Ongoing

DRAFT

Instructions for the Preparation of the
Institution-to-Aggregate
Data on Assets and
Liabilities on an
Immediate Counterparty
Basis
Reporting Form FR 2510
September 2018

Contents
GENERAL INSTRUCTIONS FOR THE PREPARATION OF THE INSTITUTION-TOAGGREGATE DATA ON ASSETS AND LIABILITIES ON AN IMMEDIATE COUNTERPARTY
BASIS
General Instructions ……………………………………………………………………………......

GEN-1

LINE ITEM INSTRUCTIONS FOR THE INSTITUTION-TO-AGGREGATE DATA ON ASSETS
AND LIABILITIES ON AN IMMEDIATE COUNTERPARTY BASIS
The I-A Immediate Counterparty (I-A IC) Schedule …………………………………………........

IC-1

The Financial Derivatives Schedule ……………………………………………………………...

FD-1

The Foreign Exchange Derivatives Schedule ……………………………………………………...

FX-1

Glossary …………………………………………………….............................................................

GL-1

ii

INSTRUCTIONS FOR PREPARATION OF

THE INSTITUTION-TO-AGGREGATE DATA ON
ASSETS AND LIABILITIES ON AN IMMEDIATE
COUNTERPARTY BASIS
FR 2510

General Instructions

Who Must Report
A. Reporting Criteria
The I-A data are to be provided by any Bank Holding Company (BHC) organization under the laws of the
U.S. or any of the states therein that is identified as a global systemically important bank (G-SIB). For a
list of G-SIBS, refer to the Financial Stability Board’s updated list at
http://www.financialstabilityboard.org/2015/11/fsb-publishes-the-2015-update-of-the-g-sib-list/.
B. Consolidation
The information should be reported on a fully consolidated basis in accordance with the principles set
forth in the instructions for the preparation of the Consolidated Financial Statements for Holding
Companies (FR Y-9C). As part of the consolidation process, assets and liabilities between offices,
subsidiaries, and other entities (e.g., Trusts and Variable Interest Entities) included in the scope of the
consolidated BHC are to be eliminated in the consolidation and excluded from the report. In addition,
custody accounts should also be excluded from the report, consistent with the FR Y-9C instructions.

Where to Submit the Reports
Electronic Submission
All reporters must submit their completed reports electronically. Reporters should contact the Federal
Reserve Bank of New York or go to www.frbservices.org/central-bank/reporting-central/index.html for
procedures for electronic submission.

When to Submit the Reports
The FR 2510 is required to be submitted quarterly, as of the last calendar day of March, June, September,
and December. The submission date is 50 calendar days after the March, June, and September as-ofdates, and 65 calendar days after the December as-of-date.
3

The term “submission date” is the defined as the date by which the Federal Reserve must receive the data
set.
If the submission deadline falls on a weekend or holiday, the data set must be received on the first
business day after the Saturday, Sunday, or holiday. Earlier submission aids the Federal Reserve in
reviewing and procession the reports and is encouraged.
The reports are due by the end of the reporting day on the submission date (5:00 P.M.). Each reporter
should keep a copy of each report. This copy should be signed and certified by an Executive Officer (as
defined in 12 CFR 215.2(e)(1)) of the bank holding company.

How to Prepare the Data Set
A. Applicability of U.S. GAAP
Banking organizations are required to prepare and file the FR 2510 report in accordance with U.S.
Generally Accepted Accounting Principles (U.S. GAAP) and these instructions. All financial assets and
liabilities should be reported gross unless netting is permitted by U.S. GAAP, except on the Financial
Derivatives Schedule where all positions should be reported gross regardless if netting is permitted by U.S.
GAAP. Netting of long and short positions of trading assets is not permitted. However, as with the
Country Exposure Report (FFIEC 009), CUSIP netting is allowed for the FR 2510 report when the
office(s) of the reporter with the long and short positions, and the country of the issuer of the underlying
security are located in the same country.
B. Report Form Captions and Instruction Detail
Enter an amount or a zero for all items except for items where reporting is not required.
Questions and requests for interpretations of matters appearing in any part of these instructions should be
addressed to the Federal Reserve Bank of New York.
C. Accounting Issues
All amounts should be reported in U.S. dollars regardless of the currencies in which the balances are
denominated. The translation should be made on the same basis used to prepare the FR Y-9C.
All reported values should be rounded to the nearest million USD.
D. Negative Entries
Negative entries are not reportable on this form. Assets with credit balances must be reported in liability
items and liabilities with debt balances must be reported in asset items, as appropriate.
E. Amended Reports
When the Federal Reserve’s interpretation of how U.S. GAAP or these instructions should be applied to a
specified event or transaction (or series of related events or transactions) differs from the reporter’s
interpretation, the Federal Reserve may require the reporter to reflect the event(s) or transaction(s) in its IA data in accordance with the Federal Reserve’s interpretation and to amend previous submitted reports.
4

The Federal Reserve may require the filing of an amended FR 2510 if the report as previous submitted
contains significant errors.
F. Data Items Automatically Retrieved from Other Reports
Certain data collected on the FR 2510 may also be collected in other reports submitted to the Federal
Reserve. If the banking organization files the other reports at the same level of consolidation as is required
for the FR 2510, the duplicate data items will be populated automatically.
If the banking organization files the FR Y-9C for the same reporting period, then the following data item
will be populated automatically:
(1) The I-A Immediate Counterparty (I-A IC) Schedule: Liabilities item 13, “Total Equity” (FR Y-9C,
Schedule HC, item 28)

