Form FR Y-15 FR Y-15 Systemic Risk Report

FR Y-15
OMB Number 7100-0352
Approval expires February 28, 2021
Page 1 of 14

Board of Governors of the Federal Reserve System

Systemic Risk Report—FR Y-15

Report at the close of business as of the last calendar day of the quarter.
This Report is required by law: Section 5 of the Bank Holding
Company Act of 1956; section 10(b) of the Homeowners' Loan
Act; and section 8 of the International Banking Act of 1978.

The Federal Reserve may not conduct or sponsor, and an
organization (or a person) is not required to respond to, a
collection of information unless it displays a currently valid OMB
control number.

NOTE: Each banking organization's board of directors and senior
management are responsible for establishing and maintaining an
effective system of internal control, including controls over the
Systemic Risk Report. The Systemic Risk Report is to be prepared in
accordance with instructions provided by the Federal Reserve System.
The Systemic Risk Report must be signed and attested by the Chief
Financial Officer (CFO) of the reporting banking organization (or by
the individual performing this equivalent function). For foreign banking organizations, the Systemic Risk Report must be signed and
attested by an authorized officer of the foreign banking organization.

Date of Report:
Month / Day / Year (RISK 9999)

I, the undersigned CFO (or equivalent/authorized officer) of the
named banking organization, attest that the Systemic Risk Report
(including the supporting schedules) for this report date has been
prepared in conformance with the instructions issued by the
Federal Reserve System and is true and correct to the best of my
knowledge and belief.

Printed Name of Chief Financial Officer (or Equivalent/Authorized Officer) (RISK C490)

Legal Title of Holding Company or Foreign Banking Organization (RSSD 9017)

Signature of Chief Financial Officer (or Equivalent/Authorized Officer) (RISK H321)

(Mailing Address of the Holding Company or Foreign Banking Organization)
Street / PO Box (RSSD 9028)

Date of Signature (MM/DD/YYYY) (RISK J196)

City (RSSD 9130)

State (RSSD 9200)

Zip Code (RSSD 9220)

Person to whom questions about this report should be directed:

Name / Title (RISK 8901)

Area Code / Phone Number (RISK 8902)

Area Code / FAX Number (RISK 9116)

E-mail Address of Contact (RISK 4086)

Banking organizations must maintain in their files a manually signed and attested printout of the data submitted.
The ongoing public reporting burden for this information collection is estimated to average 405 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 (7100-0352), Washington, DC 20503.

09/2020

FR Y-15
Page 2 of 14

Schedule A—Size Indicator
U.S. Dollar Amounts in Thousands RISK
Total Exposures
1. Derivative exposures:
a. Current exposure of derivative contracts .........................................................................
b. Potential future exposure (PFE) of derivative contracts ......................................................
c. Gross-up for derivatives collateral..................................................................................
d. Effective notional amount of written credit derivatives ........................................................
e. Cash variation margin included as an on-balance sheet receivable ......................................
f. Exempted central counterparty legs of client-cleared transactions included in items 1(a) and 1(b).........
g. Effective notional amount offsets and PFE adjustments for sold credit protection.....................
h. Total derivative exposures (sum of items 1.a. through 1.d, minus the sum of
items 1.e through 1.g).................................................................................................
2. Securities financing transaction (SFT) exposures:
a. Gross SFT assets ......................................................................................................
b. Counterparty credit risk exposure for SFTs ......................................................................
c. SFT indemnification and other agent-related exposures .....................................................
d. Gross value of offsetting cash payables ..........................................................................
e. Total SFT exposures (sum of items 2.a through 2.c, minus item 2.d) .....................................
3. Other on-balance sheet exposures:
a. Other on-balance sheet assets .....................................................................................
b. Regulatory adjustments...............................................................................................
4. Other off-balance sheet exposures:
a. Gross notional amount of items subject to a 0% credit conversion factor (CCF) ......................
b. Gross notional amount of items subject to a 20% CCF.......................................................
c. Gross notional amount of items subject to a 50% CCF.......................................................
d. Gross notional amount of items subject to a 100% CCF .....................................................
e. Credit exposure equivalent of other off-balance sheet items (sum of 0.1 times item 4.a,
0.2 times item 4.b, 0.5 times item 4.c, and item 4.d) ..........................................................
5. Total exposures prior to regulatory deductions (sum of items 1.h, 2.e, 3.a, and 4.e) ....................

Amount

M337
M339
Y822
M340
Y823
Y824
Y825

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.

Y826

1.h.

M334
N507
Y827
Y828
Y829

2.a.
2.b.
2.c.
2.d.
2.e.

Y830
M349

3.a.
3.b.

M342
M718
M346
M347

4.a.
4.b.
4.c.
4.d.

