedule. BHCs and IHCs should select
the type of action that best describes the planned action.

 

Column	D	
Exposure	Type
Select from a list of available exposure types provided in the schedule. BHCs and IHCs
should select the type of exposure that is most impacted by the planned action.

 

Column	E	
RWA	Type
Selection from a list of available RWA exposure types provided in the schedule. For planned
actions that have an impact on RWAs, the BHC or IHC should report the type of RWA (i.e.,
Counterparty Credit, Other Credit, Market, or Operational) that is most impacted by the
planned action.

 

Columns	F L	 Report	the	actual	impact	of	planned	action	on	the	applicable	
category	in	$	millions.		
For each planned action please input the actual dollar amount impact on tier 1 common,
tier 1 capital, risk weighted assets, average total assets, leverage exposures, and the firm's
balance sheet based on progress made on the action in the past quarter. In a separate
attachment, please provide additional information to describe the progress made on each
planned action during the reporting quarter.
101 
 

 

Total	impact	of	plan	actions are shaded items and are derived from other items in the
schedule; no input is required. This is the summation of each individual column aligned
with the applicable category (e.g., “Common Equity Tier 1,” “Tier 1 capital,” etc.).
Reported	changes	from	prior	period are shaded items and are derived from other items
in the schedule; no input is required. This field captures the change between each
reporting period on the change in impact for the applicable category (e.g., “Common Equity
Tier 1,” “Tier 1 capital,” etc.).
Columns	M N	
Where applicable, please provide supporting documentation and addition comments.
	

 

	

102 
 

 

Schedule	E—Operational	Risk	
General Instructions
Each quarter an institution must submit the	Operational	Loss	History	and	Legal	Reserve	
Frequency	data files. In addition to the Loss Reference Number, please include a unique identifier
for each row of data in the firm’s FR-Y14Q data submission in section E.1. Also include a unique
identifier for each row of data in the firm’s FR-Y14Q submission in Section E.8. Unique identifiers 
in Section E.1 and Section E.8 should remain constant with the specified row of data in subsequent
submissions, and become a permanent element of the data for those schedules.
 
E.1—Operational	Loss	History	
Submit a complete history of operational losses at and above the institution’s established collection
threshold(s) in accordance with the following instructions.
The data file should contain all operational losses, with the exception of data on legal reserves and
non-legal reserves, captured by the institution as of the respective reporting quarter end, starting
from the point-in-time at which the institution began capturing operational loss event data in a
systematic manner.
An operational loss	is defined as a financial loss (excluding insurance or tax effects) resulting from
an operational loss event and includes all expenses associated with an operational loss event except
for opportunity costs, forgone revenue, and costs related to risk management and control
enhancements implemented to prevent future operational losses. An operational loss event	is
defined as an event that results in loss and is associated with any of the seven operational loss event
type categories (Level 1) identified and defined in Reference Table E.1.a.
	
Each loss event must contain a unique loss reference number. A single operational loss event could
have multiple impacts (e.g., several accounting or recovery dates) and/or could be assigned to
multiple business lines. In cases where the institution submits a single loss event that has multiple
impacts and/or is assigned to multiple business lines, the	same	loss	reference	number	must	be	
used	to link these individual records to the same event.
The requirement for reporting a loss event is based on the event’s total loss amount, regardless of
how the loss amount is distributed. For example, if an institution’s collection threshold is $10,000
and a single loss event of $12,000 was assigned evenly to three business lines (i.e., $4,000 each),
then the event needs to be included in the institution’s submitted data file.
The intent of the Operational Loss Schedule (in the FR Y-14Q) is to capture actual or realized losses.
Operational losses should be included in the Schedule from the quarter when the loss is settled
and/or realized. This will often differ from the accounting date and capture dates.
Do not	report separate, distinct operational loss events on an aggregated	basis. For example, the
“bundling” of separate	loss events that fall below the institution’s established threshold into one loss
event record should not be reported.
Foreign banking institutions should report operational losses that impact the institution’s U.S.
operations in accordance with these reporting instructions.
Ensure	that	the	information	provided	for	each	reporting	field	conforms	to	the	instructions	in	
the	Operational	Loss	Data	Collection	Schedule	in	Section	E.1.

103 
 

 

Section E.1. Operational Loss Data Collection Schedule
Field
Reference

Field	Name

Description

Section E.1
Unique
Identifier

Report the unique identifier for each row of data in the institution’s FR-Y14Q data
submission for Section E.1. The unique identifier should remain constant with the
specified row of data in subsequent submissions, and become a permanent element of the
data. The unique identifier should not include any white spaces, tabs, or special
characters.

B

Reference
Number

Report the unique institution-established identifier assigned to each loss event. The
reference number should not include any white spaces, tabs, or special characters.

C

Capture
Date

Report the date that the institution captured/recorded the loss event in its internal
operational loss database. The Capture Date must be submitted in the following format:
MM/DD/YYYY. For example, “January 5, 2011,” should be “01/05/2011.”

D

Occurrence
Date

A

E

A

A
Date
MM/DD/YYYY

Date
Report the date that the operational loss event occurred or began. The Occurrence must
MM/DD/YYYY
be submitted in the following format: MM/DD/YYYY. For example, “January 5, 2011,
“should be “01/05/2011.”
Date
Discovery Date Report the date that the operational loss event was first discovered by the institution. The
loss event’s discovery date should not be earlier than its occurrence date. The Discovery
MM/DD/YYYY
Date must be submitted in the following format: MM/DD/YYYY. For example, “January 5,
2011,” should be “01/05/2011.”

F

Accounting
Date

G

Applicable
Loss Data
Collection
Threshold

H

Gross Loss
Amount

Date
Report the date that the financial impact of the operational loss event was recorded on the
institution's financial statements. The accounting date should be consistent with, and no
MM/DD/YYYY
later than, the date a legal reserve is established. Generally, the loss event’s accounting
date should not be earlier than its occurrence date or discovery date; however, there are
cases where accounting date can accurately be reflected prior to discovery data. The
Accounting Date must be submitted in the following format: MM/DD/YYYY. For example,
“January 5, 2011,” should be “01/05/2011.”
N
Report the institution-established loss data collection threshold that was applicable to the
respective business line/function and in effect at the time the loss event was captured.

Report the total financial impact of the operational loss event before any recoveries and
excluding insurance and/or tax effects. The GLA should include all expenses associated
with an operational loss event except for opportunity costs, forgone revenue, provision
104 

 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric	

N

 

Field
Reference

Field	Name
($USD)

Description
and provision write backs, and costs related to risk management and control
enhancements implemented to prevent future operational losses.
Also, the following types of events should not	be included in the gross loss amount
or the institution’s completed Schedule:
	Near	Misses:	 An operational risk event that did not result in an actual financial loss or
gain to the institution.
	
Timing	Events: An operational risk event that causes a temporary distortion of the
institution’s financial statements in a particular financial reporting period but that
can be fully corrected when later discovered (e.g., revenue overstatement,
accounting and mark-to-market errors).
	
Credit	Boundary	Events:	 Losses that are related to both operational risk and credit risk.
For example, where a loan defaults (credit risk) and the bank discovers that the
collateral for the loan was not properly secured (operational risk). [Exception: Retail
credit card losses arising from non- contractual third-party initiated fraud (for example,
identity theft) should be treated as external fraud operational losses and should	be	
included	in the institution’s submission.]
	
Forgone	Revenues/Opportunity	Costs: Inability to collect potential future revenues due
to operational risk related failures.
Gains: Situations where an operational risk related failure results in a financial gain for
the institution.
In addition, Gross Loss Amounts:
Should be reported in units of one (not thousands), rounded to the nearest unit (for
example, a one million dollar loss would be reported as 1,000,000).
Must be reported in $US dollars. Loss amounts recorded in foreign currency should be
converted to $US dollars using a foreign exchange rate as of the accounting date
associated with the respective loss.
105 

 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric	

 

Field
Reference

Field	Name

I

Recovery
Amount
($USD)

J

Basel
Event-Type
Category:
Level 1

K

Basel
Event-Type
Category:
Level 2

L

Basel
Business Line
Level 1

M

Basel
Business Line
Level 2

Description
Cannot be reported as a negative value, except cases where it represents a decrease in
reserves.
A recovery is an independent occurrence, related to the original loss event, separate in
time, in which funds or outflows of economic benefits are received from a third party,
excluding funds received from insurance providers. Recovery Amounts:
• Should not be included in the Gross Loss Amount column or netted into the gross
loss amount.
• Should exclude provisions and provision write backs.
• Should have the same reference number as the associated loss event.
• Should be reported in units of one (not thousands), rounded to the nearest unit (for
example, a one million dollar loss would be reported as 1,000,000).
• Should be reported in $US dollars. Recoveries recorded in foreign currency
amounts should be converted to $US dollars using a foreign exchange rate as of
the accounting date associated with the respective recovery.
• Cannot be reported as a negative value.
All loss events reported by the institution must be mapped to one of the seven
“Level 1 Event Types” in Reference Table E.1.a. This field must contain the
respective Level 1 Event-Type code specified in Reference Table E.1.a (i.e., ET1,
ET2, ET3….ET7). The exact code provided must be used (e.g., “ET1”) with no
additional characters or spaces added.

N

A

If the institution categorizes loss events to the “Level 2 Event-Types” in Reference Table
E.1.a, use the Level 2 Event-Type codes specified in Reference Table E.1.a (i.e., ET11 –
ET76). If the institution does not map loss events to those Level 2 Event-Types, or cannot
map a particular loss event to one of the Level 2 Event-Types contained in Reference
Table E.1.a, then “ET00” should be inserted in this field. The exact code provided must be
used (e.g., “ET41”) with no additional characters or spaces added.
All loss events reported by the institution must be mapped to one of the nine “Level 1
Business Lines” in Reference Table E.1.b. This field must contain the specific Level
1Business Line code identified in Reference Table E.1.b (i.e., BL1, BL2, BL3….BL9) which
corresponds to the Level 1 Business Line.

N

If the institution categorizes loss events to the “Level 2 Business Lines” (Column L) in
Reference Table E.1.b, use the Level 2 Business Line codes specified in Reference Table
E.1.b (i.e., BL11 – BL81). If the institution does not map loss events to those Level 2
Business Lines, then insert BL00 in the respective field(s) in this column.

N

106 
 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric	

N

 

Field
Reference

Field	Name

Description

N

Internal
Business Line
or Corporate
Function

Report the institution-specific business line (e.g., Equities) or corporate function (e.g., HR,
Finance or Compliance) to which the operational loss event has been assigned. This field
should contain a numeric code (i.e., 1, 2, 3…) with each unique internal business line
mapped to a unique digit representing that business line/corporate function. The
institution should provide this mapping using the schedule provided in Section E.2
(‘Internal Business Line’).

O

Acquired or
Merged
Entities

P

Is Loss Event
Included in the
Institution’s
Most Recently
Reported
Operational
Risk Capital
Estimate?
Unit of
Measure

If the loss event being reported originated from an acquired or merged entity, then
include the name of the respective acquired or merged entity in this field. If not, then
insert “NA” (not applicable). “Events originating from acquired or merged entities” refer
to loss events that have a capture date prior to the acquisition/merger date. This
requirement should also apply to loss events originating from acquired or merged
entities that have capture dates after the acquisition/merger date, if those losses have
not yet been integrated into the business lines/functions of the merged entity.
If the institution uses statistical model to estimate operational risk capital, enter “Yes”
or “No” depending on whether or not the respective loss event is included in the
institution's most recently reported operational risk estimate.

Q

R

Detailed
Description of
Loss Event
(required for
events > $250k)

N

C

C
Y, N, or N/A

If the institution does not estimate operational risk using a statistical model, enter
"N/A" for this field.

The Unit-of-Measure (UOM), established by the institution, to which the loss has been
assigned for regulatory and/or economic capital calculation purposes. It is the level at
which the BHC’s or IHC’s or SLHC’s quantification model generates a separate
distribution for estimating potential operational losses (for example, organizational unit,
operational loss event type, risk category, etc.). Some institutions estimate a unique loss
distribution for each business line/event type combination while others may estimate
scenario loss distributions that span multiple business lines or events types (for
example, "Retail Banking/External Fraud"). The UOM field should contain a numeric
code (i.e., 1, 2, 3….) that is mapped to a unique UOM. The institution should provide this
mapping using the schedule provided in Section E.3 (‘Unit-of-Measure’).
For all operational loss events with gross loss amounts greater than or equal to $250
thousand, include a detailed description of the loss event. Generally, the "short-form"
descriptions captured in an institutions' internal loss database should suffice.

107 
 

Format	
N:Numeric	
C:	Character	
A:Alphanumeric	

N

C

 
Reference Table E.1.a: Level 1 and Level 2 Event‐Types 
Level	1	Event‐Type	Categories	
Code	

Code	

Name	

ET11

Unauthorized Activity

ET12

Theft and Fraud

ET21

Theft and Fraud

ET22

Systems Security

ET31

Employee Relations

ET32

Safe Environment

ET33

Diversity & Discrimination

ET41

Suitability, Disclosure & Fiduciary

ET42

Improper Business or Market Practices

Clients, Products & Business
Practices 
 

ET43

Product Flaws

ET44

Selection, Sponsorship & Exposure

ET45

Advisory Activities

ET5

Damage to Physical Assets

ET51

Disasters and other events

ET6

Business Disruption and System Failures

ET61

Systems

ET71

Transaction, Capture, Execution and Maintenance

ET72

Monitoring and Reporting

Execution, Delivery and Process
Management
 

ET73

Customer Intake and Documentation

ET74

Customer/Client Account Management

ET75

Trade Counterparties

  

ET76

Vendors & Suppliers

ET00

Not Applicable

ET1

Internal Fraud

ET2

External Fraud

ET3

Employment Practices and
Workplace Safety
 

ET4
  
  

ET7
  
  
  

Name	

Level	2	Event‐Type	Categories	

Level	1	Event‐Type	
Categories

Definition

Internal	Fraud

Losses	due	to	acts	of	a	type	intended	to	defraud,	misappropriate	property	or	
circumvent	regulations,	the	law	or	company	policy,	excluding	
diversity/discrimination	events,	which	involves	at	least	one	internal	party.

External	Fraud

Losses	due	to	acts	of	a	type	intended	to	defraud,	misappropriate	property	or	
circumvent	the	law,	by	a	third	party.

Employment	Practices	
and	Workplace	Safety

Losses	arising	from	acts	inconsistent	with	employment,	health	or	safety	laws	or	
agreements,	from	payment	of	personal	injury	claims,	or	from	
diversity/discrimination	events.

Clients,	Products	&	
Business	Practices

Losses	arising	from	an	unintentional	or	negligent	failure	to	meet	a	
professional	obligation	to	specific	clients	(including	fiduciary	and	suitability	
requirements),	or	from	the	nature	or	design	of	a	product.

Damage	to	Physical	
Assets

Losses	arising	from	loss	or	damage	to	physical	assets	from	a	natural	disaster	
or	other	events.