Summary Description of this Data Collection
The FR 2510 report consists of three components: The Main schedule, the Financial Derivatives
schedule, and the Foreign Exchange Derivatives schedule.
The Main schedule is divided into two tables that provide granular breakdowns of the reporter’s
consolidated balance sheet assets and liabilities and off balance sheet contingent liabilities. Unless
otherwise stated, assets, liabilities, currency, remaining maturity, counterparty country, and counterparty
sector are to be broken down by combination of five dimensions by instrument, currency, remaining
maturity, counterparty country, and counterparty sector across Tables 1 and 2. In order to achieve a
balanced approach between analytical value for authorities and operational burden to reporting banking
organizations, not all the dimensions are required for some parts of the schedule.
The Financial Derivatives schedule displays general information about the reporter’s financial
derivatives positions. Gross fair values and notional amounts are requested to facilitate cross-country
comparisons and overcome substantial different offsetting requirements for derivatives between
accounting standards applied by reporting banking organizations.
The Foreign Exchange Derivatives schedule shows more detailed information about the reporter’s
foreign exchange (FX) derivative positions to uncover “open currency positions.” Gross notional
currency derivative positions (separate into short and long positions) are required for a limited number of
foreign exchange derivatives, without the breakdown by counterparty country and sector, but with details
on remaining maturity and currency.

5

The Institution-to-Aggregate Data: Immediate
Counterparty (I-A IC) Schedule
General Balance Sheet Information
The I-A IC schedule is designed according to a full balance sheet approach in order to capture
information on asset positions, liability positions, and contingent liabilities on a combination of five
dimensions: (1) instrument; (2) currency; (3) remaining maturity; (4) counterparty country; and (5)
counterparty sector.
Positions are to be allocated to the country and sector where the immediate counterparty resides and not
on an ultimate counterparty basis. Immediate counterparty follows the definition in the instructions for
preparation of the Country Exposure Report (FFIEC 009). The obligor on an immediate-counterparty
basis is the entity that issued the security or otherwise incurred the liability.
Positions are reportable in Table 1 by instrument, currency, and remaining maturity. Positions are
reportable in Table 2 by counterparty country, instrument, and counterparty sector. All instruments listed
are reportable in Tables 1 and 2, unless otherwise noted in these instructions.
All financial assets and liabilities are to be reported gross unless netting is permitted by GAAP, except on
the Financial Derivatives Schedule where all positions should be reported gross regardless if netting is
permitted by U.S. GAAP.
Table 1 – Full Balance Sheet
Table 1 covers the full balance sheet (financial assets and liabilities) with a complete crossing by
instrument, currency, and remaining maturity. The reporter should file a separate Table 1 for each
currency and provide the remaining maturity crossings for positions denominated in that currency.
Total Positions
The reporter should report in Table 1, its total consolidated balance sheet positions for each instrument
type. Crossings by counterparty country and sector are not required in Table 1. Total positions should
only be reported in USD and should be omitted for the other currencies.
Currency
For each instrument type, report the total amount of positions by remaining maturity denominated in the
following currencies using the standard three character currency ISO (International Organization for
Standardization) codes:
•
•
•
•
•
•

USD: United States Dollar;
EUR: Euro;
JPY: Japanese Yen;
GBP: British Pound;
CHF: Swiss Franc;
CNY: Yuan Renminbi (includes CNY, Chinese Yuan Onshore, and CNH, Chinese Yuan
6

•

Offshore);
Other: The sum of all other currencies not specified above

Remaining maturity
Remaining maturity is the amount of time remaining from the report date until the final contractual
maturity of the instrument without regard to the instrument’s repayment schedule, if any (using the same
definition of “remaining maturity” as used in the FR Y9-C). The next repricing date may also be used
where applicable.
For each instrument and currency break, report positions into the following remaining maturity buckets,
unless otherwise noted in these instructions:
•
•
•
•

Non-maturity instruments (including on demand and open positions) as defined in the Complex
Institution Liquidity Monitoring Report (FR 2052a).
Overnight and less than 3 months.
3 months and less than 1 year.
1 year and over.

Marketable equity investments, both trading and available-for-sale, should be reported as maturing in
less than one year.
Table 2 – Country Level Data
Table 2 provides additional granularity to a select set of instruments captured in Table 1, as well as
instruments that are only captured in Table 2 (asset and liability memorandum items and contingent
liabilities). The reporter should file a separate Table 2 for each country ranked in the top 35 countries
where its exposure amounts to a minimum $2 billion. For each country, the reporting institution should
report the specified instrument by immediate counterparty sector and remaining maturity, unless
otherwise noted.
Country Reporting
In order to balance value and burden to report granular data for all countries, the maximum number of
counterparty countries for which granular crossing are requested is limited to the top 35 countries
(including the home country of the reporter) by total exposure for each reporting institution subject to a
materiality threshold of $2 billion over the previous four quarters. Reporting banking organizations may
report less than 35 countries if the materiality threshold of $2 billion is not met.
When carrying out the country ranking and determining the materiality threshold, the reporter should
determine the maximum amount of claims (excluding financial derivatives) by the respective country as
the basis of their assessment. Reporting institutions are permitted to use the data submitted in the FFIEC
009 as the basis for these materiality assessments. Exposures to countries other than the top 35 countries
are not required to be reported.
To limit the volatility in a banking organization’s country submission list over time a country must be
ranked in the top 35 for four consecutive quarters, subject to the minimum $2 billion cut-off, in order to
be added to the list. Conversely, if a country were not in the top 35, or fell below the $2 billion threshold
7