Y831

4.e.
5.

Y832
0=No

6. Does item 5 represent an average value over the reporting period? (Enter "1" for Yes; enter "0" for No.) ...

RISK

1=Yes FC52

6.

Memoranda
U.S. Dollar Amounts in Thousands
1. Securities received as collateral in securities lending ............................................................
2. Cash collateral received in conduit securities lending transactions...........................................
3. Credit derivatives sold net of related credit protection bought .................................................
4. Total consolidated assets................................................................................................
5. Total off-balance sheet exposures (item 5 minus M.4.) ..........................................................
6. Total nonbank assets. ....................................................................................................

RISK
M335
M336
M341

Amount

M.1.
M.2.
M.3.
M.4.
M.5.
M.6.

2170
KW01
KY47

Schedule B—Interconnectedness Indicators
U.S. Dollar Amounts in Thousands
Intra-Financial System Assets
1. Funds deposited with or lent to other financial institutions ......................................................
a. Certificates of deposit .................................................................................................
2. Unused portion of committed lines extended to other financial institutions .................................
3. Holdings of securities issued by other financial institutions:
a. Secured debt securities ...............................................................................................
b. Senior unsecured debt securities ..................................................................................
c. Subordinated debt securities ........................................................................................
d. Commercial paper......................................................................................................

RISK

Amount

M351
M355
J458

1.
1.a.
2.

M352
M353
M354
M345

3.a.
3.b.
3.c.
3.d.
06/2020

FR Y-15
Page 3 of 14

Schedule B—Continued
U.S. Dollar Amounts in Thousands RISK
Intra-Financial System Assets—Continued
e. Equity securities .........................................................................................................
f. Offsetting short positions in relation to the specific equity securities included in item 3.e ............
4. Net positive current exposure of securities financing transactions (SFTs) with other financial institutions ..
5. Over-the-counter (OTC) derivative contracts with other financial institutions that have a net positive
fair value:
a. Net positive fair value ..................................................................................................
b. Potential future exposure ..............................................................................................
6. Total intra-financial system assets (sum of items 1, 2 through 3.e, 4, 5.a, and 5.b, minus item 3.f) ...
Intra-Financial System Liabilities
7. Deposits due to other financial institutions:
a. Deposits due to depository institutions.............................................................................
b. Deposits due to non-depository financial institutions ...........................................................
8. Borrowings obtained from other financial institutions...............................................................
9. Unused portion of committed lines obtained from other financial institutions.................................
10. Net negative current exposure of SFTs with other financial institutions ......................................
11. OTC derivative contracts with other financial institutions that have a net negative fair value:
a. Net negative fair value ..................................................................................................
b. Potential future exposure ..............................................................................................
12. Total intra-financial system liabilities (sum of items 7.a through 11.b) ........................................
Securities Outstanding
13. Secured debt securities ...................................................................................................
14. Senior unsecured debt securities .......................................................................................
15. Subordinated debt securities ............................................................................................
16. Commercial paper ..........................................................................................................
17. Certificates of deposit......................................................................................................
18. Common equity .............................................................................................................
19. Preferred shares and other forms of subordinated funding not captured in item 15.......................
20. Total securities outstanding (sum of items 13 through 19).......................................................

Amount

M356
M357
M358

3.e.
3.f.
4.

M359
M360
M362

5.a.
5.b.
6.

M363
M364
Y833
M365
M366

7.a.
7.b.
8.
9.
10.

M367
M368
M370

11.a.
11.b.
12.

M371
M372
M373
2309
M374
M375
N509
M376

13.
14.
15.
16.
17.
18.
19.
20.

Memoranda
U.S. Dollar Amounts in Thousands RISK
1. Standby letters of credit extended to other financial institutions ................................................. Y834

Amount

M.1.

Schedule C—Substitutability Indicators
U.S. Dollar Amounts in Thousands
Payments Activity
1. Payments made in the last four quarters:
a. Australian dollars (AUD) ...............................................................................................
b. Brazilian real (BRL) .....................................................................................................
c. Canadian dollars (CAD) ...............................................................................................
d. Swiss francs (CHF) .....................................................................................................
e. Chinese yuan (CNY)....................................................................................................
f. Euros (EUR) ..............................................................................................................
g. British pounds (GBP) ...................................................................................................
h. Hong Kong dollars (HKD) .............................................................................................
i. Indian rupee (INR).......................................................................................................
j. Japanese yen (JPY) ....................................................................................................
k. Mexican pesos (MXN) ...................................................................................................
l. Swedish krona (SEK)...................................................................................................
m. United States dollars (USD) .........................................................................................
2. Payments activity (sum of items 1.a through 1.m) .................................................................