Business	Disruption	and	 Losses	arising	from	disruption	of	business	or	system	failures.
System	Failures
Execution,	Delivery	and	 Losses	from	failed	transaction	processing	or	process	management,	from	relations	
Process
with	trade	counterparties	and	vendors.
Management

 
108 
 

 
Reference Table E.1.b: Level 1 and Level 2 Business Lines 
Level	1	Business	Lines

Level	2	Business	Lines

Code

Name

Code

BL1

Corporate Finance

BL11

Corporate Finance

BL12

Municipal/Government
Finance

BL13

Merchant Banking

BL14

Advisory Services

BL21

Sales

BL22

Market Making

BL23

Proprietary Positions

BL24

Treasury

BL31

Retail Banking

BL32

Private Banking

BL33

Card Services

BL2

BL3

Trading & Sales

Retail Banking

Mergers	and	acquisitions,	
underwriting,	privatizations,	
securitization,	research,	debt	
(government,	high	yield),	equity,	
syndications,	IPO,	secondary	private	
placements
Fixed	income,	equity,	foreign	
exchanges,	commodities,	credit,	
funding,	own	position	securities,	
lending	and	repos,	brokerage,	debt,	
prime	brokerage
Retail	lending	and	deposits,	
banking	services,	trust	and	
estates
Private	lending	and	deposits,	
banking	services,	trust	and	estates,	
investment	advice
Merchant/commercial/corporat
e	cards,	private	labels	and	retail
Project	finance,	real	estate,	export	
finance,	trade	finance,	factoring,	
leasing,	lending,	guarantees,	bills	of	
exchange
Payments	and	collections,	funds	
transfer,	clearing	and	settlement

BL4

Commercial
Banking

BL41

Commercial Banking

BL5

Payment and
Settlement

BL51

External Clients

BL6

Agency Services

BL61

Custody

Escrow,	depository	receipts,	
securities	lending	(customers)	
corporate	actions

BL62

Corporate Agency

Issuer	and	paying	agents

BL63

Corporate Trust

BL71

Discretionary Fund
Management

Pooled,	segregated,	retail,	
institutional,	closed,	open,	
private	equity

BL72

Non-Discretionary Fund
Management

Pooled,	segregated,	retail,	
institutional,	closed,	open

BL81

Retail Brokerage

Execution	and	full	service

BL00

Not Applicable

BL7

BL8
BL9

Asset Management

Retail Brokerage
Corporate Level
– Non- Business
Line Specific

Losses	originating	from	a	corporate/firm‐wide	function	that	cannot	be	
linked	to	a	specific	business	line.

 
 

109 
 

Activity	Groups

Name

 
E.2.		Internal	Business	Line
	
	
Field	Name	
Internal
Business Line
Code
Internal
Business Line
Name
Internal Business
Line Description

Description	

Report the unique numeric code assigned to the respective
Internal Business Line by the institution.

N

Report the name of the Internal Business Line.

C

Provide a brief description of the Internal Business Line.

C

	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	

110 
 

Format		
N:	Numeric	
C:	Character	

 
E.3.		Unit‐of‐Measure	(UOM)	
	
	
Field	Name	
UOM Code
UOM Name
UOM
Descriptio

Report the unique numeric code assigned to the respective Unitof-Measure by the institution.
Report the name of the Unit-of-Measure.
Provide additional details on Unit-of-Measure, as necessary.

	
E.4.		Threshold	Information
	
	
Field	Name	
Collection
Threshold(s)
Applicable
Internal
Business
Line(s)
Effective
Time
Period of
Collection
Threshold
(FROM)
Effective
Time
Period of
Collection
Threshold
(TO)
Comments

Description	

	

Description	

Identify all loss data collection thresholds used for the data
reported.
Identify the "Applicable Internal Business Line(s)" for which the
threshold applies. If the same threshold is used for all data
reported, indicate "firm-wide" in the Applicable Internal
Business Line(s) field.

C:	Character	

N
C
C

Format	
N:	Numeric	

C:	Character	

N
C

For all collection thresholds applicable to the data reported,
identify the time period for which the respective threshold is/was
in effect.

Date
MM/DD/YY
YY

For all collection thresholds applicable to the data reported,
identify the time period for which the respective threshold is/was
in effect.

Date
MM/DD/YY
YY

Use as necessary.

C

 
 
 
 
 
 
 
 
 
 
111 
 

Format	
N:	Numeric	

 
E.5—Legal	Reserves	Frequency	
Report the total number of outstanding/pending	legal events by Business Line and Event
Type for which a legal reserve(s) has been established in accordance with the following
instructions.
The total number reported should be based on the number of legal events, not	the number
of “reserve entries.” The total number of outstanding/pending legal events should be
reported by the quarter and year in which the first legal reserve for each respective legal
event was recorded. For example, a legal event that had three separate reserves recorded in
Q1-2011, Q4-2011, and Q2-2012 should be included as one event in the Q1-2011 total.
The Legal Reserves Frequency file should contain the total number of outstanding/pending
legal events, for which a legal reserve has been established. The values of losses should also
be reported in the FR Y-14Q Operational Loss Data Collection Schedule (E.1) as the event is
partially settled. Remaining reserves should be not be included in the FR Y-14Q Operational
Loss Data Collection Schedule (E.1) until that portion is settled.
Previously reported legal events that have been settled or closed during the current
reporting quarter should not be included in the current or future submissions. These events
should be detailed as part of the Operational Loss History. Example: A reserve for a legal
event was first recorded in Q1-2011. The legal event was then settled in Q2-2012. In this
example, the legal event should not be included in the institution’s Q2-2012 Legal Reserve
Frequency submission or future Legal Reserve Frequency submissions, but should be
included in the firms Operational Loss History.
The total number outstanding/pending legal events for which the first legal reserve was
recorded on or prior to December 31, 2007 must be reported under “Q4-2007” by Business
Line and Event Type in accordance with the following instructions. To clarify, total numbers
reported by business line and event type under Q4-2007 should represent the total number
of outstanding/pending	legal events for which a reserve(s) was established prior to
December 31, 2007 and	for which reserves are still in place as of the current reporting
quarter.
Ensure	the	information	provided	for	each	descriptive	element	conforms	to	the	
reporting	instructions	in	the	Legal	Reserves	Frequency	Schedule	in	Section	E.5.		For
illustrative purposes, an example of a Legal Reserves Frequency Schedule is provided in
Reference Table E.5.a.

112 
 

 

Section E.5.  Legal Reserves Frequency Schedule 
Field	Name

A

Quarter

Report the quarter in which the first legal
reserve was established for a legal event.

C

B

Year

Report the year in which the first legal
reserve was established for a legal event.

N

Description

N: Numeric C:
Character

C

Event Type

The number of outstanding/pending legal
events reported by the institution must be
mapped to one of the seven “Level 1 Event
Types” in Reference Table E.1.a. This field
must contain the respective Level 1 EventType code specified in Reference Table E.1.a
(i.e., ET1, ET2, ET3….ET7). The exact code
provided must be used (e.g., “ET1”) with no
additional characters or spaces added.

C

D

Business Line

The number of outstanding/pending
legal events reported by the institution must
be mapped to one of the nine “Level 1
Business Lines” in Reference Table E.1.b.
This field must contain the specific Level 1
Business Line code identified in Reference
Table E.1.b (i.e., BL1, BL2, BL3….BL9) which
corresponds to the Level 1 Business Line.

C

Report the number of outstanding/pending
legal events.

N

E

Number of
Outstanding/Pending
Legal Events

113 
 

Format		

Field
Reference

 
Reference Table E.5.a: Example of a Completed Legal Reserves Frequency Schedule 
	(for	illustrative	purposes	only)

Quarter

Year

Event	
Type	
Level	1

Q4
Q4
Q4
Q1
Q3
Q2
Q2
Q3
Q3
Q4

2007
2007
2007
2008
2008
2009
2009
2009
2010
2010

ET4
ET4
ET1
ET4
ET4
ET4
ET3
ET7
ET4
ET7

Business	
Line	
Level	1

Number	of
Outstanding
/Pending
Legal	Events

BL2
BL7
BL2
BL3
BL2
BL1
BL4
BL2
BL1
BL7

4
6
5
1
1
2
1
1
3
1

 
 

 

114 
 

 

Schedule	F—Trading		
A.	Purpose	of	Schedule:	

	

	

	

	

	

	

	

This schedule is designed to capture P/L sensitivities to assets firms hold in their
trading books, private equity investments, fair value option (FVO) loan hedges, and
certain other assets under fair value accounting. These terms are defined as follows:
Trading	Book assets are those assets which are reported as trading securities on
the FR Y- 9C report, i.e.
"Trading activities typically include (a) regularly underwriting or dealing in
securities; interest rate, foreign exchange rate, commodity, equity, and credit
derivative contracts; other financial instruments; and other assets for resale, (b)
acquiring or taking positions in such items principally for the purpose of selling in
the near term or otherwise with the intent to resell in order to profit from shortterm price movements, and (c) acquiring or taking positions in such items as an
accommodation to customers or for other trading purposes."
Private	Equity includes all equity related investments such as common, preferred,
and convertible securities.
This includes investments made on a principal basis in standalone companies, real
estate, general and limited partnership interests and hedge funds, including seed
capital invested in hedge or mutual funds. This includes Private Equity that is mark
to market (MTM), held for sale (HFS) or under fair value option accounting (FVO).
Mandated investments, such as those in government or government sponsored
entities and stock exchanges, should be excluded from this schedule.
FVO	Loan	hedges are derivatives used to hedge changes in the fair value of loan
assets that are held-for-sale (HFS) or held under fair value option (FVO) accounting,
as reported in Schedule H or Schedule J. For example, FVO hedges may include
single name or portfolio CDS, interest rate swaps, or any other derivative
instrument outside of the trading book used to hedge FVO or HFS loan fair value
fluctuations; the definition is not intended to include so-called macro hedges.
Other	Fair	Value	Assets are all assets held under fair value option (FVO)
accounting except for retail and wholesale and retail loans which should be included
in Schedule H (Wholesale) or Schedule J (FVO/HFS) the schedules for Retail and
Wholesale FVO loans. Examples would include legacy assets, community
development assets and tax-oriented investments, e.g. wind farms.
B.	General	Instructions:	

	

	

	

	

	

	

	

Please see the Regional Groupings worksheet for definitions of country/currency
categorizations.
Credit Valuation Adjustments (CVA) should NOT be included in this schedule, while
CVA hedges should be reported separately in its own FR Y-14Q Trading schedule.
Refer to the definition of submission type in technical submission instructions.
Similarly, FVO Loan Hedges should be reported separately in its own FR Y-14Q
Trading schedule. Refer to the definition of submission type in the technical
submission instructions.
115 
 

 
Exposures to repurchase agreement positions that are accounted for under the fair
value option and any associated hedges should be reported in this schedule.
Neither Mortgage Servicing Rights (MSR's) nor MSR hedges should be included in
this schedule.
All worksheets are required to be filled out.
White	cells represent required inputs. Green cells represent required inputs for
parameters that are flexible and can be changed.
Gray	cells represent calculations or fixed values, and do not need to be completed
by the BHC or IHC or SLHC.
Examples of flexible parameters include tenor points and shock %s in some grids.
See sheet-specific instructions around acceptable ranges.
Sensitivities related to Exchange Traded Funds (ETFs) that are primarily backed by
direct asset holdings should be reported in the appropriate asset class. For example,
ETFs that are primarily backed by physical and financial commodities holdings (e.g.
XAU) should be included in the Commodities worksheets. Data related to all other
ETFs should be reported in the Equity worksheets, except in the case of currency
related ETFs. If possible, decompose currency related ETFs into separate currency
components and report the related sensitivities in the appropriate currency row of
the FX worksheets. If decomposition is not possible, report currency related ETFs in
the USD/Other row of the FX worksheets.
C.	Item‐Specific	Instructions:	

	

	

	

Worksheet-specific instructions are included within.
	

	

116 
 

	

	

	

	

 
Glossary	
 
API	2:	

API	4:	

ARS:	
bp:	
Carry	Value:	
CDS:	

CER:	
CMO:	

Covered	
Bond:	
CS01:	
CVA:	
Delta:	
DV01:	
EUA/ETS:	
Gamma:	

GICS:	
HY:	
IG:	

	
The benchmark price reference for coal imported into northwest Europe. It is
calculated as an average of the Argus cost-insurance-freight (cif), AntwerpRotterdam-Amsterdam (ARA, major coal importing ports in northwest Europe)
assessment and McCloskey's northwest European steam coal marker.
The benchmark price reference for coal exported out of South Africa's Richards
Bay terminal, it is used in physical and over-the-counter (OTC) contracts. Its
value is calculated as the average of the Argus freight-on-board (fob) Richards
Bay assessment and McCloskey's fob Richards Bay market.
Auction Rate Security - Long term, variable rate bonds tied to short term
interest rates. ARS have a long term nominal maturity with interest rates reset
through a modified Dutch auction, at predetermined short term intervals.
Basis Point, 1/100th of 1%.
The amount of an investment as reflected in the consolidated financial
statements prepared in accordance with GAAP.
Credit Default Swap - A swap designed to transfer the credit exposure of fixed
income products between parties. The buyer of the credit swap receives credit
protection, whereas the seller of the swap guarantees the credit worthiness of
the product.
Certified Emission Reduction - A type of emissions unit, or carbon credits,
issued by the Clean Development Mechanism (CDM) Executive Board for
emission reductions.
Collateralized Mortgage Obligation - A type of mortgage backed that represent
claims to specific cash flows from large pools of home mortgages. The streams
of principal and interest payments on the mortgages are distributed to the
different classes of CMO interests, known as tranches. Each tranche may have
different principal balances, coupon rates, prepayments risks, and maturity
dates.
A corporate bond with recourse to a pool of assets that secures or "covers" the
bond if the originator (usually a financial institution) becomes insolvent.
The sensitivity of the portfolio to 1 bp adjustment to credit spreads.
Credit Valuation Adjustment - The market value of the credit risk due to any
failure of the counterparty to deliver.
The expected change in the value of a derivative for each dollar change in the
price of the underlying asset.
The dollar value (DV) impact on the value of an asset resulting from a one basis
point parallel shift downward in interest rates.
European Union Emissions Trading System - Cap and trade emission allowances
in the European Union. Companies can buy and sell from each other as needed.
The expected change in delta exposure for a +1% relative change in the price of
the underlying entity. Gamma is used to gauge the sensitivity of a derivative
position to a price change in the underlying reference security or portfolio. A
large positive gamma can serve to magnify gains and cushion losses.
Global Industry Classification Standard - An industry taxonomy developed by
MSCI and Standard & Poor's for use by the global financial community.
High Yield - Bonds rated below investment grade (below BBB). Because these
bonds have a higher risk of default, they have higher yields than better quality
bonds.
Investment Grade - Bonds that are rated BBB or above.
117 

 

 
iTraxx:	
LATAM:	
LCDX:	
LPG:	
LIBOR:	

Lognormal	
Vega:	
MBS:		