during the previous four quarters, the reporter should drop the country from the list of top 35 countries
and, if applicable, add a country that is now ranked in the top 35 and above the $2 billion threshold. For
example, if a reporting institution is reporting exposures to the U.K and total exposures to the U.K. fall
below the $2 billion threshold for four consecutive quarters, the reporter should drop the U.K. from its
data set and add the next highest ranked country within the top 35 countries whose total exposures have
been above $2 billion for four consecutive quarters, if applicable. Furthermore, if the U.K. exposures
remained above $2 billion but a new country, which was previously ranked outside the top 35 countries,
has a higher exposure amount over the past four quarters than the U.K., the reporter should remove the
U.K. from reporting and add the new country. Reporting institutions should consult with the Federal
Reserve Bank of New York when organization or business strategy (e.g., mergers and acquisitions)
changes impact the list of the top 35 prior to adding or removing a country.
Reporters should be able to add additional countries by request from regulators (e.g., to capture adverse
development in these countries) within two weeks of the request (and not as part of the regular quarterly
process).
Determining Residency
Counterparty residency is determined by the country where the counterparty legally resides (e.g. country
of incorporation, or, for a bank or company branch, country of license). For example, a claim on the
Chinese branch of a UK bank is reported as a claim on the banking sector in China.
The location of a counterparty that is an individual or household is reported based on the country in
which the counterparty is domiciled.
Since international organizations are residents of the international areas they serve, the international
organizations are excluded from country dimension of the list of the top 35 countries in Table 2.
Therefore, positions with International Organizations should be excluded from Table 2. The ECB and the
BIS should be included as part of Germany and Switzerland, respectively.
Sector Definitions
Reporting sectors are determined based on the legal entity of the immediate or direct counterparty. The
following sector definitions are used for all columns of this report that require sector distinctions:
•

Sector Total: Includes all positions across all counterparty sectors for a given country. For
instruments where a more detailed counterparty sector is not required, this item provides the total
position for a given country.

•

Banks: Financial institutions whose business it is to receive deposits or close substitutes for
deposits and to grant credits or invest securities in their own account. Banks include commercial
banks, savings banks, discount houses, and other similar depository institutions. The definition of
banks is consistent with “Banks, U.S. and Foreign” in the FR Y-9C.

•

Central banks: Banks, reserve banks, or monetary authorities responsible for overseeing the
monetary system for a nation or group of nations. Positions with central banks are reported in
Table 1 as part of the reporting bank’s total positions by instrument type. Liabilities to central
banks are excluded from Table 2. Claims on central banks are reported by instrument type in the
unallocated sector in Table 2.

8

•

Non-bank financial institutions (NBFIs): Businesses and institutions that are primarily
engaged in proprietary investments in the provision of financial services to other
organizations and households as defined in the FFIEC 009. This sector excludes federal,
state and local governments; however, it includes agencies and instrumentalities of
governments such as pension funds and insurance companies that provide nonbank financial
services that are not directly governmental in nature.

•

Non-financial corporations (NFCs): Any organization, including non-profits that are
principally engaged in producing goods or non-financial services as defined in the FFIEC
009. This sector excludes federal, state and local governments; however it includes agencies
and instrumentalities of governments such as utilities that produce goods or non-financial
services that are not strictly governmental in nature.

•

Households: This sector includes positions with households, families, and individuals as defined
in the FR Y-9C, Schedule HC-C, item 6, “Loans to individuals for household, family, and other
personal expenditures”.

•

Government: The definition of the government is consistent with the definition of “Foreign
Governments and Official Institutions” in the FR Y-9C and includes U.S. federal, state and
municipal government entities, and U.S. government agencies, but excludes positions with
central banks, other monetary authorities (reported in Unallocated by sector) and public
corporations (reported in NFCs). Claims and liabilities with U.S. government –sponsored
enterprises which are not explicitly guaranteed by the full faith and credit of the U.S.
government, should be reported under the “Banks”, “Non-bank financial institutions”, or “Nonfinancial corporations” sector depending on the primary activity of the enterprise.

•

Unallocated by sector: Any positions for which the sector of the counterparty is unknown or the
sector information does not need to be reported. The item includes claims on central banks as
noted above.

Positions by Remaining Maturity
The remaining maturity crossing is only required to be completed for the Memorandum Items, Total
Financial Assets by Position Type (Items 15.a, 15.b, 15.c, and 15.d) and Total Financial Liabilities by
Position Type (Items 17.a, 17.b, 17.c, and 17.d). Positions are to be reported into the following remaining
maturity buckets:
•
•
•

Non-maturity instruments (including on-demand and open positions, as defined in FR 2052a);
Less than 1 year (includes “Overnight and Less than 3 months” and “3 months and less than 1
Year” remaining maturity breaks from Table 1);
1 year and over (includes “1 Year and over” from Table 1).

Instruments
Reporting banking organizations report total consolidated positions in the balance sheet and contingent
liability instruments listed below. All the instruments listed below, unless otherwise noted, are reported in
Table 1 and Table 2. The table reporting requirements for each instrument item is provided in parenthesis.

9

Assets
This section is to be prepared in accordance with the U.S. Generally Accepted Accounting Principles
(U.S. GAAP). The term ‘assets’ follows the definition for assets in the instructions for preparation of the
Consolidated Reports of Condition and Income for a Bank with Domestic and Foreign Offices (FFIEC
031) and FR Y-9C and includes the following types of assets:
Line Item 1: Cash and Balances Due From Banks
Report all funds deposited with depository institutions . This includes all interest bearing and noninterestbearing balances due from depository institutions in the form of demand, savings, or time deposit
balances; currency and coin, cash items in the process of collection, cash collateral placed, and negotiable
and non-negotiable certificates of deposits (CDs) unless held for trading. Balances due from central banks
are reported in the “Unallocated by Sector” in Table 2. (Table 1) (Table 2, Total, Bank, and Unallocated
Sectors only).
Exclude currency and coin in transit (report in “Other Financial Advances and Instruments”,
Item 8 1).
For further information, see the FR Y-9C Schedule HC, line 1, “Cash and Balances due from
Depository Institutions”..
Line Item 2: Resale Agreements
Report the outstanding amount of securities purchased under agreements to resell on a gross basis, not
netted against securities sold under agreements to repurchase, except to the extent permitted under U.S.
GAAP through master netting agreements. Under master netting agreements, the net claims should be
reported based on the country and sector of the top tier counterparty of the agreement. Include the fair
value of securities purchased under agreement to resell that are accounted for at fair value under a fair
value option (Table 1) (Table 2 except for Households sector).
Exclude fed funds sold (report in “Other Loans”, Item 4.3).
For further information, see the FR Y-9C Glossary entry for “Repurchase/Resale Agreements”.
Line Item 3: Securities Borrowings
Report the outstanding amount of all securities borrowings where the reporter has borrowed securities
from the counterparty and posted collateral, in exchange for cash and the reporter is the principal to the
transaction, and is not acting as an agent on behalf of another firm. Exclude collateral-for-collateral
transactions. (Table 1) (Table 2, except for Households sector).
For further information, see the FR Y-9C Glossary entry for “Securities Borrowing/Lending
Transactions”.