RISK

M377
M378
M379
M380
M381
M382
M383
M384
M385
M386
Y835
M387
M388
M390

Amount

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
1.k.
1.l.
1.m.
2.
06/2020

FR Y-15
Page 4 of 14

Schedule C—Continued
U.S. Dollar Amounts in Thousands
Assets Under Custody
3. Assets held as a custodian on behalf of customers................................................................
Underwritten Transactions in Debt and Equity Markets
4. Equity underwriting activity ...............................................................................................
5. Debt underwriting activity .................................................................................................
6. Total underwriting activity (sum of items 4 and 5) ..................................................................

RISK

Amount

M405

3.

M406
M407
M408

4.
5.
6.

Memoranda
U.S. Dollar Amounts in Thousands
1. New Zealand dollars (NZD)...............................................................................................
2. Russian rubles (RUB) ......................................................................................................
3. Payments made in the last four quarters in all other currencies .................................................
4. Unsecured settlement/clearing lines provided .......................................................................
5. Securities traded in the last four quarters:
a. Securities issued by public sector entities ........................................................................
b. Other fixed income securities ........................................................................................
c. Listed equities ............................................................................................................
d. Other securities ..........................................................................................................
6. Trading volume (sum of items M.5.a through M.5.d) ..............................................................

RISK
Y836
Y837
M389
M436

Amount

M.1.
M.2.
M.3.
M.4.
M.5.
M.5.a.
M.5.b.
M.5.c.
M.5.d.
M.6.

KW46
KW48
KW50
KW52
KY51

Schedule D—Complexity Indicators
U.S. Dollar Amounts in Thousands
Notional Amount of Over-the-Counter (OTC) Derivative Contracts
1. OTC derivative contracts cleared through a central counterparty ..............................................
2. OTC derivative contracts settled bilaterally ..........................................................................
3. Total notional amount of OTC derivative contracts (sum of items 1 and 2)..................................
Trading and Available-for-Sale (AFS) Securities
4. Trading securities ...........................................................................................................
5. AFS securities ...............................................................................................................
6. Equity securities with readily determinable fair values not held for trading ..................................
7. Total trading, AFS and equity securities with readily determinable fair values not held for trading
(sum of items 4, 5, and 6) ................................................................................................
8. Trading, AFS and equity securities with readily determinable fair values not held for trading that
meet the definition of level 1 liquid assets ...........................................................................
9. Trading, AFS and equity securities with readily determinable fair values not held for trading that
meet the definition of level 2 liquid assets, with haircuts .........................................................
10. Total adjusted trading, AFS and equity securities with readily determinable fair values not held
for trading (item 7 minus items 8 and 9) ..............................................................................
Level 3 Assets
11. Assets valued for accounting purposes using Level 3 measurement inputs ................................

RISK

Amount

M409
M410
M411

1.
2.
3.

M412
1773
JA22

4.
5.
6.

M414

7.

N510

8.

N511

9.

N255

10.

G506

11.

Memoranda
U.S. Dollar Amounts in Thousands RISK
1. Held-to-maturity securities ................................................................................................ 1754

Amount

M.1.

06/2020

FR Y-15
Page 5 of 14

Schedule E—Cross-Jurisdictional Activity Indicators
U.S. Dollar Amounts in Thousands RISK
Cross-Jurisdictional Claims
1. Foreign claims on an ultimate-risk basis ..............................................................................
Cross-Jurisdictional Liabilities
2. Foreign liabilities (excluding local liabilities in local currency) ...................................................
a. Any foreign liabilities to related offices included in item 2....................................................
3. Local liabilities in local currency.........................................................................................
4. Total cross-jurisdictional liabilities (sum of items 2 and 3, minus item 2.a) ..................................
5. Cross-jurisdictional activity (sum of items 1 and 4) ................................................................

Amount

M422

1.

M423

2.
2.a.
3.
4.
5.

M424
M425
M426
KY49

Memoranda
U.S. Dollar Amounts in Thousands
1. Foreign derivative claims on an ultimate-risk basis .................................................................
2. Total cross-jurisdictional claims (sum of items 1 and M.1) ........................................................
3. Foreign derivative liabilities on an immediate-counterparty basis ...............................................
4. Consolidated foreign liabilities on an immediate-counterparty basis excluding derivative liabilities ....
5. Total cross-jurisdictional liabilities, including derivatives (sum of items M.3 and M.4) .....................

RISK
KW54
KW55
KW56
KW57
KY50

Amount

RISK

Amount

M.1.
M.2.
M.3.
M.4.
M.5.