MENA:	
MV:	
Normal	Vega	
OAS:	
Private	
Equity:	
TIBOR:	
Unfunded	
Commitments:	
Vega:	
VER:	
Vol	point:	
Whole	Loan:	
XO:	
 

A family of credit default swap index products covering regions of Europe,
Australia, Japan and Asia Ex-Japan.
An abbreviation for Latin America.
A North American loan credit default swap index. LCDX consists of 100
reference entities, referencing first lien loans listed on the Markit Syndicated
Secured List.
Liquefied Petroleum Gas (LPG) is a flammable mixture of hydrocarbon gases
used as a fuel in heating appliances and vehicles.
London Interbank Offered Rate - An interest rate at which banks can borrow
funds from other banks in the London interbank market. LIBOR is derived from
a filtered average of the world's most creditworthy banks' interbank deposit
rates for larger loans with maturities between overnight and one full year.
The expected change in the value of an option when the option's implied
volatility increases by 1%, i.e. goes from 25% to 26%.
Mortgage Backed Securities - Debt obligations that represent claims to the cash
flows from pools of mortgage loans, most commonly on residential property.
Mortgage loans are purchased from banks, mortgage companies, and other
originators and then assembled into pools by a governmental, quasigovernmental, or private entities. These entities then issue securities that
represent claims on the principal and interest payments made by borrowers on
the loans in the pool.
An abbreviation for Middle East and North Africa.
An abbreviation for market value.
The expected change in the value of an option when the volatility of the	
security	underlying	the	option increases by 1%, i.e. goes from 25% to 26%.
Option Adjusted Spread - A measurement tool for evaluating price differences
between similar products with different embedded options. A larger OAS
implies a greater return for greater risks.
Private equity is an asset class consisting of equity securities in operating
companies that are not publicly traded on a stock exchange.
Tokyo Interbank Offered Rate - A daily reference rate based on the interest
rates at which banks offer to lend unsecured funds to other banks in the
Japanese interbank market.
Funds pledged for investment but not yet drawn upon.
The expected change in the value of an option when the option's implied
volatility increases by 1%, i.e. goes from 25% to 26%. When not specified
otherwise, vega denotes lognormal vega as opposed to normal vega.
Voluntary Emission Reductions/Verified Emission Reductions - A type of
carbon offset exchanged in the OTC market for carbon credits.
A 1% absolute change in volatility, e.g. a change from 25% to 26%.
A mortgage loan which is sold in its entirety on a standalone basis rather than
being pooled with other mortgages.
XO (Crossover) refers to the CDX.NA.XO CDX index, an index of CDS's that are at
the crossover point between investment grade and junk (high yield).
 

118 
 

 
Regional	Groupings	
 
Advanced Economies  Currency 
Andorra 
EUR 
Australia 
AUD 
Austria 
EUR 
Belgium 
EUR 
Canada 
CAD 
Channel Islands 
GBP 
Cyprus 
EUR 
Denmark 
DKK 
Estonia 
EUR 
Finland 
EUR 
France 
EUR 
Germany 
EUR 
Gibraltar 
GIP 
Greece 
EUR 
Greenland 
DKK 
Guam 
USD 
Guernsey 
GGP 
Ireland 
EUR 
Isle of Man 
IMP 
Italy 
EUR 
Japan 
JPY 
Jersey 
JEP 
Kosovo 
EUR 
Luxembourg 
EUR 
Malta 
EUR 
Monaco 
EUR 
Montenegro 
EUR 
Netherlands 
EUR 
New Zealand 
NZD 
Norway 
NOK 
Portugal 
EUR 
Samoa 
USD 
San Marino 
EUR 
Slovakia 
EUR 
Slovenia 
EUR 
Spain 
EUR 
Sweden 
SEK 
Switzerland 
CHF 
United Kingdom 
GBP 
United States 
USD 
Vatican City 
EUR 
Virgin Islands (US) 
USD 
Virgin Islands (British) 
USD 

Emerging Europe 
Albania 
Belarus 
Bosnia and 
Herzegovina 
Bulgaria 
Croatia 
Czech Republic 
Hungary 
Iceland 
Latvia 
Liechtenstein 
Lithuania 
Macedonia 
Moldova 
Poland 
Romania 
Russia 
Serbia 
Ukraine 
 

BAM 
BGL 
HRK 
CZK 
HUF 
ISK 
LVL 
CHF 
LTL 
MKD 
MDL 
PLN 
ROL 
RUB 
RSD 
UAH 

 
 
 
 
 
 
 
 
 
 

 

 

 

 

 

 

 

 

 

 

 

119 
 

Latin America & 
Caribbean 
Antigua and Barbuda 
Argentina 
Aruba 
Bahamas 
Barbados 
Belize 
Bermuda 
Bolivia 
Brazil 
Cayman Islands 
Chile 
Colombia 
Costa Rica 
Cuba 
Dominica 
Dominican Republic 
Ecuador 
El Salvador 
Grenada 
Guatemala 
Guyana 
Haiti 
Honduras 
Jamaica 
Mexico 
Nicaragua 
Panama 
Paraguay 
Peru 
Saint Kitts and Nevis 
Saint Lucia 
Saint Vincent and the 
Grenadines 
Suriname 
Trinidad and Tobago 
Uruguay 
Venezuela 

Currency 
ALL 
BYR 

Currency 
XCD 
ARS 
AWG 
BSD 
BBD 
BZD 
BMD 
BOB 
BRL 
KYD 
CLP 
COP 
CRC 
CUP 
XCD 
DOP 
ECS 
USD 
XCD 
GTQ 
GYD 
HTG 
HNL 
JMD 
MXN 
NIO 
PAB 
PYG 
PEN 
XCD 
XCD 
XCD 
SRG 
TTD 
UYU 
VEF 

 
 

 
Asia Ex‐Japan 
Bangladesh 
Bhutan 
Brunei 
Cambodia 
China 
Fiji 
Hong Kong 
India 
Indonesia 
Kazakhstan 
Kyrgyzstan 
Laos 
Macau 
Malaysia 
Maldives 
Mongolia 
Myanmar 
Nepal 
North Korea 
Philippines 
Singapore 
Solomon Islands 
South Korea 
Sri Lanka 
Taiwan 
Tajikistan 
Thailand 
Tonga 
Turkmenistan 
Uzbekistan 
Vanuatu 
Vietnam 

Currency 
BDT 
BTN 
BND 
KHR 
CNY 
FJD 
HKD 
INR 
IDR 
KZT 
KGS 
LAK 
MOP 
MYR 
MVR 
MNT 
MMK 
NPR 
KPW 
PHP 
SGD 
SBD 
KRW 
LKR 
TWD 
TJR 
THB 
TOP 
TMM 
UZS 
VUV 
VND 

 
Middle East & 
North Africa 
Afghanistan 
Algeria 
Armenia 
Azerbaijan 
Bahrain 
Dubai 
Egypt 
Georgia 
Iran 
Iraq 
Israel 
Jordan 
Kuwait 
Lebanon 
Libya 
Morocco 
Oman 
Pakistan 
Qatar 
Saudi Arabia 
Somalia 
Syria 
Tunisia 
Turkey 
United Arab 
Emirates 
Yemen 

120 
 

Currency 
AFA 
DZD 
AMD 
AZM 
BHD 
AED 
EGP 
GEL 
IRR 
IQD 
ILS 
JOD 
KWD 
LBP 
LYD 
MAD 
OMR 
PKR 
QAR 
SAR 
SOS 
SYP 
TND 
TRY 
AED 
YER 

Sub‐Saharan Africa 
Angola 
Benin 
Botswana 
Burkina Faso 
Burundi 
Cameroon 
Cape Verde 
Central African 
Republic 
Chad 
Congo‐Brazzaville 
Comoros 
Cote d'Ivoire 
Democratic Republic of 
the Congo 
Djibouti 
Equatorial Guinea 
Eritrea 
Ethiopia 
Gabon 
Gambia 
Ghana 
Guinea 
Guinea‐Bissau 
Kenya 
Lesotho 
Liberia 
Madagascar 
Malawi 
Mali 
Mauritania 
Mauritius 
Mozambique 
Namibia 
Niger 
Nigeria 
Republic of the Congo 
Rwanda 
Senegal 
Seychelles 
Sierra Leone 
South Africa 
Sudan 
Swaziland 
Tanzania 
Togo 
Uganda 
Zambia 
Zimbabwe 

Currency 
AOA 
XOF 
BWP 
XOF 
BIF 
XAF 
CVE 
XAF 
XAF 
XAF 
KMF 
XOF 
CDF 
DJF 
GQE 
ERN 
ETB 
XAF 
GMD 
GHC 
GNF 
XOF 
KES 
LSL 
LRD 
MGF 
MWK 
XOF 
MRO 
MUR 
MZM 
NAD 
XOF 
NGN 
XAF 
RWF 
XOF 
SCR 
SLL 
ZAR 
SDG 
SZL 
TZS 
XOF 
UGX 
ZMK 
USD 

 
F.1—Equity	by	Geography	
	
General	Instructions	 	
	
	
	
	
	
	
	
For definitions of the "Other" categories in each section, reference the Regional
Groupings worksheet. For example, "Other Advanced Economies" would include entries
for any Advanced Economy country (as defined on the Regional Groupings worksheet)
that is not explicitly listed in the Advanced Economies section of this worksheet. This
Other Advanced Economies row would also include aggregated exposures from
explicitly listed countries where the exposures fall below minimal thresholds specified
below.
Note that each regional section has a row for cross-country indices, e.g. the Euro Stoxx
indices, which may be used if firms have difficulty decomposing sensitivities by country.
Vega	should	be	reported	in	absolute	terms	($MM	/	+1	vol	point)	regardless	of	
whether	relative	or	absolute	vols	were	provided	on	the	Equity	Spot‐Vol	Grids	
worksheet.	
	
	
	
	
	
	
Profit/(Loss)	Calculation
Profit/(Loss) should be calculated assuming full revaluation where possible. In
completing the Profit/(Loss) section, firms should run full revaluations assuming all
equities move a given relative % and then allocate the resulting P/L by country/index.
For example, all entries in the -50% decline column would be calculated by running a
single full-revaluation simulation in which all equities decline by -50% regardless of
geography. P/L from this single simulation would then be allocated among the various
rows corresponding to different countries/indices.
Thresholds	 	
	
	
	
	
	
	
	
Sensitivities for countries in Advanced	Economies for which the delta is less than
$3mm may be aggregated and entered as a single entry on the "Other Advanced
Economies" row. For other	regions, sensitivities for which the delta is less than $2mm
may be aggregated and entered in the appropriate "Other" row for that region.
Spot	Shocks	 	
	
	
	
	
	
	
	
The spot shocks listed in the green cells may be modified to fit what the firm has
available subject to the following constraints:
Spot shocks must at a minimum span 0% to -50% and at least 5 distinct spot shocks less
than 0% must be provided.
The difference between adjacent spot shocks must not exceed 25%.
Additional columns for other shock percent may be added. Unused columns should be
left blank.
Tenors		
	
	
	
	
	
	
In the term structure section, please replace the tenor points shown in green with those
the firm has available. Insert additional term structure columns as needed. Unused
columns should be left blank.
	

121 
 

 
F.3—Other	Equity	
	
General	Instructions	 	

	

Entries in the dividend table above should represent the Profit/(Loss) in $MM that the firm would
experience if dividend yields in the specified tenors were to decline by -1% in relative terms, i.e.
drop from 3% to 2.97%.
For a precise description of what countries constitute Europe, please refer to the UN GeoScheme:
(http://millenniumindicators.un.org/unsd/methods/m49/m49regin.htm#Europe).
Tenors		

	

	

	

	

	

	

In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank. The unspecified tenor column is to be used only if the firm is unable to break out its
sensitivities by tenor.

123 
 

 
F.4—FX	Spot	Sensitivities	
	
	
	
General	Instructions	 	

	

	

	

	

	

	

	

	

	

Enter currency symbols into the green cells of the Currency1 and Currency2 columns. Additional
rows may be inserted into this section as needed. Any unused rows should be left blank.
Report on-shore and off-shore currency sensitivities separately.
For non-USD currency pairs:
1) Delta is defined as USD delta equivalent of Currency1, with a positive number indicating long
Currency1 / short Currency2, and a negative number indicating short Currency1 / long Currency2.
2) If the currency delta positions are netted and shown only versus USD, then enter zero for delta
and show the P/L arising from gamma only in the corresponding currency pair row.
Profit/(Loss)	Calculation	

	

	

	

	

	

	

	

	

	

	

Profit/(Loss) should be calculated assuming full revaluation where possible. In completing the
Profit/(Loss) section, firms should complete each row independently. For example, a row for EUR
vs. USD would be calculated by shocking only the EUR vs. USD exchange rate and leaving all other
exchange rates fixed.
Thresholds	

	

	

	

	

	

	

	

	

	

	

	

	

Entries for currencies where the absolute value of the delta is below $50mm and where no grid P/L
entries have an absolute value above $10mm may be aggregated and placed into the OTHER vs. USD
line.
Spot	Shocks	 	

	

	

	

	

	

	

	

	

	

	

The spot shocks listed in the green cells may be modified to fit what the firm has available subject to
the following constraints:
Spot shocks must at a minimum span -30% to +30% and at least four distinct spot shocks on each
side of 0% must be provided.
The difference between adjacent spot shocks must not exceed 10%.
Additional columns for other shock percent may be added. Unused columns should be left blank.
In computing the Profit/(Loss) entries, assume normal volatility does not change.

	

124 
 

	

 
F.5—FX	Vega	
	
General	Instructions	 	

	

	

	

	

	

	

	

	

	

	

Enter currency symbols into the green cells of the Currency1 and Currency2 columns. Additional
rows may be inserted as needed. Unused rows should be left blank.
Report on-shore and off-shore currency sensitivities separately.
Thresholds	

	

	

	

	

	

	

	

	

	

	

	

	

Enter all currency pairs for which the absolute value of the vega at	any	tenor	(or	in	total) exceeds
$1 mm / +1 vol point; pairs with smaller vegas may be omitted.
Tenors		

	

	

	

	

	

	

	

	

	

	

	

In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.