1

Currency in vault is only included in the remaining maturity bucket “Non-maturity instrument (including on
demand and open positions)” and is reported under “unallocated” by sector.

10

Line Item 4: Loans gross of allowances for credit losses
Report total outstanding loans and leases issued or purchased by the reporter regardless of the accounting
portfolio the loans and leases are held (held for trading, held for sale, or investment purposes). Loans
amounts should be reported net of unearned income and loan fees. All loans are classified according to
collateral or purpose. (Table 1) (Table2).
For further information, see the FR Y-9C Glossary entry for “Loans” and “Lease Accounting”.
Line Item 4.a: Residential Real Estate (RRE) Loans
Report loans secured by residential property (including financial leasing on a residential real
estate), revolving, open-end loans secured by 1-4 family residential properties and closed-end
loans secured by 1-4 family residential properties (secured by first and junior liens). (Table 1)
(Table 2, Sector Total only).
For further information, see the FR Y-9C Glossary entry for “Loan Secured by Real Estate”.
Line Item 4.b: Commercial Real Estate (CRE) Loans
Report loans secured by commercial real estate (including financial leasing on a commercial real
estate). Report in this item 1-4 family residential construction loans, other construction loans and
all land development and other land loans, loans secured by multifamily (5 or more) residential
properties, and loans secured by other nonfarm non-residential properties. Loans to finance CRE
but not secured by CRE are excluded from this item and reported as “Other loans”. (Table 1)
(Table 2, Sector Total only).
Line Item 4.c: Other Loans
Report all other loans not included in the above categories for loans, including loans secured by
farm land, conventional loans, credit card loans, federal funds sold, financial leases, obligations
of states and political subdivisions, overnight loans of immediately available funds to commercial
and industrial counterparties, and factoring, and exclude those loans that have become negotiable
de facto (as long as these loans are classified as debt securities under the applicable accounting
standards). (Table 1) (Table 2, Sector Total only).
Line Item 4.d: Allowances for Credit Losses on Loans
Report the allowance for loan and lease losses as determined in accordance with U.S. GAAP.
Allowances for credit losses on loans includes: specific allowances for loans individually and
collectively estimated and collective allowances for incurred but not reported losses on loans.
(Table 1, Total Positions only) (Table 2, Sector Total only).
For further information, see the FR Y-9C Schedule HC, line 4.c, “Allowance for loan and lease
losses”.

11

Line Item 5: Debt Securities Holdings Gross of Allowances for Credit Losses
Report fair value or amortized cost of all debt securities held by the reporter regardless if the securities are
held-for-trading, held-to-maturity, or available-for-sale.(Table 1) (Table 2, except for Households
sector) 2.
Line Item 5.a: Asset-Backed Securities (ABS)
Report the fair value or amortized cost of all asset backed securities and all residential and
commercial mortgage backed securities. Securities reported in this line item include (but are not
limited to) mortgage-backed securities (MBS), collateralized mortgage obligations (CMOs),
collateralized loan obligations (CLOs), collateralized debt obligations (CDOs), stripped assetbacked securities and other synthetic ABS.
Exclude from this line item ABS (including MBS) issued or guaranteed by government agencies
or sponsored agencies (Table 1) (Table 2, Sector Total only).
For further information, see the FR Y-9C Schedule HC-B, line 4, “Mortgage-backed securities
(MBS)” and line 5.a, “Asset-backed securities”.
Line Item 5.b: Other Secured Debt Securities
Report the fair value or amortized cost of all debt securities issued or guaranteed by a corporate
or a government authority or collateralized by collateral, for which the holder of the security does
not have a claim of the cash flows generated by the collateral. Include any other secured debt that
cannot properly be reported in Line 5.a above. This instrument includes among others covered
bonds, mortgage bonds or agency bonds (Table 1) (Table 2, Sector Total only).
Exclude from this line item debt securities issued or guaranteed by government sponsored entities
that are not secured by collateral. Debt securities issued or guaranteed by government sponsored
entities that are not secured by collateral are reportable on line 5.c, “Unsecured Debt Securities”.
Line Item 5.c: Unsecured Debt Securities
Report all other debt securities that are not reportable in the security categories listed above and
that are not secured by collateral. If applicable, this item may include among others negotiable
CDs held for trading (Table 1) (Table 2, Sector Total only). For example, unsecured debt
securities should include securities issued by government sponsored entities that are not secured
by collateral.
Line Item 6: Financial Derivatives (OTC and Traded)
Report the positive fair value of financial instruments classified as derivatives following U.S. GAAP that
are held-for-trading and hedging purpose.