Schedule F—Ancillary Indicators
U.S. Dollar Amounts in Thousands
Ancillary Indicators
1. Total liabilities................................................................................................................
2. Retail funding ................................................................................................................
3. Total gross revenue ........................................................................................................
4. Total net revenue ...........................................................................................................
5. Foreign net revenue........................................................................................................
6. Gross value of cash provided and gross fair value of securities provided in securities financing
transactions (SFTs) ........................................................................................................
7. Gross value of cash received and gross fair value of securities received in SFTs.........................
8. Gross positive fair value of over-the-counter (OTC) derivative contracts ....................................
9. Gross negative fair value of OTC derivative contracts ............................................................

2948
M427
M430
M428
M429

1.
2.
3.
4.
5.

M432

6.
7.
8.
9.

M433
M434
M435

Number in Single Units RISK
10. Number of jurisdictions .................................................................................................................... M437

10.

07/2020

FR Y-15
Page 6 of 14

Schedule G—Short-Term Wholesale Funding Indicator
(Column A)
Remaining Maturity of
30 Days or Less

U.S. Dollar Amounts in Thousands RISK
Short-term Wholesale Funding
1. First tier:
a. Funding secured by level 1 liquid assets .........................................
b. Retail brokered deposits and sweeps .............................................
c. Unsecured wholesale funding obtained outside of the financial sector ...
d. Firm short positions involving level 2B liquid assets or non-HQLA ........
e. Total first tier short-term wholesale funding (sum of items 1.a through 1.d)..
2. Second tier:
a. Funding secured by level 2A liquid assets .......................................
b. Covered asset exchanges (level 1 to level 2A) .................................
c. Total second tier short-term wholesale funding (sum of items 2.a. and 2.b)..
3. Third tier:
a. Funding secured by level 2B liquid assets .......................................
b. Other covered asset exchanges ....................................................
c. Unsecured wholesale funding obtained within the financial sector ........
d. Total third tier short-term wholesale funding (sum of items 3.a through 3.c)..
4. All other components of short-term wholesale funding...........................
5. Total short-term wholesale funding, by maturity
(weighted sum of items 1.e, 2.c, 3.d, and 4) ........................................

Amount

(Column B)
Remaining Maturity of
31 to 90 Days
RISK

Amount

(Column C)
Remaining Maturity of
91 to 180 Days
RISK

Amount

(Column D)
Remaining Maturity of
181 to 365 Days
RISK

Amount

Y838
Y842
Y846
Y850
Y854

Y839
Y843
Y847
Y851
Y855

Y840
Y844
Y848
Y852
Y856

Y841
Y845
Y849
Y853
Y857

1.a.
1.b.
1.c.
1.d.
1.e.

Y858
Y862
Y866

Y859
Y863
Y867

Y860
Y864
Y868

Y861
Y865
Y869

2.a.
2.b.
2.c.

Y870
Y874
Y878
Y882
Y886

Y871
Y875
Y879
Y883
Y887

Y872
Y876
Y880
Y884
Y888

Y873
Y877
Y881
Y885
Y889

3.a.
3.b.
3.c.
3.d.
4.

Y890

Y891

Y892

Y893

5.

U.S. Dollar Amounts in Thousands RISK
6. Total short-term wholesale funding (sum of item 5, Columns A through D) ................................................................................................ Y894
7. Average risk-weighted assets .......................................................................................................................................................... Y895

Amount

RISK
8. Short-term wholesale funding metric (item 6 divided by item 7) ............................................................................................................... Y896

Percentage

6.
7.

8.

03/2017

FR Y-15
Page 7 of 14

Schedule H—FBO Size Indicator
(Column A)
U.S. Intermediate
Holding Company

U.S. Dollar Amounts in Thousands
Total Exposures
1. Derivative exposures:
a. Current exposure of derivative contracts .........................................
b. Potential future exposure (PFE) of derivative contracts ......................
c. Gross-up for derivatives collateral..................................................
d. Effective notional amount of written credit derivatives ........................
e. Cash variation margin included as an on-balance sheet receivable ......
f. Exempted central counterparty legs of client-cleared transactions included in
items 1(a) and 1(b) .......................................................................
g. Effective notional amount offsets and PFE adjustments for sold
credit protection .........................................................................
h. Total derivative exposures (sum of items 1.a. through 1.d, minus the
sum of items 1.e through 1.g) .......................................................
2. Securities financing transaction (SFT) exposures:
a. Gross SFT assets ......................................................................
b. Counterparty credit risk exposure for SFTs ......................................
c. SFT indemnification and other agent-related exposures .....................
d. Gross value of offsetting cash payables ..........................................
e. Total SFT exposures (sum of items 2.a through 2.c, minus item 2.d) .....
3. Other on-balance sheet exposures:
a. Other on-balance sheet assets .....................................................
b. Regulatory adjustments...............................................................
4. Other off-balance sheet exposures:
a. Gross notional amount of items subject to a 0% credit conversion
factor (CCF)..............................................................................
b. Gross notional amount of items subject to a 20% CCF.......................
c. Gross notional amount of items subject to a 50% CCF.......................
d. Gross notional amount of items subject to a 100% CCF .....................
e. Credit exposure equivalent of other off-balance sheet items (sum of 0.1
times item 4.a, 0.2 times item 4.b, 0.5 times item 4.c, and item 4.d)......
5. Total exposures prior to regulatory deductions (sum of items 1.h, 2.e, 3.a,
and 4.e) ......................................................................................