	

125 
 

	

 
F.6—Rates	DV01	
	
General	Instructions	
For definitions of the "Other" categories in each section, reference the Regional Groupings
worksheet. For example, "Other Asia Ex-Japan" would include entries for any Asia Ex-Japan
currency (as defined on the Regional Groupings worksheet) that is not explicitly listed in the Asia
Ex-Japan section of this worksheet. This Other Asia Ex-Japan row would also include aggregated
exposures from explicitly listed currencies where the exposures fall below minimal thresholds
specified below.
**DV01s	of	instruments	shocked	by	market	value	(MV)	such	as	securitized	products,	ARS,	
Loans	and	defaulted	securities	must	be	entered	in	aggregate	on	the	"Instruments	shocked	by	
Market	Value"	row	for	the	appropriate	currency.	For	the	regional	sections	(Other	Advanced	
Economies,	Emerging	Europe,	Latin	America	&	Caribbean,	etc.),	DV01s	of	instruments	
shocked	by	MV	should	not	be	included	to	avoid	double	counting.
Entries	on	this	sheet	should	include	ALL	products	with	interest	rate	sensitivities	including	
those	such	as	munis,	agencies	and	ARS	for	which	DV01s	are	also	requested	elsewhere	in	this	
schedule.	
DV01 for Corporates and Agency MBS should be included in the Swaps / Discounting Curve line for
the appropriate currency, while DV01 for Agency indentures/bonds should be reported in the
Agencies line for the appropriate currency. If the OIS curve is used as the discounting curve, report
the sensitivities associated with changes in the OIS curve in the Swaps/Discounting Curve rows.
Examples	

	

	

	

	

	

	

	

	

	

	

	

Example	1: Consider a 5 year receive fixed swap versus 6-month LIBOR, where the standard curve
is 3 month LIBOR. The DV01 of the fixed side and the first fixing would appear in the Swaps	/	
Discounting	Curve	row	as	a	positive	directional	risk	number. The DV01 of the 0.5Y by 5Y year
basis swap would appear in the 6m row as a positive number as well since a 1 bp drop in that curve
would be beneficial. Note that this would correspond to a -1 bp change in x, where x is the spread
in the 6m vs. 3m + x basis swap.
Example	2: 3 year basis swap in which the bank pays 1m LIBOR + 10 bps vs. 3m LIBOR, where the
standard curve is 3 month LIBOR. The initial 1m and 3m fixings would appear in the Swaps	/	
Discounting	Curve	line	as	a	directional	risk	number. The remaining 1m by 3Y basis swap would
appear in the 1m line as a positive number. Note that this would correspond to a +1 bp change in x,
where x is the spread in the 3m vs. 1m + x basis swap.
Sovereign	Bonds	

	

	

	

	

	

	

	

	

	

	

Sovereign bonds issued in the same currency as the reference sovereign's base currency should
have their DV01's entered on this worksheet. Examples would include U.S. government bonds
denominated in USD and U.K. government bonds denominated in GBP. Such instruments would
not lead to any credit spread entries on the Sovereign Credit worksheet, though they would lead to
entries in the MV (A) and Notional (B) sections of that worksheet.
Euro-denominated bond positions issued by countries using the euro should also be entered on this
126 
 

	

 
worksheet only. Note that there are specific rows for "Government" exposures for those countries
defined as "Advanced Economies" on the Regional Groupings worksheet. For other countries, the
government exposures would be summed with other types of rates exposures and entered in
aggregate in the single row for the corresponding country. So, for example, Spanish government
bonds would be entered on this worksheet on the row in the "EUR Directional Risks" section
labeled "Governments: Spain", while Hungarian government bond exposures would be aggregated
along with any other Hungarian rates exposures and entered in the row labeled "HUF". Again, such
instruments would not lead to any credit spread entries on the Sovereign Credit worksheet, though
they would lead to entries in the MV (A) and Notional (B) sections of that worksheet.
In the case of sovereign bonds issued in a currency that differs from the reference sovereign's base
currency, the rates risk should be entered on this worksheet, while the corresponding credit risk
should be entered on the Sovereign Credit worksheet. Examples would include Japanese
government bonds denominated in USD and U.K. government bonds denominated in EUR.
Any rates exposure from Sovereign CDS should be entered on this worksheet, while the
corresponding credit risk should be entered on the Sovereign Credit worksheet.
These instructions with respect to sovereign bonds pertain solely to the entries on this worksheet.
Please see the instructions on the Sovereign Credit worksheet when entering the notionals and
market values there.
Profit/(Loss)	Section		

	

	

	

	

	

	

	

	

	

	

The shock entries listed in the green cells may be modified to fit what the firm has readily available.
Shock levels should range from -200 bps to +500 bps and the difference between adjacent shocks
should not exceed 100 bps.
Additional columns for other shock percent may be added. Unused columns should be left blank.
When calculating the Profit/(Loss) from negative rate shocks, if the firm’s systems cannot
accommodate negative rate levels, floor rates at +1bp (i.e. assume rates cannot become negative).
In	computing	Profit/(Loss),	assume	normal	(absolute)	volatility	does	not	change	and,	to	the	
extent	possible,	preserve	the	skew	by	strike	for	all	shock	levels.	 	
	
	
	
	
Do	not	include	instruments	shocked	by	market	value	(MV)	in	computing	the	Profit/(Loss)	
points.		
Tenors		

	

	

	

	

	

	

	

	

	

	

	

In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.

127 
 

 
F.7—Rates	Vega	
	
General	Instructions
For definitions of the "Other" categories in each section, reference the Regional Groupings
worksheet. For example, the "Other Advanced Economies" section should include entries for any
Advanced Economy country (as defined on the Regional Groupings worksheet), when the currency
is not explicitly listed on this worksheet.
Similarly, the Totals sections, such as Total Emerging Europe, should contain the summation of the
vegas across all the currencies when issuing countries are defined as Emerging Europe on the
Regional Groupings worksheet.
Specify in the green cells at the top of the worksheet whether the vegas provided are normal or
lognormal and whether the units are $MM / +10% relative move or $MM / +10 bps absolute move.
Tenors	
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure rows and columns as needed. Unused rows and columns
should be left blank.
	

	

128 
 

 
F.8—Other	Rates	
	
General	Instructions	
Cross-Currency vs. USD basis is defined as USD vs. CCY + x Basis Swap ($K).
Tenors
In the term structure section, replace the tenor points shown in green with those the firm has
available. Insert additional term structure columns as needed. Unused columns should be left
blank.

129 
 

 
F.9—Energy	
	
General	Instructions	
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega	may	be	reported	in	absolute	($MM	/	+1	vol	point)	or	relative	($MM	/	+10%	Rel)	terms	
regardless	of	whether	relative	or	absolute	vols	are	provided	on	the	Commodity	Spot‐Vol	
Grids	worksheet,	but		should	be	consistent	across	the	Energy,	Metals,	Ags	&	Softs	and	
Commodity	Indices	worksheets.		The	appropriate	vega	units	may	be	selected	from	the	list	
provided	in	the	Vega	title	cell.	
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
BHCs,IHCs and SLHCs should decompose the commodities sensitivities of complex products into
their constituent product sensitivities wherever possible. The column for Structured	Products is
meant to capture commodity exposures that are not easily decomposed into their underlying
components. Examples include structured notes linked to commodity baskets and custom
indices.
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Please provide monthly
data for the first 12 months. Maturities greater than 12 months but less than 10 years from the
effective date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10
Years from the effective date may be grouped together.
Informational	section	
The	columns	in	the	"Informational"	section	are	meant	to	be	SUBSETS	of	the	total	exposures	
entered	in	the	other	columns	to	the	left	of	the	"Total	Energy"	column. Additional informational
columns (e.g. Coal, Emissions, etc.) may be inserted if desired.

130 
 

 
F.10—Metals	
	
General	Instructions	
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega	may	be	reported	in	absolute	($MM	/	+1	vol	point)	or	relative	($MM	/	+10%	Rel)	terms	
regardless	of	whether	relative	or	absolute	vols	are	provided	on	the	Commodity	Spot‐Vol	
Grids	worksheet,	but	should	be	consistent	across	the	Energy,	Metals,	Ags	&	Softs	and	
Commodity	Indices	worksheets.		The	appropriate	vega	units	may	be	selected	from	the	list	
provided	in	the	Vega	title	cell	of	the	Energy	worksheet.	
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Please provide monthly
data for the first 12 months. Maturities greater than 12 months but less than 10 years from the
effective date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10
years from the effective date may be grouped together.

131 
 

 
F.11—Ags	&	Softs	
	
General	Instructions	
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega	may	be	reported	in	absolute	($MM	/	+1	vol	point)	or	relative	($MM	/	+10%	Rel)	terms	
regardless	of	whether	relative	or	absolute	vols	are	provided	on	the	Commodity	Spot‐Vol	
Grids	worksheet,	but	should	be	consistent	across	the	Energy,	Metals,	Ags	&	Softs	and	
Commodity	Indices	worksheets.		The	appropriate	vega	units	may	be	selected	from	the	list	
provided	in	the	Vega	title	cell	of	the	Energy	worksheet.	
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints, firms
may include the impacts of storage and other models provided it is immaterial (i.e., the absolute
value of the incremental P/L contributed by the model at both spot up +75% and spot down -75%
are both <$50mm).
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Provide monthly data
for the first 12 months. Maturities greater than 12 months but less than 10 years from the effective
date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10 years
from the effective date may be grouped together.

132 
 

 
F.12—Commodity	Indices	
	
General	Instructions	
Delta for commodities is defined as dollarized delta exposure in ($MM).
"Total Gamma" is the unweighted sum of gammas across all tenors for each product. Similarly,
"Total Vega" is the unweighted sum of the vegas across all tenors for each product.
Vega	may	be	reported	in	absolute	($MM	/	+1	vol	point)	or	relative	($MM	/	+10%	Rel)	terms	
regardless	of	whether	relative	or	absolute	vols	are	provided	on	the	Commodity	Spot‐Vol	
Grids	worksheet,	but		should	be	consistent	across	the	Energy,	Metals,	Ags	&	Softs	and	
Commodity	Indices	worksheets.		The	appropriate	vega	units	may	be	selected	from	the	list	
provided	in	the	Vega	title	cell	of	the	Energy	worksheet.	
Ideally, storage and other models, which do not qualify for derivatives accounting treatment, should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e., the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
Firms should decompose their exposures to diversified commodity indices into their individual
constituents and enter them on the Energy, Metals and Ags & Softs worksheets to the extent
possible. Any residual exposures to diversified commodity indices should be entered on this
worksheet.
The column for Long/Short Commodity Indices is meant to capture exposures to indices that do not
contain outright commodity exposures but instead seek to generate alpha through long/short
commodity strategies.
Tenors
The maturities/maturity buckets in column B may be modified to fit what the firm has available and
all should be considered as relative to the effective date of this submission. Provide monthly data
for the first 12 months. Maturities greater than 12 months but less than 10 years from the effective
date must be supplied on a monthly, quarterly or annual basis. Maturities greater than 10 years
from the effective date may be grouped together.

133 
 

 
F.13—Commodity	Spot‐Vol	Grids	
	
General	Instructions	 	
	

	

	

	

	

	

	

	

	

	

Please use full revaluation, if possible, in calculating the grid entries.
Ideally storage and other models which do not qualify for derivatives accounting treatment should
be excluded from this schedule while the underlying (exposure and P/L contribution) should be
included. In cases where such exclusion is computationally difficult due to system constraints,
firms may include the impacts of storage and other models provided it is immaterial (i.e. the
absolute value of the incremental P/L contributed by the model at both spot up +75% and spot
down -75% are both <$50mm).
In calculating the grid entries, shock the entire vol surface by the specified vol shock and shock all
spot prices by the specified spot shock. Recalculate the value of all options under these conditions
and compute the change in market value relative to current market value. This change in market
value is what should be entered in the appropriate grid cells.
Diversified	Commodity	Indices:	

	

	

	

	

	

	

	

	

	

The grid for Diversified Commodity Indices should correspond to those exposures listed on the
Commodity Indices worksheet. It should not include the impact from diversified index exposures
which were decomposed and entered into other columns on the Energy, Metals or Ags & Softs
worksheets. The impact from these decomposed index positions should be factored into the other
spot-vol grids on this page. Firm choosing to decompose all diversified commodity index exposures
into their components would leave the Spot-Vol grid for Diversified Commodity Indices blank.
Long/Short Index exposures (detailed on the Commodity Indices worksheet) should be excluded
from the Spot-Vol grids.
Spot/Volatility	Shocks:	

	

	

	

	

	

	

	

	

	

The specific spot and vol shocks chosen need not be the same across each of the commodity grids.
Rows and columns for additional shock values may be added. Unused rows or columns should be
left blank.
Vol shocks may be specified as either absolute moves in vol points or as a relative (%) change in
volatility.
Indicate in the green cells above each grid which volatility units are being provided.
The spot and volatility shocks listed in the green cells may be modified to fit what the firm has
readily available subject to the following constraints:
Spot	shocks	must	at	a	minimum	span	‐75%	to	+75%.		At	least	5	distinct	spot	shocks	less	than	
0%	and	3	distinct	spot	shocks	greater	than	0%	must	be	provided.	
	
	
	
	
	
	
	
The	difference	between	adjacent	spot	shocks	must	not	exceed	25%.	
If	volatility	shocks	are	specified	in	terms	of	absolute	moves,	volatility	shocks	must	span	at	
least	0	to	+50	vol	pts.			At	least	4	distinct	volatility	shocks	greater	than	0	must	be	provided	
and	adjacent	shocks	must	be	no	more	than	15	vol	points	apart.	 	
	
	
	
134 
 

	

 
	
	
	
	
	
	
If	volatility	shocks	are	specified	in	terms	of	relative	(%)	moves,	then	the	guidance	above	
must	be	converted	to	relative	space	using	the	at	the	money	spot	volatilities	on	the	effective	
date	of	this	submission.	
	
	
	
	
	

135 
 

 
F.14—Securitized	Products	
	
Notional and MV amounts should be reported, by rating and vintage, for all relevant products.
* MV for CDS should be reported as the notional amount plus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS. The notional amount should be positive for cases where
CDS protection has been sold (long underlying bond) and negative for cases where CDS protection
has been bought (short underlying bond).
Ratings information reflects current rating and not original rating.
Vintage is defined as the difference between the effective date of the submission and the issue date
(securities) or effective date (loans or derivatives). If vintage information for a given product is not
available, please enter exposures (MV and notional) in the unspecified vintage bucket for the
appropriate rating.
Agency loans that are in forward contract should be included on the Agencies worksheet, otherwise
they should be entered here under Whole Loans.
Warehouse should only include exposure to which there is first loss protection provided.
Otherwise, all residential whole loans and commercial real estate whole loans used for trading or
warehoused without first loss protection should be included in the respective whole loan
categories. For CLO Warehouse exposures, the traded amount should be reported.
The Total Protection column should contain the total first loss protection that is applicable to the
firm’s warehouse exposures. The reported first loss protection can be in the form of cash or assets.
Firms should specify in their supporting documentation how much of this protection is in the form
of cash vs. assets.
A category for European RMBS is provided. European ABS and CMBS exposures should not be
included in this column, but instead entered in the existing ABS and CMBS sections of this
worksheet.

136 
 

 
F.15—Agencies		
General:
The top section above should contain sensitivities for US Agency securities only.
The lower section should contain sensitivities for non-US Agencies without an explicit sovereign
government guarantee. This includes bonds as well as CDS.
Non-US Agency securities that do have an explicit government guarantee should not be entered
here. They should be treated as government bonds and entered on the Rates DV01 worksheet
and/or the Sovereign Credit worksheets in accordance with the instructions on those pages.
Loans should be included on this worksheet only if they are in forward contract or if the loans have
FHA IDs and are in process of being reviewed for FHA insurance. Otherwise, the loans should be
entered on the Securitized Products worksheet under Whole Loans.
Note that the spread sensitivities here refer to Option Adjusted Spread (OAS).
Spread	Shocks:	

	

	

	

	

	

	

The spread widenings listed in the green cells may be modified to fit what the firm has readily
available subject to the following constraints:
OAS shocks must at a minimum range from 100 bps to at least 400 bps and at least 4 distinct spot
shocks greater than 1 bp must be provided.
Additional columns for other shock levels may be added. Unused columns should be left blank.