2

Consistent with ASC Topic 320, Investments- Debt and Equity Securities, Held-to-maturity securities are
generally reported at amortized cost, Securities held for trading purposes must be reported at fair value, with
unrealized gains and losses recognized in current earnings and available-for-sale securities must be reported at
fair value on the balance sheet, with unrealized gains and losses reported in a component of equity capital (i.e.,
in Line Item 13 ‘‘Total Equity’’..
12

The reporter reports the fair value of its interest rate, foreign exchange rate, commodity, equity, and credit
derivative contracts. A position with a positive fair value is reported on the asset side of the balance
sheet. Reporters are permitted to offset positive and negative fair values of derivative contracts executed
with the same counterparty that meet the criteria for a valid right of set-off contained in ASC Subtopic
210-20, Balance Sheet – Offsetting (formerly FASB Interpretation No. 39, Offsetting of Amounts Related
to Certain Contracts) (Table 1, Total Positions only).
For further information, see the FR Y-9C Glossary entry for “Derivative Contracts’’ and “Offsetting”.
Line Item 7: Equity Instruments
Report the fair value holdings of all investments in mutual funds and other equity securities (as defined in
ASC Topic 320, Investments-Debt and Equity Securities (formerly FASB Statement No. 115, Accounting
for Certain Investments in Debt and Equity Securities) with readily determinable fair values. Ownership
of equity is usually evidenced by shares, stocks, participations, or similar documents. It also includes
preferred stocks or shares that provide for participation in the residual value on dissolution of an
incorporated enterprise.
Shares of subsidiaries included in the consolidated perimeter of the banking group are excluded and are
netted against the book values of subsidiaries’ equities (Table 1, to be reported with remaining maturity =
“non-maturity”) (Table 2, except for Households and Government sectors).
Line Item 8: Other Financial Advances and Instruments
Report all other financial assets that cannot be classified under loans, deposits, debt securities or financial
derivatives. This item includes among others, gross amounts of trade receivables, funds held in margin
accounts, and cash collateral placed at non-depository institutions. (Table 1, Total Positions only).
Line Item 9.a: Total Financial Assets (Excluding Derivatives and Other Financial Advances – Gross
of Allowances for Credit Losses)
Report on line 9.a, the sum of items 1 through 5 and 7 (Table 1) (Table 2).
Line Item 9.b: Total Financial Assets (Excluding Derivatives and Other Financial Advances – Net of
Allowances for Credit Losses)
Report on line 9.b, the amount derived by subtracting item 4.d from Line 9.a above (Table 1) (Table 2,
Sector Total only).
Line Item 10: Tangible / Fixed Assets
Report the amount of tangible and fixed assets. Tangible and fixed assets may include (1) land,
dwellings, other buildings and structures, machinery and equipment, (2) inventories (materials and
supplies, work-in-progress, finished goods, and goods for resale), (3) valuables (assets that are acquired
and held primarily as stores of value; literary or artistic originals, etc.). The assets are shown net of
accumulated depreciation (Table 1, Total Positions only).
For further information, see the FR Y-9C Schedule HC, line 6, “Premises and fixed assets (including
capitalized leases)”.

13

Line Item 11: Intangible Assets
Report the amount of intangible assets (other than financial assets) that arise from business combinations
and acquisitions of portions or segments of another institution’s business, such as patents, mortgage
servicing assets, purchased credit card relationships and nonmortgage servicing assets, and goodwill. The
assets are shown net of accumulated depreciation (Table 1, Total Positions only).
For further information, see the FR Y-9C Schedule HC, line 10, “Intangible Assets”.
Line Item 12: Tax Assets
Report the amount of taxes currently receivable for the year and the amount of deferred tax assets. Report
the net amount after offsetting deferred tax assets (net of valuation allowance) and deferred tax liabilities
measured at the report date for a particular tax jurisdiction if the net result is a debit balance. If the result
for a particular tax jurisdiction is a net credit balance, report the amount in ‘‘Tax liabilities’’ (item 12)
(Table 1, Total Positions only).
For further information, see the FR Y-9C Glossary entry for “Income Taxes”.
Line Item 13: Other Assets
Report assets not included in any of the categories in 1 to 12. Assets that are not financial assets and that
due to their nature could not be classified in specific balance sheet items are reported in “other assets” and
may include gold, silver and other inventories. In addition, prepaid and deferred expenses, other real
estate owned (OREO), direct investments in real estate ventures, reinsurance recoverables, separate
account assets of insurance underwriting subsidiaries, accrued income, suspense and amounts due from
agents, not related with financial instruments, are reported in this item (Table 1, Total Positions only).
Report the amount of the reporter’s investment in the stock of all subsidiaries that have not been
consolidated, associated companies, corporate joint ventures, unincorporated joint ventures, and general
partnerships which the reporter exercises significant influence; and non-controlling investments in certain
limited liability partnerships and limited liability companies.
Include in this line item, reinsurance recoverables which are due from insurance companies for paid and
unpaid insurance claims, claims settlement expenses, and other policy benefits.
For further information, see the FR Y-9C Schedule HC-F, “Other Assets”. This line item excludes
financial derivatives held for trading and hedging purposes, which should be reported in Line Item 6,
“Financial Derivatives (OTC and Traded)”.
Line Item 14: Total Assets
Report the sum of items 6, 8, 9.b, 10, 11, 12, and 13 (Table 1, Total Positions only).
Liabilities
This section is to be prepared in accordance with U.S. Generally Accepted Accounting Principles (U.S.
GAAP). The term “liabilities” follows the definition in the instructions for the FR Y-9C and include, but
are not limited to, the following types of liabilities:

14

Line Item 15: Deposits
Report the total of all deposits, interest and non-interest bearing, including fixed term deposit accounts,
non-negotiable and negotiable CDs and cash collateral held on deposits, booked at the domestic and foreign
offices of depository institutions that are consolidated subsidiaries of the reporting BHC (Table 1) (Table
2).
For further information, see the FR Y-9C Glossary entry for “Deposits”.

Line Item 16: Repurchase Agreements
Report the outstanding amount of securities sold under agreements to repurchase on a gross basis, not netted
against securities purchased under agreements to resell, except to the extent permitted under U.S. GAAP.
If netting is permitted under U.S. GAAP, the net liabilities should be reported based on the country and
sector of the top tier counterparty.(Table 1) (Table 2 excluding repurchase agreements with the Households
sector).
For further information, see the FR Y-9C, Schedule HC, item 14(b), “Securities sold under agreements to
repurchase”

Line Item 17: Securities Lending
Report the outstanding amount of all securities lent where the reporter has lent securities to a counterparty
and received securities as collateral, where the reporter is the principal to the transaction and is not acting
as an agent on behalf of another firm. Exclude collateral-for-collateral transactions. Collateral-for-cash
transactions should be reported as “Repurchase Agreements”, Item 16 (Table 1) (Table 2 excluding
securities lent with the Households sector).
Line Item 18: Other Borrowings
Report other obligations for the purpose of borrowing money that is not reported elsewhere. Include
advances received, mortgage indebtedness, obligations under capitalized leases, federal funds purchased
and overdrawn “due from” balances with banks.