RISI

U.S. Dollar Amounts in Thousands
1. Securities received as collateral in securities lending ............................
2. Cash collateral received in conduit securities lending transactions...........
3. Credit derivatives sold net of related credit protection bought .................
4. Total assets .................................................................................
5. Total off-balance sheet exposures (item 5 minus M.4.) ..........................
6. Total nonbank assets. ....................................................................

RISO

Amount

M337
M339
Y822
M340
Y823

M337
M339
Y822
M340
Y823

1.a.
1.b.
1.c.
1.d.
1.e.

Y824

Y824

1.f.

Y825

Y825

1.g.

Y826

Y826

1.h.

M334
N507
Y827
Y828

M334
N507
Y827
Y828

Y829

Y829

2.a.
2.b.
2.c.
2.d.
2.e.

Y830
M349

Y830
M349

3.a.
3.b.

M342
M718
M346
M347

M342
M718
M346
M347

4.b.
4.c.
4.d.

Y831

Y831

4.e.

Y832

Y832

5.

4.a.

6. Does item 5 represent an average value over the reporting period?
(Enter "1" for Yes; enter "0" for No.).............................................................

Memoranda

Amount

(Column B)
Combined U.S.
Operations

RISI

0=No RISO

1=Yes FC52

1=Yes FC52

(Column A)
U.S. Intermediate
Holding Company

(Column B)
Combined U.S.
Operations

RISI
M335
M336
M341
2170
KW01
KY47

0=No

Amount

RISO
M335
M336
M341
2170
KW01
KY47

6.

Amount

M.1.
M.2.
M.3.
M.4.
M.5.
M.6.

06/2020

FR Y-15
Page 8 of 14

Schedule I—FBO Interconnectedness Indicators
(Column A)
U.S. Intermediate
Holding Company

U.S. Dollar Amounts in Thousands
Intra-Financial System Assets
1. Funds deposited with or lent to other financial institutions ......................
a. Certificates of deposit .................................................................
2. Unused portion of committed lines extended to other financial institutions ..
3. Holdings of securities issued by other financial institutions:
a. Secured debt securities ...............................................................
b. Senior unsecured debt securities ..................................................
c. Subordinated debt securities ........................................................
d. Commercial paper......................................................................
e. Equity securities ........................................................................
f. Offsetting short positions in relation to the specific equity securities
included in item 3.e ....................................................................
4. Net positive current exposure of securities financing transactions (SFTs) with
other financial institutions..................................................................
5. Over-the-counter (OTC) derivative contracts with other financial
institutions that have a net positive fair value:
a. Net positive fair value .................................................................
b. Potential future exposure .............................................................
6. Total intra-financial system assets (sum of items 1, 2 through 3.e, 4, 5.a,
and 5.b, minus item 3.f) ..................................................................
Intra-Financial System Liabilities
7. Deposits due to other financial institutions:
a. Deposits due to depository institutions............................................
b. Deposits due to non-depository financial institutions ..........................
8. Borrowings obtained from other financial institutions .............................
9. Unused portion of committed lines obtained from other financial institutions...
10. Net negative current exposure of SFTs with other financial institutions .....
11. OTC derivative contracts with other financial institutions that have a net
negative fair value:
a. Net negative fair value .................................................................
b. Potential future exposure .............................................................
12. Total intra-financial system liabilities (sum of items 7.a through 11.b) .......
Securities Outstanding
13. Secured debt securities ..................................................................
14. Senior unsecured debt securities ......................................................
15. Subordinated debt securities ...........................................................
16. Commercial paper .........................................................................
17. Certificates of deposit.....................................................................
18. Common equity ............................................................................
19. Preferred shares and other forms of subordinated funding not captured in
item 15........................................................................................
20. Total securities outstanding (sum of items 13 through 19)......................

RISI

Amount

(Column B)
Combined U.S.
Operations
RISO

Amount

M351
M355
J458

M351
M355
J458

1.
1.a.
2.