137 
 

	

 
F.16—Munis		 	
	
General:	
	

	
	

	

	

	

	

	

	

* MV for CDS should be reported as the notional amount plus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS. The notional amount should be positive for cases where
CDS protection has been sold (long underlying bond) and negative for cases where CDS protection
has been bought (short underlying bond).
This worksheet should contain exposures to all Municipals, regardless of geography and currency.
Municipals refer to local government entities that do not have an explicit guarantee from the
sovereign central government. Issuers with an explicit sovereign guarantee should be treated as
government bonds and entered on either the Rates DV01 and/or the Sovereign Credit worksheet.
Profit/(Loss)	Calculation:	

	

	

	

	

	

	

	

	

Profit/(Loss) should be calculated assuming full revaluation where possible. In completing the
Profit/(Loss) section, firms should run full revaluations assuming all credit spreads (across all
geographies and products- Munis, Corporates, CDS, etc.) move a given amount and then allocate the
resulting P/L to the various rows and sections across all credit worksheets.
For example, firms should run a single full-revaluation simulation in which all spreads widen by
100% regardless of geography/product. P/L from this single simulation would then be allocated
among the various rows and worksheets corresponding to different products, countries and
indices.
Spread	Shocks:	

	

	

	

	

	

	

	

	

Profit/(Loss) from spread widenings should be entered using either the relative (%) section or the
absolute (bps) section, but not in both.
Columns for additional slide points may be inserted, however do	not	remove	or	modify	any	of	the	
existing	slide	points	shown	in	gray.			
	
	
	
Tenors:	

	

	

	

	

	

	

	

	

In the term structure section, replace the tenor points shown in green with those the firm has
available.
Insert additional term structure rows as needed. Unused rows should be left blank.

138 
 

 
F.17—Auction	Rate	Securities	(ARS)	
General:	

	

	

	

	

This worksheet is meant to collect basic sensitivities related to Auction Rate Securities (ARS).
Tenors:	

	

	

	

	

In the term structure section, replace the tenor points shown in green with those the firm has
available.
Insert additional term structure rows as needed. Unused rows should be left blank.

139 
 

 
F.18—Corporate	Credit‐Advanced	 	
	
General:	
	
	
	
	

	

	

	

	

	

Reference the Regional Groupings worksheet for the definition of which countries are included in
Advanced Economies.
Notional and MV amounts should be reported, by rating and tenor, for all relevant products.
* MV for CDS should be reported as the notional amount plus the current MTM of the CDS, i.e. the
bond-equivalent market value of the CDS. The notional amount should be positive for cases where
CDS protection has been sold (long underlying bond) and negative for cases where CDS protection
has been bought (short underlying bond).
"On-the-Run" refers to the two most recent series (i.e. the current and the prior) of the index.
The  | ”.
Wrong	Way	Risk	Hedge	(CACSR583)	
Indicates if any portion of the CDS hedges are wrong-way risk positions with respect to the CDS
counterparty and the CDS reference entity. The BHC or IHC or SLHC should use its internal BAU risk
management process to determine whether the CDS protection (e.g. sovereign CDS) with the specific
counterparty legal entity (e.g. bank in the sovereign) is a wrong-way hedge. Possible options are “Y” and
“N”.
CDS	Hedge	Notional	(CACSR584)	
The notional amount of specific CDS hedges on the derivatives under the agreement. The specific CDS
hedges that are allowed to be included are bought plain-vanilla CDS protection (single-name and index,
where the index includes the counterparty legal entity as one of the reference entities) which do not have
any non-vanilla contractual features, and do not constitute wrong-way positions.
Stressed	CVA	(Severely	Adverse	‐	CACSR590;	Adverse	 	CACSR591)	
CVA for the derivatives within the agreement as evaluated under the supervisory global market shock
scenarios.
L.5.2—SFT	assets	posted	and	received	by	counterparty	legal	entity	and	netting		set/agreement	and	
asset	category 

Line Item Instructions
Report the information required by each column for each consolidated/parent counterparty reported in
L.5.1, including the CCPs and G-7 sovereign countries, with whom SFTs are held. In the case a CCP itself is
the bi-lateral counterparty to a SFT, then the CCP must be included in the consideration of which bi-lateral
counterparties are the "top 25" as ranked by the ranking methodologies.	Information	in	this	schedule	is	
reported	at	the	level	of	netting	agreements.
Netting Agreement Reporting:
Information must be reported for each netting agreement held with a legal entity of a consolidated/parent
counterparty organization, even if the net current exposure for a given netting agreement is zero. For
example, if a counterparty has two subsidiaries, and two netting agreements have been executed with the
first subsidiary and one agreement with the second subsidiary, then three lines of information would be
321 
 

 

reported for that counterparty. These must correspond to the netting agreements and associated netting
agreement IDs reported in L.5.1.

Item Instructions
 
Rank	Methodology	(CACNJD60)	
Indicate which ranking methodology applies to the reported counterparties. Allowable entries are 1, 2, 3, 4,
CCP QCCP, NQCCP, and G7, when the reported counterparty is qualifying CCP, non-qualifying CCP, or G7
sovereign, respectively. For purposes of determining qualifying CCP versus non-qualifying CCP, the firm
should apply the same conditions as specified in section .2 of the regulatory capital rule (12 CFR 217).
	
Rank	(CACNM899)
Report the rank of the consolidated/parent counterparty as ordered according to the rank methodology
indicated. For qualifying CCPs, and non-qualifying CCPs as defined in section .2 of the regulatory capital
rule (12 CFR 217) specify rank as “QCCP” and “NQCCP”, respectively; for G-7 sovereigns, specify rank as
“G7”.
	
Consolidated/Parent	Counterparty	Name	(CACNM900)
The name of the consolidated group/parent level counterparty organization that is either a CCP, G-7
sovereign country, or one of the top 25 counterparties. The counterparty name should be alphabetically
recognizable rather than an alphanumeric code and must be reported consistently across sub-schedules
L.1-L.5.
Consolidated/Parent	Entity	Counterparty	ID	(CACNM901)	
Report the A unique identifier (for example, alphanumeric) assigned to the counterparty name reported in
the Consolidated/Parent Counterparty Name column. Thise counterparty ID must be unique and consistent
across sub-schedules L.1-L.5in this schedule.
Counterparty	Legal	Entity	Name	(CACN9017)
Report the unique the name of the counterparty legal entity with whom the netting agreement was
executed. This could be a subsidiary or affiliate of the consolidated/parent organization or the
consolidated/parent organization itself. This name must be alphabetically recognizable rather than an
alphanumeric code, and reported consistently across sub-schedules L.1-L.5.
Counterparty	Legal	Entity	Identifier	(LEI)	ID	(CACN9924R621)
A unique identifier (for example, alphanumeric) assigned to the legal entity reported in the Counterparty
Legal Entity column, which must correspond to the consolidated/parent entity. This ID must be unique and
consistent across sub schedules. Report the official globally recognized legal entity identifier (LEI) of the
counterparty legal entity. If a globally recognized LEI is unavailable, a unique identifier (for example,
alphanumeric) assigned to the legal entity reported in the Counterparty Legal Entity Name column must be
reported. This ID must be unique and consistent across sub-schedules L.1-L.5.
	
Netting	Set	ID	(CACNM902)
Report the A unique identifier (for example, alphanumeric) assigned to the netting set agreement being
reported. Netting sets should map to ISDA master netting agreements. If a netting set ID is not applicable
(for example, given no netting agreement in place) this field must be populated with “NA”. This ID must be
unique and consistent across sub-schedules L.1-L.5.
Asset	Categories	
Posted: the aggregate mark-to-market value of the asset category/sub-category posted to a
consolidated/parent counterparty as part of a securities lending/borrowing or repurchase/reverse
repurchase agreement. Include situations in which the firm is acting as a principal or on behalf of a client
322 
 

 

for which lender indemnification has been provided against the borrower’s default. If the netting
agreement comprises several netting sets, report the sum of the posted values for those netting sets that
are “in the money”, i.e. have a net positive MtM amount for those netting sets for which the net (stressed)
exposure (i.e. exposure net of collateral) is positive under that scenario.
Received: the aggregate mark-to-market value of the asset category/sub-category received from a
consolidated/parent counterparty as part of a securities lending/borrowing or repurchase/reverse
repurchase agreement. Include situations in which the firm is acting as a principal or on behalf of a client
for which lender indemnification has been provided against the borrower’s default. If the netting
agreement comprises several netting sets, report the sum of the received values for those netting sets that
are “in the money”, i.e. have a net positive MtM amount for those netting sets for which the net (stressed)
exposure (i.e. exposure net of collateral) is positive under that scenario. These amounts must be reported
reflecting their actual mark-to-market amount, i.e. positive mark-to-market values should be reported as
positive.	
	
	
	
Central	Debt	
This category includes debt obligations issued by a sovereign entity or a government-sponsored enterprise
(G.S.E.). This category does not include inflation-indexed securities. The amounts must be separated by the
sovereign entity sub-categories: United States, Germany, United Kingdom & France, Other Eurozone, Japan,
and Other.
Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

United States
Germany
United Kingdom &
France
Other Eurozone
Japan
Other

CACNFC53
CACNFC54
CACNFC55

CACNFC83
CACNFC84
CACNFC85

CACNFC56
CACNFC57
CACNFC58

CACNFC86
CACNFC87
CACNFC88

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNFD13
CACNFD14
CACNFD15

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD43
CACNFD44
CACNFD45

CACNJD75
CACNJD76
CACNJD77

CACNJE05
CACNJE06
CACNJE07

CACNFD16
CACNFD17
CACNFD18

CACNFD46
CACNFD47
CACNFD48

CACNJD78
CACNJD79
CACNJD80

CACNJE08
CACNJE09
CACNJE10

Stressed	
Posted	FR	
(Severely	
Adverse)	

Equity
This category includes publicly traded and privately issued equity securities. The amounts must be
separated by the country in which the issuing entity is domiciled, which are grouped into the following subcategories: United States, Canada, United Kingdom, Eurozone, and Other.
Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

United States (US)
Canada (CAD)
United Kingdom (UK)
Eurozone
Other Economies
(specify)

CACNFC59
CACNFC60
CACNFC61
CACNFC62
CACNFC63

CACNFC89
CACNFC90
CACNFC91
CACNFC92
CACNFC93

Stressed	
Posted	FR	
(Severely	
Adverse)	
CACNFD19
CACNFD20
CACNFD21
CACNFD22
CACNFD23

323 
 

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD49
CACNFD50
CACNFD51
CACNFD52
CACNFD53

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNJD81
CACNJD82
CACNJD83
CACNJD84
CACNJD85

CACNJE11
CACNJE12
CACNJE13
CACNJE14
CACNJE15

 

Corporate	Bonds	–	Advanced	Economies
This category includes all debt obligations issued by any public or private entity that is not backed by the
full faith and credit of a single sovereign country; specifically it includes supranationals. This category does
not include commercial paper. The issuing entity must be domiciled in a sovereign that is defined as an
advanced economy in the instructions for schedule F. The amounts must be separated into two subcategories: Investment Grade (IG) and Sub-Investment Grade (Sub-IG) as based on the rating of the specific
issuances.
Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

Investment Grade (IG)
Sub-Investment Grade
(Sub-IG)

CACNFC64
CACNFC65

CACNFC94
CACNFC95

Stressed	
Posted	FR	
(Severely	
Adverse)	
CACNFD24
CACNFD25

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD54
CACNFD55

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNJD86
CACNJD87

CACNJE16
CACNJE17

Corporate	Bonds	–	Other	Economies
This category includes all debt obligations issued by any public or private entity that is not backed by the
full faith and credit of a single sovereign country; specifically, it includes supranationals. This category does
not include commercial paper. The issuing entity must be domiciled in a sovereign that is not an advanced
economy as defined in the instructions for schedule F. The amounts must be separated into two subcategories: IG and Sub-IG as based on the rating of the specific issuances.
	
Stressed	
Sub‐category	
Unstressed	 Unstressed	
Stressed	
Stressed	
Stressed	
Posted	FR	 Received	
Posted	
Received	
Posted	FR	
Received	
(Adverse)	
FR	
(Severely	
FR	
(Adverse)	
Adverse)	
(Severely	
Adverse)	
Investment Grade (IG)
CACNFC66
CACNFC96
CACNFD26
CACNFD56
CACNJD88
CACNJE18
Sub-Investment Grade
CACNFC67
CACNFC97
CACNFD27
CACNFD57
CACNJD89
CACNJE19
(Sub-IG)
	
Exchange‐Traded	Funds
This category includes equity shares of exchange-traded investment funds (ETFs). The amounts must be
separated into two sub-categories that define the majority of the assets held by a given ETF: Equity and
Fixed Income.
Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

Equity
Fixed Income

CACNFC68
CACNFC69

CACNFC98
CACNFC99

Stressed	
Posted	FR	
(Severely	
Adverse)	
CACNFD28
CACNFD29

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD58
CACNFD59

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNJD90
CACNJD91

CACNJE20
CACNJE21

U.S.	Agency	MBS/CMBS	
This category includes mortgage-backed securities (MBS) and commercial mortgage-backed securities
(CMBS) issued by U.S. government agencies and U.S. government-sponsored enterprises (GSEs), as defined
in the FR Y-9C. The amounts must be separated into two sub-categories: Pass-throughs and Other.