Line Item 19.a: Debt Securities Issued
Report the sum of items 19.a.(1) through 19.a.(7). See definition from the asset section.

Line Item 19.a.(1): Asset-Backed-Securities (ABS)
Report Asset-Backed-Securities. See definition from the asset section (Table 1).
Line Item 19.a.(2): Covered bonds
Report the amount of bonds issued and owned by a bank or mortgage institution that are subject by
law to special public supervision designed to protect bond holders. In particular, amounts deriving
from the issue of those bonds shall be invested in accordance with the law in assets which, during
the whole period of the validity of the bonds, are capable of covering claims attached to the bonds
and, in the event of the failure of the issuer, would be used on a priority basis for the reimbursement
of the principal and payment of the accrued interest (Table 1).
Line Item 19.a.(3): Commercial Paper
Report the amount of all outstanding commercial paper issued by the banking organization (Table
15

1).
For further information, refer to the FR Y-9C Glossary entry for “Commercial Paper”.
Line Item 19.a.(4): Senior Unsecured Long-Term Debts
Report the amount of all outstanding senior unsecured long term and medium term debt securities
issued by the banking organization, that is debt securities that take precedence over other
unsecured or “junior” notes in the event of bankruptcy; unlike secured debt, senior unsecured
noted are backed by assets (Table 1).
For further information, see FR Y-15, Schedule B, item 14, “Senior Unsecured Debt Securities”.
Line Item 19.a.(5): Hybrid Contracts
Report instruments that are a mix of cash and synthetic instruments. A synthetic instrument
means that the investors do not have a claim against a reference pool of assets; rather, the
originating holding company merely transfers the inherent credit risk of the reference pool of
assets by such means as a credit default swap, a total return swap, or another arrangement in
which the counterparty agrees upon specific contractual covenants to cover a predetermined
amount of losses in the loan pool. Report the amount of structured financial products that are
hybrid instruments. A hybrid instrument is a single financial security that combines two or more
different financial instruments (Table 1).
For further information, see FR Y-9C, Schedule HC-B, item 5(b), “Structured Financial
Products”.
Line Item 19.a.(6): Other Debt Securities Issued Convertible
Report the amount of convertible compound financial instruments not recorded in the previous lines. A
compound instrument contains both a liability and an equity component (e.g., a debt instrument with an
embedded conversion option, such as a bond convertible into ordinary shares of the issuer) without any
other embedded derivative features. The issuer of such a financial instrument is required to present
separately the component that (1) creates a financial liability and (2) grants an option to the holder of the
instrument to convert it into an equity instrument (Table 1).
Line Item 19.a.(7): Other Debt Securities
Report all other debt securities not reportable in the previous line items. Include private placements
(Table 1).

Line Item 19.b: Of Which: Subordinated Debt Securities
Report the amount of all outstanding subordinated debt securities, as defined in the FR Y-9C
Schedule HC, items 19(a) and 19(b), issued by the banking organization (Table 1). Subordinated
debt securities are also reported in items 19.a.(1) to 19.a.(7) by the type of debt securities.

Line Item 20: Financial Derivatives
Report the negative fair value of derivative contracts that are held for trading and hedging purposes. See
definition from the asset section. Positions that have a negative fair value are reported on the liability side
of the balance sheet (Table 1).
16

Line Item 21: Other Financial Payables
Report the amount of financial liabilities that cannot be classified under borrowings, deposits, debt
securities, derivatives, or short sales. This line item includes but is not limited to, dividends to be paid and
amounts payable in respect of future settlements of transactions in securities or foreign exchange
transactions (payables for transactions recognised before the payment date). If applicable, also include
separate account liabilities of the reporter’s consolidated insurance underwriting subsidiaries (Table1, Total
Positions only).
For short sales, report the total fair value of liabilities resulting from sales of assets that the reporter does
not own. The immediate counterparty country and sector for short sale contracts are those of the issuer of
the financial asset short sold rather than the counterparty to whom the non-owned financial instrument has
been sold (Table 1, Total Positions only).
For further information, see the FR Y-9C Glossary entry for “Short Position”.

Line Item 22: Total Financial Liabilities
Report the sum of items 15 through 18 (Table 1). Exclude financial derivatives, debt securities, short sales,
and other financial payables.
Line Item 23: Allowance for Credit Losses on Off-Balance Sheet Credit Exposures
Report the amount of any allowance for credit losses on off-balance sheet exposures established in
accordance with U.S. GAAP (items reported under the I-A IC sub-schedule on contingent positions
provided) (Table 1, Total Positions) (Table 2, Sector Total only).
Line Item 24: Tax Liabilities
Report current and deferred tax liabilities. See definition from the asset section (Table 1, Total Positions
only).

Line Item 25: Other Liabilities
Report all liabilities not included in line items 15 through 24. Liabilities that are not financial liabilities and
that due to their nature could not be classified in specific balance sheet items should be reported. This
includes, accrued expenses, deferred income, servicing liabilities, the negative fair value of unused loan
commitments reported under the Fair Value Option, and suspense balances (Table 1, Total Positions).
Include in this line item, any technical reserves which are due to policyholders for unpaid insurance claims
or prepaid insurance premiums. These technical reserves quantify the outstanding loss liabilities for
insurance claims which have been reported and not paid or which have been incurred but not reported
(IBNR).
Include the amount of all other provisions not captured by specific and general allowances for credit losses
(items 4.d, 5.d on the asset side). This may include provisions for pensions and similar obligations,
provisions for taxes, provisions for litigation risks and funds for general banking risks when they are not
recognized as equity under (other reserves) (Table 1, Total Positions only).