M352
M353
M354
M345
M356

M352
M353
M354
M345
M356

3.a.
3.b.
3.c.
3.d.
3.e.

M357

M357

3.f.

M358

M358

4.

M359
M360

M359
M360

5.a.
5.b.

M362

M362

6.

M363
M364
Y833
M365
M366

M363
M364
Y833
M365
M366

7.a.
7.b.
8.
9.
10.

M367
M368
M370

M367
M368
M370

11.a.
11.b.
12.

M371

M371

M372
M373
2309
M374
M375

M372
M373
2309
M374
M375

13.
14.
15.
16.
17.
18.

N509
M376

N509
M376

19.
20.

Memoranda
U.S. Dollar Amounts in Thousands RISI
1. Standby letters of credit extended to other financial institutions ................ Y834

Amount

RISO
Y834

Amount

M.1.

06/2020

FR Y-15
Page 9 of 14

Schedule J—FBO Substitutability Indicators
(Column A)
U.S. Intermediate
Holding Company

U.S. Dollar Amounts in Thousands
Payments Activity
1. Payments made in the last four quarters:
a. Australian dollars (AUD) ..............................................................
b. Brazilian real (BRL) ....................................................................
c. Canadian dollars (CAD) ..............................................................
d. Swiss francs (CHF) ....................................................................
e. Chinese yuan (CNY)...................................................................
f. Euros (EUR) .............................................................................
g. British pounds (GBP) ..................................................................
h. Hong Kong dollars (HKD) ............................................................
i. Indian rupee (INR)......................................................................
j. Japanese yen (JPY) ...................................................................
k. Mexican pesos (MXN) ..................................................................
l. Swedish krona (SEK)..................................................................
m. United States dollars (USD) .........................................................
2. Payments activity (sum of items 1.a through 1.m) ................................
Assets Under Custody
3. Assets held as a custodian on behalf of customers...............................
Underwritten Transactions in Debt and Equity Markets
4. Equity underwriting activity ..............................................................
5. Debt underwriting activity ................................................................
6. Total underwriting activity (sum of items 4 and 5) .................................

RISI

Amount

(Column B)
Combined U.S.
Operations
RISO

Amount

M377
M378

M377
M378

M379

M379

M380
M381
M382
M383

M380
M381
M382
M383

M384

M384

M385
M386
Y835

M385
M386
Y835

M387

M387

M388
M390

M388
M390

1.a.
1.b.
1.c.
1.d.
1.e.
1.f.
1.g.
1.h.
1.i.
1.j.
1.k.
1.l.
1.m.
2.

M405

M405

3.

M406
M407
M408

M406
M407
M408

4.
5.
6.

Memoranda
U.S. Dollar Amounts in Thousands
1. New Zealand dollars (NZD)..............................................................
2. Russian rubles (RUB) .....................................................................
3. Payments made in the last four quarters in all other currencies ................
4. Unsecured settlement/clearing lines provided ......................................
5. Securities traded in the last four quarters:
a. Securities issued by public sector entities .......................................
b. Other fixed income securities .......................................................
c. Listed equities ...........................................................................
d. Other securities .........................................................................
6. Trading volume (sum of items M.5.a through M.5.d) .............................

RISI
Y836
Y837
M389
M436
KW46
KW48
KW50
KW52
KY51

Amount

RISO
Y836
Y837
M389
M436
KW46
KW48
KW50
KW52
KY51

Amount

M.1.
M.2.
M.3.
M.4.
M.5.
M.5.a.
M.5.b.
M.5.c.
M.5.d.
M.6.

06/2020

FR Y-15
Page 10 of 14

Schedule K—FBO Complexity Indicators
(Column A)
U.S. Intermediate
Holding Company

U.S. Dollar Amounts in Thousands
Notional Amount of Over-the-Counter (OTC) Derivative Contracts
1. OTC derivative contracts cleared through a central counterparty .............
2. OTC derivative contracts settled bilaterally .........................................
3. Total notional amount of OTC derivative contracts (sum of items 1 and 2)..
Trading and Available-for-Sale (AFS) Securities
4. Trading securities ..........................................................................
5. AFS securities ..............................................................................
6. Equity securities with readily determinable fair values not held
for trading ...................................................................................
7. Total trading, AFS and equity securities with readily determinable fair
values not held for trading (sum of items 4, 5, and 6) ............................
8. Trading, AFS and equity securities with readily determinable fair values
not held for trading that meet the definition of level 1 liquid assets...........
9. Trading, AFS and equity securities with readily determinable fair values
not held for trading that meet the definition of level 2 liquid assets,
with haircuts ................................................................................
10. Total adjusted trading, AFS and equity securities with readily determinable
fair values not held for trading (item 7 minus items 8 and 9) ...................
Level 3 Assets
11. Assets valued for accounting purposes using Level 3
measurement inputs ......................................................................