324 
 

 

Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

Pass-throughs
Other (specify)

CACNFC70
CACNFC71

CACNFD00
CACNFD01

Stressed	
Posted	FR	
(Severely	
Adverse)	
CACNFD30
CACNFD31

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD60
CACNFD61

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNJD92
CACNJD93

CACNJE22
CACNJE23

Non‐Agency	RMBS/ABS/CMBS
This category includes residential mortgage-backed securities (RMBS), asset-backed securities (ABS), and
CMBS issued by an entity other than U.S. government agencies or U.S. GSEs. The amounts must be
separated into two sub-categories: IG and Sub-IG as based on the rating of the specific issuances.
Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

Investment Grade (IG)
Sub-Investment Grade
(Sub-IG)

CACNFC72
CACNFC73

CACNFD02
CACNFD03

Stressed	
Posted	FR	
(Severely	
Adverse)	
CACNFD32
CACNFD33

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD62
CACNFD63

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNJD94
CACNJD95

CACNJE24
CACNJE25

Cash
This category includes cash in any currency and must be separated by currency into the following subcategories: USD, EUR, GBP, JPY, and Other.
Sub‐category	

Unstressed	
Posted	

Unstressed	
Received	

USD
EUR
GBP
JPY
Other (specify)

CACNFC74
CACNFC75
CACNFC76
CACNFC77
CACNFC78

CACNFD04
CACNFD05
CACNFD06
CACNFD07
CACNFD08

Stressed	
Posted	FR	
(Severely	
Adverse	
CACNFD34
CACNFD35
CACNFD36
CACNFD37
CACNFD38

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD64
CACNFD65
CACNFD66
CACNFD67
CACNFD68

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNJD96
CACNJD97
CACNJD98
CACNJD99
CACNJE00

CACNJE26
CACNJE27
CACNJE28
CACNJE29
CACNJE30

Other
This category includes all asset types that are not reported in the other defined asset categories. The
amounts must be separated by the following sub-categories: Inflation-Indexed Securities, Commercial
Paper, Municipal Bonds, and Other. For the amount reported in Other, supporting documentation must be
submitted that provides details of the asset types within the sub-category.
Sub‐category	

Unstressed	 Unstressed	
Posted	
Received	

Inflation-Indexed
Securities
Commercial Paper
Municipal Bonds
Other (specify)

CACNFC79

CACNFD09

CACNFC80
CACNFC81
CACNFC82

CACNFD10
CACNFD11
CACNFD12

Stressed	
Posted	FR	
(Adverse)	

Stressed	
Received	
FR	
(Adverse)	

CACNFD39

Stressed	
Received	
FR	
(Severely	
Adverse)	
CACNFD69

CACNJE01

CACNJE31

CACNFD40
CACNFD41
CACNFD42

CACNFD70
CACNFD71
CACNFD72

CACNJE02
CACNJE03
CACNJE04

CACNJE32
CACNJE33
CACNJE34

Stressed	
Posted	FR	
(Severely	
Adverse	

325 
 

 

L.5.3—	Aggregate	SFTs	by	Internal	Rating 

Line Item Instructions
Information must be reported for all counterparties as grouped by internal rating, one line of information
for each internal rating. Posted and received amounts by asset category should be reported as actual markto-market amounts.	
	
Internal	Rating	(CACNM906)	
Report the BHC’s or IHC’s or SLHC’s internal rating associated with the group of counterparties included in
the reported amounts. Counterparties must be grouped and reported for each internal rating.
External	Rating	(CACNM907)	
Report the external rating associated with the group of counterparties included in the reported amounts
equivalent to the counterparty's internal rating. Provide an external rating from a Nationally Recognized
Statistical Rating Organization (NRSRO).
Net	CE	(CACNM912)	
Report the aggregate Net CE of the counterparties associated with the reported rating bucket.
Stressed	Net	CE	(Severely	Adverse	‐	CACNFD73;	Adverse	‐	CACNFD74;	BHC	or	IHC	or	SLHC	‐	
CACNFD75)	
Report the full revaluation of Net CE under applicable stressed conditions. Hold collateral constant; assume
no additional collection of collateral, but do apply stressed conditions to collateral.
	

Column	Instructions	(Asset	Categories)	
	
Indemnified	Securities	Lent	(Notional	Balance)	(CACNFD76)	
This category includes securities lent for which the respondent has provided borrower default
indemnification to the lender.	
	
Indemnified	Cash	Collateral	Reinvestment	(Notional	Balance)	(CACNFD77)	
This category includes cash that has been delivered as collateral for which the respondent has provided
default indemnification to the lender.	
	
US	Treasury	&	Agency	(Repo	Posted	‐	CACNFD78;	Repo	Received	‐	CACNFD79;	Sec.	Lending	Posted	‐	
CACNFD94;	Sec.	Lending	Received	‐	CACNFD95)	
This category includes all U.S. Treasury securities, obligations issued by U.S. government agencies, and
obligations issued by U.S. government-sponsored enterprises (GSEs) as defined in the FR Y-9C.
Agency	MBS	(Repo	Posted	‐	CACNFD80;	Repo	Received	‐	CACNFD81;	Sec.	Lending	Posted	‐	
CACNFD96;	Sec.	Lending	Received	‐	CACNFD97)	
This category includes mortgage-backed securities issued by a U.S. government agency as defined above.
Equities	(Repo	Posted	‐	CACNFD82;	Repo	Received	‐	CACNFD83;	Sec.	Lending	Posted	‐	CACNFD98;	
Sec.	Lending	Received	‐	CACNFD99)	
This category includes publicly traded and privately issued equity securities.
Corporate	Bonds	(Repo	Posted	‐	CACNFD84;	Repo	Received	‐	CACNFD85;	Sec.	Lending	Posted	‐	
CACNFE00;	Sec.	Lending	Received	‐	CACNFE01)	
326 
 

 

This category includes all debt obligations issued by any public or private entity that is not backed by the
full faith and credit of a single sovereign country; specifically, it includes supranationals.
Non‐Agency	(ABS,	RMBS)	(Repo	Posted	‐	CACNFD86;	Repo	Received	‐	CACNFD87;	Sec.	Lending	
Posted	‐	CACNFE02;	Sec.	Lending	Received	‐	CACNFE03)
This category includes asset-backed securities and residential mortgage-backed securities not issued by a
U.S. government agency as defined above.
Sovereigns	(Repo	Posted	‐	CACNFD88;	Repo	Received	‐	CACNFD89;	Sec.	Lending	Posted	‐	CACNFE04;	
Sec.	Lending	Received	‐	CACNFE05)	
This category includes debt issued by any sovereign state or organization backed by the full faith and credit
of a sovereign state other than debt issued by the U.S. Treasury or any U.S. Agency.
Other	(Repo	Posted	‐	CACNFD90;	Repo	Received	‐	CACNFD91;	Sec.	Lending	Posted	‐	CACNFE06;	Sec.	
Lending	Received	‐	CACNFE07)
This category includes any asset not defined in any of the above asset categories (US Treasury, Agency MBS,
Equities, Corporate Bonds, Non-Agency (ABS, RMBS), and Sovereigns) and excludes cash.
Cash	(Repo	Posted	‐	CACNFD92;	Repo	Received	‐	CACNFD93;	Sec.	Lending	Posted	‐	CACNFE08;	Sec.	
Lending	Received	‐	CACNFE09)
This category includes currency to be reported in U.S. dollar amount.
	
L.5.4—Derivative	position	detail	by	counterparty	legal	entity	and	netting	set/agreement	and	asset	
category	

Line	item	Instructions	
Report the information required by each column for all CCPs, G-7 sovereign countries, and the top 25
counterparties that are not CCPs or G-7 sovereign countries. Information must be reported for each
consolidated counterparty organization and associated legal entities and netting sets reported in subschedule L.5.1 with whom the respondent holds derivative positions. In the case a CCP itself is the bilateral counterparty to a derivative agreement, then the CCP must be included in the consideration of which
bi-lateral counterparties are the "top 25" as ranked by the ranking methodologies
	
Rank	Methodology	(CACSJD60)	
Indicate which ranking methodology applies to the reported counterparties. Allowable entries are 1, 2, 3, 4,
CCPQCCP, NQCCP, and G7, when the reported counterparty is qualifying CCP, non-qualifying CCP, or G7
sovereign, respectively. For purposes of determining qualifying CCP versus non-qualifying CCP, the firm
should apply the same conditions as specified in section .2 of the regulatory capital rule (12 CFR 217).
	
Rank	(CACSM899)
Report the rank of the consolidated/parent counterparty as ordered according to by rank methodology
indicated . For qualifying CCPs and non-qualifying CCPs as defined in section .2 of the regulatory capital
rule (12 CFR 217), specify rank as “QCCP” and “NQCCP”, respectively; for G-7 sovereigns, specify rank as
“G7”.
	
Consolidated/Parent	Counterparty	Name	(CACSM900)
Report the name of the consolidated group/parent level counterparty organization that is either a CCP, G-7
sovereign country, or one of the top 25 counterparties. The counterparty name should be alphabetically
recognizable rather than an alphanumeric code and must be reported consistently across sub-schedules
L.1-L.5.
327 
 

 

Consolidated/Parent	Entity	Counterparty	ID	(CACSR619)	
Report the A unique identifier (for example, alphanumeric) assigned to the counterparty name reported in
the Consolidated/Parent Counterparty Name column. Thise counterparty ID must be unique and consistent
across sub-schedules L.1-L.5 in this schedule.
Counterparty	Legal	Entity	Name	(CACS9017)
Report the unique The name of the counterparty legal entity with whom the netting agreement was
executed. This could be a subsidiary or affiliate of the consolidated/parent organization or the
consolidated/parent organization itself. This name must be alphabetically recognizable rather than an
alphanumeric code, and reported consistently across sub-schedules L.1-L.5.
Counterparty	Legal	Entity	Identifier	(LEI)	ID	(CACN9224SR621)
A unique identifier (for example, alphanumeric) assigned to the legal entity reported in the Counterparty
Legal Entity column, which must correspond to the consolidated/parent entity. This ID must be unique and
consistent across all sub schedules. Report the official globally recognized legal entity identifier (LEI) of the
counterparty legal entity. If a globally recognized LEI is unavailable, a unique identifier (for example,
alphanumeric) assigned to the legal entity reported in the Counterparty Legal Entity Name column must be
reported. This ID must be unique and consistent across sub-schedules L.1-L.5.
Netting	Set	ID	(CACSM902)
Report the A unique identifier (for example, alphanumeric) assigned to the netting set being reported.
Netting sets should map to ISDA master netting agreements. If a netting set ID is not applicable (for
example, given no netting agreement in place) this field must be populated with “NA”. This ID must be
unique and consistent across sub-schedules L.1-L.5.
Derivative	Types
Report the unstressed and stressed mark-to-market exposure amounts for the categories of derivatives
below. For any derivative contract that contains optionality, “vanilla” means American or
European style with no additional contract features. All others should be classified as either “structured” or
“exotic.” Derivative contracts that do not contain optionality are considered “vanilla.”
Derivative	Type	

Vanilla Interest Rate
Vanilla FX
Vanilla Commodity (Cash)
Vanilla Credit
Vanilla Equity
Structured Interest Rate
Flow Exotic and Structured FX
Other Cash & Physical Commodity
Other (Single Name) Credit
Structured (Multi-Name) Credit
Exotic Equity
Hybrids
Structured Products (MBS, ABS)
Other

Unstressed	MtM	 Stressed	MtM	
Exposure	
Exposure	FR	
(Severely	
Adverse)	
CACSR592
CACSR606
CACSR593
CACSR607
CACSR594
CACSR608
CACSR595
CACSR609
CACSR596
CACSR610
CACSR597
CACSR611
CACSR598
CACSR612
CACSR599
CACSR613
CACSR600
CACSR614
CACSR601
CACSR615
CACSR602
CACSR616
CACSR603
CACSR617
CACSR604
CACSR618
CACSR605
CACSR655

	

	
328 
 

Stressed	MtM	
Exposure	FR	
(Adverse)	
CACSJD61
CACSJD62
CACSJD63
CACSJD64
CACSJD65
CACSJD66
CACSJD67
CACSJD68
CACSJD69
CACSJD70
CACSJD71
CACSJD72
CACSJD73
CACSJD74

 

	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
	
Schedule	M—Balances	
Schedule	M.1	–	Quarter‐end	Balances	
For each line item listed below, report all loans and leases held for investment (HFI) or held for sale (HFS).
Include the fair value of all loans held for investment and all loans held for sale that the holding company
has elected to report at fair value under a fair value option (FVO). In column A report loans held for
investment at amortized cost (HFI at AC) in domestic offices. In column B report loans held for sale or
measured at fair value under a fair value option in domestic offices. In column C report loans held for
investment at amortized cost in international offices. In column D report loans held for sale or measured at
fair value under a fair value option in international offices. Report all dollar amounts in millions.
The balances reported here should be consistent with the balances reported on Schedule HC-C of the FR Y329 
 

 

9C for corresponding line items. For example, the reported balance of loans held in domestic offices
secured by first liens on residential real estate (line 1.a.(1).(a), column A + line 1.a.(1).(a), column B + line
1.a.(1).(b), column A, + line 1.a.(1).(b), column B) should equal the balance of such loans reported on
Schedule HC-C of the FR Y-9C (line 1.c.(2).(a), column B). A more comprehensive list of relationships
between this schedule and the FR Y-9C will be included with the technical instructions provided to all
submitting institutions.
Line	item	1.a.(1).(a),	First	mortgages	
Report first mortgage loans that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.c.(2).(a).
Do not include first lien closed-end home equity loans.
Line	item	1.a.(1).(b),	First	lien	HELOANs	
Report first lien closed-end home equity loans (HELOANs) that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, line 1.c.(2).(a). Do not include first mortgages.
Line	item	1.a.(2).(a),	Junior	lien	HELOANs	
Report junior lien closed-end home equity loans (HELOANs) that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, line 1.c.(2).(b).
Line	item	1.a.(2).(b),	HELOCs	
Report home equity lines of credit (HELOCs) that meet the loan criteria defined in FR Y-9C, Schedule HC-C,
line 1.c.(1).
Line	item	1.b.(1),	Construction	and	land	development	
Report construction and land development (CLD) loans that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, lines 1.a.(1) and 1.a.(2).
Line	item	1.b.(2),	Multifamily	real	estate	
Report multifamily real estate loans that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.d.
Line	item	1.b.(3).(a),	Owner‐occupied	nonfarm	nonresidential	
Report owner occupied nonfarm nonresidential loans that meet the loan criteria defined in FR Y-9C,
Schedule HC-C, line 1.e.(1).
Line	item	1.b.(3).(b),	Non‐owner‐occupied	nonfarm	nonresidential	
Report non-owner-occupied loans that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.e.(2).
Line	item	1.c,	Secured	by	farmland
Report loans secured by farmland that meet the loan criteria defined in FR Y-9C, Schedule HC-C, line 1.b.
Line	item	2.a,	Graded	C&I	loans	
Report graded C&I loans included in FR Y-9C, Schedule HC-C, lines 4.a and 4.b. Also include non-purpose
loans reported in lines 4.a and 4.b of Schedule HC-C of the FR Y-9C regardless of whether those loans are
graded. Do not include scored or delinquency managed small business loans, small/medium enterprise
(SME) cards, or corporate cards.
Line	item	2.b,	Small	business	loans	
Report small business loans included in FR Y-9C, Schedule HC-C, lines 2.a, 2.b, 3, 4.a, 4.b, 7, 9.a, 9.b.(2), and
10.b. Small business loans are loans that are “scored” or “delinquency managed” for which a commercial
internal risk rating is not used or that uses a different scale than other corporate loans. Do not include
330 
 

 

graded loans, SME cards, corporate cards, non-purpose loans, or loans for purchasing and carrying
securities.
Line	item	2.c,	SME	cards	and	corporate	cards	
Report SME card and corporate card loans included in FR Y-9C, Schedule HC-C, lines 4.a, 4.b, 6.a, 6.b, 6.d,
and 9.b.(2). SME cards are credit card accounts where the loan is underwritten with the sole proprietor or
primary business owner as an applicant. Corporate cards are employer-sponsored credit cards for use by a
company’s employees. Only include cards where there is any individual liability associated with the sublines such that the individual borrower characteristics are taken into account during the underwriting
decision and/or performance of the credit is reported to the credit bureaus. Do not include loans for which
a commercially-graded corporation is ultimately responsible for repayment of credit losses (such loans
should be reported as graded C&I loans or other commercial loans).
Line	item	3.a,	Bank	cards	
Report bank card loans included in FR Y-9C, Schedule HC-C, line 6.a. Do not include SME card and
corporate card loans.
Line	item	3.b,	Charge	cards	
Report charge card loans to consumers included in FR Y-9C, Schedule HC-C, line 6.a and 6.d. Do not include
SME card and corporate card loans or loans for which a commercially-graded corporation is ultimately
responsible for repayment of credit losses.