17

Line Item 26: Total Liabilities
Report the sum of items 19 through 25 (Table 1, Total Positions only).

Line Item 27: Total Equity
This line item will be fetched from the FR Y-9C, Schedule HC, item 28, “Total Equity Capital”.
Line Item 28: Total Liabilities and Equity
Report the sum of items 26 and 27 (Table 1, Total Positions only).

Contingent Liabilities
Off balance sheet positions which arise from contingent liabilities are reported on a consolidated basis by
instrument, counterparty country, and sector. The reporter is required to report the notional amount of
guarantees and commitments provided (or sold) since those off-balance sheet positions are subject to credit
risk when the reporter is the “providing party”. When the reporter is providing a guarantee or credit
protection via a Credit Default Swap (CDS), the immediate counterparty is the entity in which the reporter
would incur a liability to if the underlying reference entity defaults (Table 2).
Line Item 29: Financial Guarantees Given
Report the sum of items 29.a and 29.b. Financial instruments, which meet the definition of financial
guarantees under U.S. GAAP (Table 2):
Line Item 29.a: CDS and Other Credit Derivatives (Protection Sold)
Report the notional amount of credit derivatives that allow one party (the “protection purchaser”
or “beneficiary”) to transfer the credit risk or a reference asset to another party (the “protection
seller” or “guarantor”). This includes derivatives with inherent credit risk transfer (e.g. CDS, TRS,
CLN) (Table 2).
Line Item 29.b: Guarantees Extended
Report guarantees extended. Guarantees are legally binding commitments which require the issuer
to make specific payments to reimburse a specific creditor for a loss due to a failure of a specified
debtor to make payments when due in accordance with the original or modified terms of a debt
instrument, or to a failure of a specified client to fulfill their contract obligations. Guarantees
include financial and performance standby letters of credit and acceptances (for the amount of the
participation sold). Documents that do not establish legal obligations, such as “comfort” letters,
letters of awareness, or letters of intent, are not guarantees (Table 2).
For further information, see FR Y-9C, Schedule HC-L, item 2, “Financial standby letters of credit
and foreign office guarantees”.

Line Item 30: Credit Commitments Given

Report credit commitments given. This includes only the unused portions of commitments which
are legally binding and enforceable (e.g. not unconditionally cancellable) (Table 2).
For further information, see FR Y-9C, Schedule HC-L, item 1, “Unused Commitments”.

18

Line Item 30.a: Loan Commitments Given
Report the unused portions of committed lines extended by the reporter to provide credit, that when
funded, would be reported as a loan (Table 2).

Line Item 30.b: Other Commitments Given
Report the unused portions of all other committed lines extended by the reporter that are not
reported as loan commitments above. Including, but not limited to, underwriting facilities to
extend credit in the form of the purchase of loans, securities or other assets, such as note issuance
facilities (NIFs) and revolving underwriting facilities (RUFs), letters of credit (excluding standby
letters of credit), financial asset forward purchase commitments, and regular way financial asset
purchase contracts (Table 2). Exclude commitments that meet the definition of a derivative and
must be accounted for in accordance with ASC Topic 815, Derivatives and Hedging.
Memoranda (Table 2)
Line Item M.1: Total Financial Assets by Position Type (Excluding Derivatives and Other Financial
Advances – Gross Of Allowances)
Report the amount of “Total Financial Assets excluding derivatives and other financial advances - gross
of allowances for credit losses” (item 9.a) that represent cross border positions and local positions of the
reporter. In these guidelines, cross-border positions refer to assets or liabilities of the reporter’s foreign
affiliates (branches or subsidiaries) with residents of other countries (i.e., countries other than the country
in which the office is located, including the home country of the reporter). Cross-border positions also
refer to assets or liabilities of the reporter’s United States offices with residents of other countries.
Local positions refer to assets or liabilities of reporter’ foreign affiliates (branches or subsidiaries) with
residents of the host country in which the affiliate is located. Local positions also include domestic
positions of the reporter and its home country subsidiaries with residents of the United States. So, a claim
or liability is reported as “local” when the office booking the claim or liability is located in the same
country as the country of residence of the borrower or creditor (Table 2).
Line Item M1.a: Cross-Border Positions in FX
Report cross-border positions that are denominated in foreign currency. Foreign currency is any
currency other than the local currency of the country in which the counterparty resides (Table 2).
Line Item M1.a.(1): Of Which in USD
(Table 2, Total sector only).
Line Item M1.a.(2): Of Which in EUR
(Table 2, Total sector only).
Line Item M1.b: Cross-Border Positions in Local Currency
Report cross-border positions that are denominated in the local currency of the country in which
the counterparty resides (Table 2).
Line Item M1.c: Local Positions in FX
Report local positions that are denominated in foreign currency. Foreign currency is any currency
other than the local currency of the country in which the counterparty resides (Table 2).
19

Line Item M1.c.(1): Of Which in USD
(Table 2, Total sector only).
Line Item M1.c.(2): Of Which in EUR
(Table 2, Total sector only).
Line Item M1.d: Local Positions in Local Currency
Report local positions that are denominated in the local currency of the country in which the
counterparty resides (Table 2).

Line Item M2: Total Financial Liabilities by Position Type
Report total financial liabilities by position type. See definition on the asset side, item 15 for cross border
and local position (Table 2). Refer to line item 22 “Total Financial Liabilities”.

Line Item M2.a: Cross-Border Positions in FX
Report cross-border positions that are denominated in foreign currency. Foreign currency is any
currency other than the local currency of the country in which the counterparty resides (Table 2).
Line Item M2.a.(1): Of Which in USD
(Table 2, Sector Total only).
Line Item M2.a.(2): Of Which in EUR.
(Table 2, Sector Total only).