RISI

Amount

(Column B)
Combined U.S.
Operations
RISO

Amount

M409
M410
M411

M409
M410
M411

1.
2.
3.

M412

M412

1773

1773

4.
5.

JA22

JA22

6.

M414

M414

7.

N510

N510

8.

N511

N511

9.

N255

N255

10.

G506

G506

11.

Memoranda
U.S. Dollar Amounts in Thousands RISI
1. Held-to-maturity securities ............................................................... 1754

Amount

RISO
1754

Amount

M.1.

Schedule L—FBO Cross-Jurisdictional Activity Indicators
(Column A)
U.S. Intermediate
Holding Company

U.S. Dollar Amounts in Thousands
Cross-Jurisdictional Claims
1. Foreign claims on an ultimate-risk basis .............................................
a. Adjusted foreign claims on an ultimate-risk basis ..............................
Cross-Jurisdictional Liabilities
2. Foreign liabilities (excluding local liabilities in local currency) ..................
a. Any foreign liabilities to foreign offices included in item 2....................
3. Local liabilities in local currency........................................................
4. Total cross-jurisdictional liabilities (sum of items 2 and 3, minus item 2.a) ..
5. Cross-jurisdictional activity (sum of items 1(a) and 4) ............................

RISI

Amount

(Column B)
Combined U.S.
Operations
RISO

M422

M422

LA95

LA95

M423

M423

M424

M424

M425
M426
KY49

M425
M426
KY49

Amount

1.
1.a.
2.
2.a.
3.
4.
5.

Memoranda
U.S. Dollar Amounts in Thousands
1. Foreign derivative claims on an ultimate-risk basis ................................
2. Total cross-jurisdictional claims (sum of items 1 and M.1) .......................
3. Foreign derivative liabilities on an immediate-counterparty basis ..............
4. Consolidated foreign liabilities on an immediate-counterparty basis
excluding derivative liabilities ...........................................................
5. Total cross-jurisdictional liabilities, including derivatives (sum of
items M.3 and M.4) ........................................................................

RISI
KW54
KW55
KW56

Amount

RISO
KW54
KW55
KW56

Amount

M.1.
M.2.
M.3.

KW57

KW57

M.4.

KY50

KY50

M.5.
06/2020

FR Y-15
Page 11 of 14

Schedule M—FBO Ancillary Indicators
(Column A)
U.S. Intermediate
Holding Company

U.S. Dollar Amounts in Thousands
Ancillary Indicators
1. Total liabilities...............................................................................
2. Retail funding ...............................................................................
3. Total gross revenue .......................................................................
4. Total net revenue ..........................................................................
5. Foreign net revenue.......................................................................
6. Gross value of cash provided and gross fair value of securities provided in
securities financing transactions (SFTs) .............................................
7. Gross value of cash received and gross fair value of securities
received in SFTs ...........................................................................
8. Gross positive fair value of over-the-counter (OTC) derivative contracts ...
9. Gross negative fair value of OTC derivative contracts ...........................

RISI

Amount

(Column B)
Combined U.S.
Operations
RISO

Amount

2948
M427
M430
M428
M429

2948
M427
M430
M428
M429

1.
2.
3.
4.
5.

M432

M432

6.

M433
M434
M435

M433
M434
M435

7.
8.
9.

Number in Single Units RISI
10. Number of jurisdictions ................................................................................... M437

RISO
M437

10.

06/2020

FR Y-15
Page 12 of 14

Schedule N—FBO Short-Term Wholesale Funding Indicator
Part I

U.S. Dollar Amounts in Thousands
Short-term Wholesale Funding
1. First tier:
a. Funding secured by level 1 liquid assets .........................................
b. Retail brokered deposits and sweeps .............................................
c. Unsecured wholesale funding obtained outside of the financial sector ...
d. Firm short positions involving level 2B liquid assets or non-HQLA ........
e. Total first tier short-term wholesale funding (sum of items 1.a through 1.d)..
2. Second tier:
a. Funding secured by level 2A liquid assets .......................................
b. Covered asset exchanges (level 1 to level 2A) .................................
c. Total second tier short-term wholesale funding (sum of items 2.a. and 2.b)..
3. Third tier:
a. Funding secured by level 2B liquid assets .......................................
b. Other covered asset exchanges ....................................................
c. Unsecured wholesale funding obtained within the financial sector ........
d. Total third tier short-term wholesale funding (sum of items 3.a through 3.c)..
4. All other components of short-term wholesale funding...........................
5. Total short-term wholesale funding, by maturity
(weighted sum of items 1.e, 2.c, 3.d, and 4) ........................................