Line	item	4.a,	Auto	loans	
Report auto loans included in FR Y-9C, Schedule HC-C, line 6.c.
Line	item	4.b,	Student	loans	
Report student loans included in FR Y-9C, Schedule HC-C, lines 6.b and 6.d.
Line	item	4.c,	Non‐purpose	lending	
Report non-purpose loans included in FR Y-9C, Schedule HC-C, lines 6.b and 6.d. Non-purpose loans are
loans collateralized by securities made for any purpose other than purchasing or carrying securities.
Line	item	4.d,	Auto	leases	
Report auto leases included in FR Y-9C, Schedule HC-C, line 10.a.

Line	item	4.e,	Other	consumer	loans	
Report all other consumer loans included in FR Y-9C, Schedule HC-C, lines 6.b and 6.d that are not reported
elsewhere on this schedule.
Line	item	4.f,	Other	consumer	leases	
Report all other consumer leases included in FR Y-9C, Schedule HC-C, line 10.athat are not reported
elsewhere on this schedule.
Line	item	5.a,	Loans	to	foreign	governments	
Report graded loans to foreign governments included in FR Y-9C, Schedule HC-C, line 7. Also include nonpurpose loans reported in line 7 of Schedule HC-C of the FR Y-9C regardless of whether those loans are
graded. Do not include scored or delinquency managed loans reported as small business loans above.
331 
 

 

Line	item	5.b,	Agricultural	loans	
Report graded agricultural loans included in FR Y-9C, Schedule HC-C, line 3. Also include non-purpose
loans reported in line 3 of Schedule HC-C of the FR Y-9C regardless of whether those loans are graded. Do
not include scored or delinquency managed loans reported as small business loans above.
Line	item	5.c,	Securities	lending	
Report all loans for purchasing or carrying securities included in FR Y-9C, Schedule HC-C, line 9.b.(1).
Line	item	5.d,	Loans	to	financial	institutions	
Report graded loans to financial institutions included in FR Y-9C, Schedule HC-C, lines 2.a, 2.b, and 9.a. Also
include non-purpose loans reported in lines 2.a, 2.b, and 9.a of Schedule HC-C of the FR Y-9C regardless of
whether those loans are graded. Do not include scored or delinquency managed loans reported as small
business loans above.
Line	item	5.e,	Other	commercial	loans	
Report other graded commercial loans included in FR Y-9C, Schedule HC-C, line 9.b.(2). Also include nonpurpose loans reported in line 9.b.(2) of Schedule HC-C of the FR Y-9C regardless of whether those loans
are graded. Do not include scored or delinquency managed loans reported as small business loans above,
SME and corporate card loans reported as SME and corporate card loans, or charge cards reported as
charge cards above.
Line	item	5.f,	Other	commercial	leases	
Report other graded commercial leases included in FR Y-9C, Schedule HC-C, line 10.b. Also include nonpurpose loans reported in line 10.b of Schedule HC-C of the FR Y-9C regardless of whether those loans are
graded. Do not include scored or delinquency managed loans reported as small business loans above.

Schedule	M.2	‐	FR	Y‐9C	Reconciliation
For the select portfolios from Schedule M.1 listed below, report the balance of loans included in the
indicated line items on Schedule HC-C of the FR Y-9C. In column A report loans held for investment at
amortized cost (HFI at AC). In column B report loans held for sale (HFS) or measured at fair value under a
fair value option (FVO). Report all dollar amounts in millions.
The balances reported here should be consistent with the balances reported on Schedule M.1 for the
corresponding portfolios. For example, the reported balance of small business loans held for investment at
amortized cost (lines 1.a to 1.h, column A) should equal the balance of such loans reported on Schedule M.1
(line 2.b, column A + line 2.b, column C). A more comprehensive list of relationships between this schedule,
Schedule M.1, and the FR Y-9C will be included with the technical instructions provided to all submitting
institutions.
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1.		Small	business	loans
For each of the following line items under line 1, report the small business loans reported in line 2.b in
Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line	item	1.a - Report loans included in FR Y-9C, Schedule HC-C, lines 2.a and 2.b.
Line	item	1.b - Report loans included in FR Y-9C, Schedule HC-C, line 3.
Line	item	1.c	‐ Report loans included in FR Y-9C, Schedule HC-C, lines 4.a and 4.b.
Line	item	1.d	‐ Report loans included in FR Y-9C, Schedule HC-C, line 7.
Line	item	1.e	‐ Report loans included in FR Y-9C, Schedule HC-C, line 9.a.
Line	item	1.f	‐	Report loans included in FR Y-9C, Schedule HC-C, line 9.b.(2).
Line	item	1.g	‐	Report loans included in FR Y-9C, Schedule HC-C, line 10.b.
2.		SME	cards	and	corporate	cards
For each of the following line items under line 2, report the SME card and corporate card loans reported in
line 2.c in Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line	item	2.a - Report loans included in FR Y-9C, Schedule HC-C, lines 4.a and 4.b.
Line	item	2.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.a.
Line	item	2.c	‐ Report loans included in FR Y-9C, Schedule HC-C, line 6.b.
Line	item	2.d	‐ Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
Line	item	2.e	‐ Report loans included in FR Y-9C, Schedule HC-C, line 9.b.(2).
3.		Charge	cards
For each of the following line items under line 3, report the charge card loans reported in line 3.b in
Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line	item	3.a - Report loans included in FR Y-9C, Schedule HC-C, line 6.a.
Line	item	3.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
4.		Student	loans
For each of the following line items under line 4, report the student loans reported in line 4.b in Schedule
M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line	item	4.a - Report loans included in FR Y-9C, Schedule HC-C, line 6.b.
Line	item	4.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.
5.		Non‐purpose	consumer	lending
For each of the following line items under line 5, report the non-purpose loans reported in line 4.c in
Schedule M.1 that are included in the indicated line item on Schedule HC-C of the FR Y-9C:
Line	item	5.a - Report loans included in FR Y-9C, Schedule HC-C, line 6.b.
Line	item	5.b - Report loans included in FR Y-9C, Schedule HC-C, line 6.d.

Schedule	M.3	‐	Principal	Balance	of	Retail	Loans	in	Domestic	Offices	Held	for	Investment	at	
Amortized	Cost	by	Purchase	Credit	Impairment	and	Cumulative	Interim	Loan	Losses

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Part I
Book Value and UPB
For each line item listed below, report the book value and unpaid principal balance (UPB) of all retail loans
and leases held for investment at amortized cost (HFI at AC) in domestic offices by purchase credit
impairment status. Do not include loans held for sale or loans measured at fair value under a fair value
option. Do not include loans held in international offices. Institutions that have not adopted ASU 2016-13
should continue to report balances in columns A, B, C, and D. In column A report the book value of nonpurchased credit-impaired (non-PCI) loans. In column B report the UPB of non-PCI loans. In column C
report the book value of purchased credit-impaired (PCI) loans. In column D report the UPB of PCI loans.
Institutions that have adopted ASU 2016-13 should report in column A the book value of non-purchased
credit-deteriorated (non-PCD) loans. In column B report the UPB of non-PCD loans. In column C report the
book value of PCD loans. In column D report the UPB of PCD loans. Report all dollar amounts in millions.
For the purposes of this schedule, the book value of a loan held for investment at amortized cost is the
original cost of the loan less any write-downs associated with depreciation, amortization, or impairment
costs. The UPB of the loan is the total principal amount outstanding as of the end of the reporting period
and should not reflect any accounting based write-downs or purchased credit impairments or
deterioration.
The book value reported here should be consistent with the balances reported on Schedule M.1 for the
corresponding portfolios. For example, the book value of first mortgages held for investment at amortized
cost in domestic offices (line 1.a.(1).(a), column A + line 1.a.(1).(a), column C) should equal the balance of
such loans reported on Schedule M.1 (line 1.a.(1).(a), column A). A more comprehensive list of
relationships between this schedule and Schedule M.1 will be included with the technical instructions
provided to all submitting institutions.
1.a.(1).(a),	First	mortgages	
Report first mortgage loans that are reported in line 1.a.(1).(a) in Schedule M.1.
1.a.(1).(b),	First	lien	HELOANs	
Report first lien closed-end home equity loans (HELOANs) that are reported in line 1.a.(1).(b) in Schedule
M.1.
1.a.(2).(a),	Junior	lien	HELOANs	
Report junior lien closed-end home equity loans (HELOANs) that are reported in line 1.a.(2).(a) in Schedule
M.1.
1.a.(2).(b),	HELOCs	
Report home equity lines of credit (HELOCs) that are reported in line 1.a.(2).(b) in Schedule M.1.

2.a.,	Bank	cards	
Report bank card loans that are reported in line 3.a in Schedule M.1.
2.b.,	Charge	cards	
Report charge card loans that are reported in line 3.b in Schedule M.1.
3.a.,	Auto	loans	
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Report auto loans that are reported in line 4.a in Schedule M.1.
3.b.,	All	other	consumer	loans	and	leases
Report all other consumer loans and leases that are reported in lines 4.b, 4.c, 4.d, 4.e, and 4.f in Schedule
M.1.
Part II
Cumulative Interim Loan Losses
Cumulative interim loan losses on Part II of this schedule should be reported based on the loan’s
classification on the FR Y-9C, Schedule HC-C (i.e., based on the loan’s collateral, counterparty, or purpose).
Refer to the FR Y-9C instructions for Schedule HC-C for guidance on loan classification. For the items below,
domestic refers to portfolios held in domestic US offices (as defined in the FR Y-9C glossary), and
International refers to portfolios outside of the domestic US offices.
For each item below, report cumulative interim loan losses. Firms that have not adopted ASU 2016-13
should report only cumulative interim loan losses for PCI and non-PCI loans in items a. and b. for each
mortgage type. Firms that have adopted ASU 2016-13 should only report cumulative interim loan losses on
PCD and non-PCD loans in item c. for each mortgage type. Cumulative interim loan losses on loans held for
sale and loans held for investment under the fair value option should not be included.
Use the following definitions:
Retail Loan Categories
1.
	First	Lien	Mortgages	(in	Domestic	Offices)		
The loan population includes all domestic first lien mortgage loans directly held on the BHC’s or IHC’s
portfolio. Portfolio loans are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.2.(a).
2.
First	Lien	HELOANs	(in	Domestic	Offices)	
The Loan population includes all domestic first lien home equity loans directly held on the BHC’s or IHC’s
portfolio. Portfolio loans are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(a).	
3.
Closed‐End	Junior	Liens	(in	Domestic	Offices)		
The loan population includes all domestic loans directly held on the BHC’s or IHC’s portfolio. Portfolio loans
are all loans as defined in the FR Y-9C, Schedule HC- C, item 1.c.(2)(b).
	
4.
HELOCs	(in	Domestic	Offices)	
The loan population includes all first and junior lien domestic lines directly held on the BHC’s or IHC’s
portfolio. Portfolio lines are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.(1).
5.
First	Lien	Mortgages	and	HELOANs	(International)	
The loan population includes all non-domestic loans directly held on the BHC’s or IHC’s portfolio. Portfolio
loans are all loans as defined in the FR Y-9C, Schedule HC-C, item 1.c.(2)(a).
	
6.
Closed‐End	Junior	Liens	and	Home	Equity	Lines	Of	Credit	(International)	
The loan population includes all non-domestic loans/lines directly held on the BHC’s or IHC’s portfolio.
Portfolio loans are all loans/lines as defined in the FR Y-9C, Schedule HC –C, item 1.c.(2)(b), and item
1.c.(1).
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Cumulative Interim Loan Losses
a. Cumulative	Interim	Loan	Losses	–	Non‐PCI46	
Report the total unpaid principal balance that has been charged-off on loans in the segment through
quarter-end of the reporting period on non-PCI loans. Interim charge-offs include all cumulative partial
charge-offs/write-downs for loan that have not been fully charged-off or otherwise liquidated.
b. Cumulative	Interim	Loan	Losses	–	PCI	
Report the total interim losses through quarter-end of the reporting period that have been or are expected
to be covered by the non-accretable mark or the reserve set up post-mark (ALLL) to cover additional
shortfalls in expected cash flows on PCI loans. This measure should not include liquidated loans.
For more information on purchased credit-impaired loans, refer to the FR Y-9C, Schedule HC-N,
Memorandum item 9.
	
c. Cumulative	Interim	Loan	Losses47	
Report the total unpaid principal balance that has been charged off on loans in the segment through
quarter-end of the reporting period. Interim charge-offs include all cumulative partial charge-offs or writedowns for a loan that have not been fully charged-off or otherwise liquidated. Report this item for both PCD
and non-PCD loans.

                                                            
46
47

Items a. and b. will be eliminated upon full adoption of ASU 2016-13 and subsequent items will be renumbered.
Item c. should only be reported by institutions that have adopted ASU 2016-13.  

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Appendix	A:		FR	Y‐14Q	Supporting	Documentation 
	

Supporting	Documentation	for	Schedule	C	–	Regulatory	Capital	Instruments	
	
Additional	Information	required	for	capital	instrument	issued	(Tied	to	C.	3:	Regulatory	Capital	
Instruments	Issuances	During	Quarter)	
For all capital instruments except for common stock that were issued during the quarter, include as a
separate attachment to the schedule submission the prospectus supplement, certificate of designation, or
the indenture for the instrument.
Supporting	Documentation	for	Schedule	D	–	Regulatory	Capital	Transitions	
	
Additional	Information	Required	for	Each	Planned	Action	(Tied	to	D.6)	
In addition to the information provided within the Planned Action worksheet, BHCs and IHCs are also
required to submit additional information related to the actual progress made on its planned actions
through the report date.
At a minimum, the document should address the following:




The status of the action during the reporting quarter, and how it compares to the BHC’s or IHC’s
projection for the planned action to date. This should state whether the BHC or IHC is on-track in terms
of meeting its planned action strategy relative to the impact it projected for the corresponding action in
its most recent FR Y-14A Regulatory Capital Transitions schedule submission, and/or how it has
deviated from the strategy and the rationale behind the changes.
The supplemental document should also describe in detail any new actions the BHC or IHC has taken,
which was not part of its proposed planned actions as submitted per the FR Y-14A Regulatory Capital
Transitions schedule.

This quarterly information related to each planned action must be provided in a separate attachment and
should be titled: BHCRSSD_BHCMNEMONIC_ REGCAPTRANS_QTRLYUPDATE_ACTION#_YYMMDD.
Note that the “#” in this file name must correspond with the appropriate “Action #” in column A of the
Planned Actions Worksheet of the most recent FR Y-14A submission.