Remaining Maturity of 30 Days or Less
(Column A)
(Column B)
Amount
Amount
RISI
RISO

Remaining Maturity of 31 to 90 Days
(Column C)
(Column D)
Amount
Amount
RISI
RISO

Y838
Y842
Y846
Y850
Y854

Y838
Y842
Y846
Y850
Y854

Y839
Y843
Y847
Y851
Y855

Y839
Y843
Y847
Y851
Y855

1.a.
1.b.
1.c.
1.d.
1.e.

Y858
Y862
Y866

Y858
Y862
Y866

Y859
Y863
Y867

Y859
Y863
Y867

2.a.
2.b.
2.c.

Y870
Y874
Y878
Y882
Y886

Y870
Y874
Y878
Y882
Y886

Y871
Y875
Y879
Y883
Y887

Y871
Y875
Y879
Y883
Y887

3.a.
3.b.
3.c.
3.d.
4.

Y890

Y890

Y891

Y891

5.

06/2020

FR Y-15
Page 13 of 14

Schedule N—Continued
Part II

U.S. Dollar Amounts in Thousands
Short-term Wholesale Funding
1. First tier:
a. Funding secured by level 1 liquid assets .........................................
b. Retail brokered deposits and sweeps .............................................
c. Unsecured wholesale funding obtained outside of the financial sector ...
d. Firm short positions involving level 2B liquid assets or non-HQLA ........
e. Total first tier short-term wholesale funding (sum of items 1.a through 1.d)..
2. Second tier:
a. Funding secured by level 2A liquid assets .......................................
b. Covered asset exchanges (level 1 to level 2A) .................................
c. Total second tier short-term wholesale funding (sum of items 2.a. and 2.b)..
3. Third tier:
a. Funding secured by level 2B liquid assets .......................................
b. Other covered asset exchanges ....................................................
c. Unsecured wholesale funding obtained within the financial sector ........
d. Total third tier short-term wholesale funding (sum of items 3.a through 3.c)..
4. All other components of short-term wholesale funding...........................
5. Total short-term wholesale funding, by maturity
(weighted sum of items 1.e, 2.c, 3.d, and 4) ........................................

Remaining Maturity of 91 to 180 Days
(Column E)
(Column F)
Amount
Amount
RISI
RISO

Remaining Maturity of 181 to 365 Days
(Column G)
(Column H)
Amount
Amount
RISI
RISO

Y840
Y844
Y848
Y852
Y856

Y840
Y844
Y848
Y852
Y856

Y841
Y845
Y849
Y853
Y857

Y841
Y845
Y849
Y853
Y857

1.a.
1.b.
1.c.
1.d.
1.e.

Y860
Y864
Y868

Y860
Y864
Y868

Y861
Y865
Y869

Y861
Y865
Y869

2.a.
2.b.
2.c.

Y872
Y876
Y880
Y884
Y888

Y872
Y876
Y880
Y884
Y888

Y873
Y877
Y881
Y885
Y889

Y873
Y877
Y881
Y885
Y889

3.a.
3.b.
3.c.
3.d.
4.

Y892

Y892

Y893

Y893

5.

U.S. Dollar Amounts in Thousands RISI
6. Total short-term wholesale funding (Column A: sum of A, C, E, and G in item 5; Column B: sum of B, D, F, and H in item 5) .. Y894
7. Average risk-weighted assets .......................................................................................................................... Y895
RISI
8. Short-term wholesale funding metric (item 6 divided by item 7) ............................................................................... Y896

(Column A)
Amount

Percentage

RISO
Y894
Y895
RISO
Y896

(Column B)
Amount

6.
7.
Percentage

8.

06/2020

FR Y-15
Page 14 of 14

Optional Narrative Statement
The management of the reporting banking organization has the
option to submit a public statement regarding the values reported
on the FR Y-15. The statement must not contain any confidential
information that would compromise customer privacy or that the
respondent is not willing to have made public. Furthermore, the
information in the narrative statement must be accurate and must
not be misleading.

750 characters with no notice to the respondent. Other than the
truncation of statements exceeding the character limit, the statement will appear on agency computerized records and in
releases to the public exactly as submitted. Public disclosure of
the statement shall not signify that a federal supervisory agency
has verified the accuracy or relevance of the information contained therein.

The statement may not exceed 750 characters, including punctuation, indentation, and standard spacing between words and sentences. Statements exceeding this limit will be truncated at

If the respondent elects not to make a statement, the item should
be left blank (i.e., do not enter phrases such as "No statement,"
"Not applicable," "N/A," "No comment," or "None").

RISK

1. Narrative statement ....................... 6980

1.

06/2020