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Supporting	Documentation	for	Schedule	L	–	Counterparty		
	
The supporting document should be titled BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_YYMMDD.
BHCs and IHCs should submit separate documents for different models and/or methodologies. The
documents should be titled: BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD.
Model Type refers to Trading Issuer Default, CVA and Counterparty Default Losses. These instructions are
also provided in the FR Y-14A instructions.
The documentation should include a detailed description of the methodologies used to estimate Trading
Issuer Default, CVA, and Counterparty Default losses under the stress scenarios reported on the FR Y-14A
Summary schedule as well as methodologies used to produce the data in the FR Y-14Q CCR schedule (only	
for	the	CCAR	as	of	quarter). All information relevant for supervisors to understand the approach should
be included, and it should be transparent in the documentation where to find the response to each item.
Any differences between the BHC or IHC and the FR scenarios in methodology, position capture, or other
material elements of the loss modeling approach should be clearly described. It is expected that for some
BHCs or IHCs, there will be BHC or IHC-specific or other material methodological items in addition to those
specifically listed in the instructions. These additional items should be included in the documentation as
well.
As part of the detailed methodology document, BHCs and IHCs should provide an Executive Summary that
gives an overview of each model and answers each of the questions below. If one of the questions below is
not fully addressed in the Executive Summary, cite the document name and page number(s) of the
methodology document that fully addresses the question.
In addition to the Executive Summary, there should be a section of the methodology document devoted to
any divergence from the instructions to the Counterparty Risk sub-schedule or the FR_Y-14A Schedule. Use
this section to explain any data that is missing or not provided as requested. This section should also be
used to describe where and how judgment was used to interpret an instruction.
Supporting documentation for a given model should be submitted at the same time as the loss estimates
derived from that model. For example, Trading IDR supporting documentation should be submitted along
with FR Y-14Q Schedule F and CVA and Default Loss supporting documentation should be submitted along
with FR Y-14Q Schedule L.

Trading	Issuer	Default	Losses	(Trading	IDL)	
1. Data	and	systems		
a. What product types are included and excluded? Specifically, comment on whether equities are excluded
and what types of securitized products, if any, are excluded. Comment on the materiality of any
exclusions.
b. Are there any issuer type exclusions? Comment on the materiality of any exclusions.
c. Are there any exposure measurement or trade capture limitations impacting the Trading IDL estimate
in Item 1 on the Counterparty Risk sub-schedule in the SUMMARY_SCHEDULE or the data provided in
sub-schedules Corporate Credit-Advanced, Corporate Credit-EM, Sovereign Credit, Credit Correlation,
IDR-Corporate Credit, or IDR-Jump To Default in the FR_Y-14Q_TRADING Schedule? If so, please
elaborate in the documentation, particularly where these limitations understate losses.
d. Are there any discrepancies in position capture between the MV and Notionals reported in subschedules Corporate Credit-Advanced, Corporate Credit-EM, Sovereign Credit, Credit Correlation, or
IDR- Corporate Credit in the FR_Y-14Q_TRADING Schedule? If so, please elaborate on the discrepancies
in the documentation.
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e. Are any index or structured exposures decomposed/unbundled into single name exposures on the IDR
Corp Credit or IDR Jump to Default sub-schedules in the FR_Y-14Q_TRADING Schedule? If so, provide a
description of the exposures that are decomposed and the methodology used.
f. What types of CVA hedges are included in the FR_Y-14Q_TRADING Schedule and Item 10 on the Trading
sub-schedule of the SUMMARY_SCHEDULE (e.g., market risk hedges, counterparty risk hedges)? Which,
if any, of these hedges are excluded from the Trading IDR loss estimates (Item 1 on the Counterparty
Risk sub-schedule of the SUMMARY_SCHEDULE)? Confirm that hedges modeled in Trading IDR are
excluded from CCR IDR.
2. PD	methodology		
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an outcome in the
tail of the default distribution? If an outcome in the tail is used, what is the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative two- year PD or a
one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on stressed
expected PD or the default distribution? In the documentation, provide a breakdown of PDs (e.g., by
rating, asset category). Provide stressed PDs if a stressed PD is used, or provide PD inputs if an
outcome in the tail is used.
3. Correlation	assumptions		
a. What correlation assumptions are used in the Trading IDL models?
4. LGD	methodology		
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate volatility?
i. If a static LGD is used, were the mean LGDs stressed? What data sources and related time
periods were used to determine the LGDs? In the methodology documentation, provide the
relevant breakdown of LGDs used in the model (e.g., by ratings, asset category).
ii. If a stochastic LGD is used, elaborate on the assumptions generating the stochastic LGD in the
documentation, including assumptions on the LGD mean and volatility and rationale for
modeling choices.
5. Liquidity	horizon		
a. What liquidity horizon assumptions are used?
6. Exposure	at	default	(EAD)		
a. What Exposure at Default (EAD) is used for Trading IDL? For example, is the calculation based on
actual issuer exposures, stressed exposures, a mix of both, or something else? If exposures are
stressed, please explain how the exposures were stressed.
7. Treatment	of	gains		
a. Are any gains being reflected in the Trading IDL calculations? If so, elaborate in the documentation
how gains are treated.
8. Model	validation	and	documentation		
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a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y-14Q_Trading that
are also used in Business as Usual (BAU) production, have those models been validated as used in
BAU? If so, attach model validation documents. If not, elaborate in the documentation on any review
process.
b. For any ad-hoc models used for CCAR that would not have been previously validated, what review if
any has occurred? Elaborate in the documentation where appropriate.

CVA	Losses		
1. Divergence	from	instructions		
a. In the FR_Y-14Q_CCR or Summary Schedules, is bilateral CVA included in any element of the
submission (i.e., CVA where the counterparty default probabilities are conditional on the survival of
the BHC or IHC)? If so, elaborate in the documentation.
b. Are CVA hedges considered or included in any aspect of the firm’s CVA loss reporting or CVA
calculations? If so, please provide detail and document where CVA data are reported net of hedges on
the FR_Y_14Q_CCR Schedule or Item 2 on the Counterparty Risk sub-schedule in the
SUMMARY_SCHEDULE.
c. In calculating Stressed Net CE in sub-schedules 1a, 1b, 1c, 1d, and 1e in FR_Y-14Q_CCR, are there any
occasions where it is assumed additional collateral has been collected after the shock? If so, elaborate
in the documentation.
d. Are there any counterparties for which your firm did not fully implement the FR specification for the
EE profiles on sub-schedule 2 in the FR_Y-14Q_CCR? If so, elaborate in the documentation.
e. Are there any counterparties for which your firm substituted ‘Country of Risk’ for ‘Country of Domicile’
in the FR_Y-14Q_CCR? If so, elaborate in the documentation.
2. Data	and	systems	
In the documentation, clearly identify, describe, and comment on the materiality (in both exposure and CVA
loss terms) of any exclusions that prevent 100% capture of counterparties or trades. At a minimum,
address the questions below and elaborate in the documentation where appropriate.
a. As firms are required to report only counterparties comprising 95% of CVA on sub-schedule 1a of
FR_Y-14Q_CCR, please provide detailed information on the composition of counterparties comprising
the remaining 5%, including any relevant industry concentrations or counterparties with significant
default risk.
b. Are any counterparties on sub-schedule 1a of FR_Y-14Q_CCR excluded from sub-schedule 2? Where
specific counterparties are reported as Top counterparties by 95% of Total CVA on one sub-schedule
of the Schedule, but are not listed on other sub-schedules, list these counterparties in the
documentation by name and provide a reason for their exclusion.
c. Are any counterparties excluded from the unstressed or stressed aggregate data reported in subschedules 1e, 2, or 3 of FR_Y-14Q_CCR or the losses reported in the SUMMARY_SCHEDULE
SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk sub-schedule)? In the documentation,
elaborate on the nature, materiality, and rationale for these exclusions.
d. Please ensure that the methodology documentation includes a description of how stressed or
unstressed discount factors are included in the CVA calculation.
e. Do the expected exposure (EE) profiles, CDS spreads, PDs, LGDs, discount factors, as provided on subschedule 2, come from the same systems as those used for the calculation of CVA losses as provided in
the SUMMARY_SCHEDULE (Item 2 in the Counterparty Risk sub-schedule)? If not, elaborate in the
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f.

g.
h.

i.

j.

k.
l.

m.

documentation.
For unstressed and stressed CVA reported in the FR_Y-14Q_CCR Schedule, which counterparties,
counterparty types, or trade types are calculated offline or using separate methodologies? Why are
they calculated offline or with a different methodology? Elaborate in the documentation.
Are any add-ons used to calculate stressed CVA in the FR_Y-14Q_CCR Schedule? Elaborate regarding
the nature and rationale for each type of add-on in the documentation.
Are there any additional/ offline CVA reserves reported in sub-schedule 1e in theFR_Y-14Q_CCR
Schedule? If so, elaborate about the nature of these reserves in the documentation. Explain what
counterparties, counterparty types, or trade types are included, why are they calculated as reserves,
and how they are stressed.
Are there any exposure measurement or product capture limitations impacting the loss estimate in
Item 2 on the Counterparty Risk sub-schedule in the SUMMARY_SCHEDULE? If so, make sure to
elaborate in the documentation, particularly where these limitations understate losses.
Does the firm conduct a reconciliation between the sum of items 15(a) in Schedule HC-L of the FRY-9C
and the aggregate unstressed Gross CE on sub-schedule 1e of the FRY-14Q_CCR Schedule? Note that
the figures in the FRY-9C are called "net current credit exposure", as the "net" refers to counterparty
netting.
Are all sensitivities/ slides provided as requested? If slides are not provided as requested in the FR_Y14Q_CCR Schedule, elaborate in the documentation why they are missing or not provided correctly.
Are the sensitivities/ slides provided in sub-schedule 4 of FR_Y-14Q_CCR sourced from the same
calculation engine and systems as used for the firm's loss estimates (Item 2 in the Counterparty Risk
sub-schedule in the SUMMARY_SCHEDULE)? If not, elaborate in the documentation.
Elaborate on how sensitivities/ slides in sub-schedule 4 of FR_Y-14Q_CCR were determined to be
material. What qualifies a risk factor as immaterial?

3. LGD	methodology		
a. For the LGD used to calculate PD, are market implied recovery rates used? If not, elaborate on the
source of the LGD assumption in the methodology documentation.
b. Is the same recovery/LGD used in the CVA calculation as is used to calculate PDs from the CDS spread?
If not, in the documentation provide a detailed rationale and backup data to support the use of a
different LGD, and provide the source of the LGD used to calculate CVA.
4. Exposure	at	default	(EAD)		
a. What Margin Period of Risk (MPOR) assumptions are used for unstressed and stressed CVA?
b. Are collateral values stressed in the numbers reported in the FR_Y_14Q_CCR Schedule or Items 2 or 3
on the Counterparty Risk sub-schedule in the SUMMARY_SCHEDULE? If so, elaborate on the stress
assumptions applied.
c. In the FR_Y-14Q_CCR sub-schedule 2, for the BHC or IHC specification, are downgrade triggers
modeled in the exposure profiles?
5. Application	of	shocks		
a. Are the shocks applied to CVA (for calculating Item 2 in the Counterparty Risk sub-schedule in the
SUMMARY_SCHEDULE as well as the Stressed figures reported in FR_Y-14Q_CCR) the same as those
applied to the Trading Book (Item 10 in the Trading sub-schedule in the SUMMARY_SCHEDULE)?
Where they differ, or where shocks applied diverge from the FR shock scenario, elaborate in the
documentation.

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6. Model	validation	and	documentation		
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Yb. 14Q_CCR that are also used in Business as Usual (BAU) production, have those models been validated
as used in BAU? If so, attach model validation documents. If not, elaborate in the documentation on any
review process.
c. For any ad-hoc models used for CCAR that would not have been previously validated, what review if
any has occurred? Elaborate in the documentation where appropriate.
Counterparty	Default	Losses	(CDL)
1. Data	and	systems		
a. Are there any exposure capture or measurement limitations related to counterparties, products or
trades impacting the loss estimate in Item 3 on the Counterparty Risk sub-schedule in the
SUMMARY_SCHEDULE? If so, please elaborate in the documentation, particularly where these
limitations understate losses.
b. What types of CVA hedges are included in CDL? Confirm that hedges modeled were excluded from
Trading IDL.
2. PD	methodology	(if	applicable)	
	
a. How is the severity of default risk treated? Is a stressed expected PD used, or is it an outcome in the
tail of the default distribution? If an outcome in the tail is used, what is the tail percentile?
b. How is default risk represented over the horizon of the stress test? Is a cumulative two- year PD or a
one-year PD used as a model input? How is migration risk captured?
c. What data sources and related time periods are used to generate the assumptions on stressed
expected PD or the default distribution? In the documentation, provide a breakdown of PDs (e.g., by
rating, counterparty type). Provide stressed PDs if a stressed PD is used, or provide PD inputs if an
outcome in the tail is used.
3. Correlation	assumptions	(if	applicable)	
a. What if any correlation assumptions are used calculating Default Losses?
4. LGD	methodology	(if	applicable)	
a. Do the models assume a static LGD or a stochastic LGD with a non-zero recovery rate volatility?
b. If a static LGD is used, are the mean LGDs stressed? What data sources and related time periods are
used to determine the LGDs? In the methodology documentation, provide the relevant breakdown of
LGDs used in the model (e.g., by ratings, counterparty type).
c. If a stochastic LGD is used, elaborate on the assumptions generating the stochastic LGD in the
documentation, including assumptions on the LGD mean and volatility and rationale for modeling
choices.
5. Liquidity	horizon	(if	applicable)	
a. What liquidity horizon assumptions are used?
6. Exposure	at	default	(EAD)	(if	applicable)	
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a. Provide an overview of how EAD is modeled for Default Losses?
b. Are any downgrade triggers assumed in the Default Loss model? If so, elaborate in the documentation.
c. What Margin Period of Risk (MPOR) assumptions are modeled in Default Losses?
7. Treatment	of	gains	(if	applicable)	
a. Are any gains being reflected in the Default Losses calculations? If so, elaborate in the documentation
how gains are treated.
8. Model	validation	and	documentation		
a. For any models used to report numbers in the SUMMARY_SCHEDULE or the FR_Y-14Q_CCR that are
also used in Business as Usual (BAU) production, have those models been validated as used in BAU? If
so, attach model validation documents. If not, elaborate in the documentation on any review process.
b. For any ad-hoc models used for CCAR that would not have been previously validated, what review if
any has occurred? Elaborate in the documentation where appropriate.
9. Other	
As the firm considers any additional firm-wide losses beyond OTC derivative and SFT transaction losses
that could result from the default or potential default of a counterparty or counterparties, please detail and
document those losses.

Supplemental	Data	Collection	
	
Please provide a detailed description of the data provided in each table of the supplemental data collection
schedule.
 

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