Line Item M2.b: Cross-Border Positions in Local Currency
Report cross-border positions that are denominated in the local currency of the country in which
the counterparty resides. A currency is considered to be a local currency of a country only if the
country, directly or through a currency union, has the authority to issue that currency (Table 2).

Line Item M2.c: Local Positions in FX
Report local positions that are denominated in foreign currency. Foreign currency is any currency
other than the local currency of the country in which the counterparty resides (Table 2).
Line Item M2.c.(1): Of Which in USD
(Table 2, Sector Total only).
Line Item M2.c.(2): Of Which in EUR
(Table 2, Sector Total only).
Line Item M2.d: Local Positions in Local Currency
Report local positions that are denominated in the local currency of the country in which the
counterparty resides (Table 2).

20

Examples:
Main-Schedule – Table 1
1.) Remaining Maturity
At the end of March, a reporting banking organization has the following reverse repo
positions:
•

$100 million denominated in EUR of which $75 million with a remaining maturity of
4 months and $25 million due on demand;

•

$250 million denominated in JPY with a remaining maturity of 3 years; and

•

$100 million denominated in GBP with an overnight maturity

Entries would be:

21

Main-Schedule – Table 2
1.) Positions with Central Banks
U.S. reporting banking organization places $250 million on deposit at its respective central
bank:
Entry would be:

2.) Cross-Border Assets
The German branch of a Japanese reporting banking organization:

22

•

Issues a $100 million loan (denominated in USD, matures in 5 years) to a UK insurance
company;

•

Holds $400 million unsecured debt securities by UK banks (denominated in EUR,
matures in 9 months); and

•

Holds $300 million ABS securities issued by UK broker dealers (denominated in GBP,
matures in 3 years).

Entries would be:

23

Example:
Main-Schedule – Table 2
1.) Liabilities in FX / Local Currency
The German branch of a U.S. reporter accepts
• A $500 mil deposit (denominated in Yen; matures in 2 years) placed by a German resident law firm;
• A $50 mil deposit (denominated in EUR; matures in 3 years) by a German resident high wealth
individual client.
Entries would be:

Example:
Main-schedule – Table 2
1.) Financial Guarantees Given
A reporting banking organization is selling protection to a pension fund incorporated in the
Cayman Islands that pays out the loss given default times the nominal amount of a Swiss
bank if the Swiss bank defaults. The notional amount is 100 million EUR, worth $135
million as of the report date.
Entries would be:

24

25

The Financial Derivatives Schedule
What to Report
The Financial Derivatives Schedule is designed to collect the gross fair value and notional amount of
the reporter’s consolidated holdings of derivative contracts held for the reporter’s own account.
Derivative contracts held for the accounts of the reporter’s customers should be excluded from this
schedule. Include all types of risk categories and instruments (e.g., foreign exchange, interest rate,
equity, commodities, and credit default swaps (CDS)). No crossings are required for financial
derivatives and its subcategories.
For further information on derivatives, refer to ASC Topic 815, Derivatives and Hedging, and the FR
Y-9C Glossary entry for “derivative contracts”.
Valuation
The gross fair value and notional amount are reported for total financial derivatives. The gross positive
and gross negative fair values, as well as the gross notional amounts are reported for the Financial
Derivatives Schedule. The definition of gross fair value and notional amount is consistent with the
definitions used on the FR 2436. Derivative contracts should be reported gross, regardless if netting is
permitted by U.S. GAAP.
Types of Reportable Derivatives
Financial derivatives are to be reported in the following three subcategories:
Line Item 1: Exchange-Traded Derivatives
Report on line 1 in Columns 1, 2 and 3, the gross positive fair value, gross negative fair value, and the
notional amount of all futures and options contracts executed on organized exchanges, as well as
swaps contracts executed on a swap execution facility (SEF) in the U.S. or multilateral trading facility
(MTF) in Europe. This data should be consistent with the exchange-traded derivatives reported on
Schedule L of the FR Y-9C. Exclude any derivative contracts cleared centrally at a central
counterparty (CCP).
Line Item 2: Centrally Cleared Over-the-Counter Derivatives
Report on line 2 in Columns 1 2, and 3 the gross positive fair value,gross negative fair value, and
notional amount of outstanding OTC derivative positions which will be settled through a central
counterparty (CCP). Central counterparties are entities (e.g., a clearing house) that facilitate trades
between counterparties in one or more financial markets by either guaranteeing trades or novating
contracts, in which one contract with the direct counterparty is replaced by two contracts with the CCP.
When acting as a financial intermediary (i.e., where the banking organization is a counterparty to both
the client and the CCP), report the notional and fair value amounts associated with each contract (i.e.,
the contract with the CCP and the contract with the client). Do not include cleared derivative
transactions (i.e., transactions where the banking organization provides clearing services for clients
executing trades via an exchange or with a CCP) where the banking organization is not a direct
counterparty in the contract.

26

Line Item 3: Bilateral/Uncleared OTC Derivatives
Report on line 3 in Columns 1, 2,and 3 the gross positive fair value, gross negative fair value, and
notional amount of outstanding OTC derivative positions which will be settled bilaterally (i.e.,
without the use of a central counterparty). Include all types of risk categories and instruments (e.g.,
foreign exchange, interest rate, equity, commodities, and CDS).
Instruments
Financial derivatives are to be reported according to the predominant risk characteristic in the
following subcategories:
Line Items 1.a, 2.a, 3.a: Equity Derivatives
Equity derivative contracts are contracts that have a return, or a portion of their return, linked to the
price of a particular equity or to an index of equity prices, as defined in the FR Y-9C.
Line Items 1.b, 2.b, 3.b: Interest Rate Derivatives
Interest rate contracts are contracts related to an interest bearing financial instrument or whose cash
flows are determined by referencing interest rates or another interest rate contract, as defined in the FR
Y-9C. These include single currency interest rate swaps, basis swaps, forward rate agreements, and
interest rate options, including caps, floors, collars, and corridors.
Line Items 1.c, 2.c, 3.c: Foreign Exchange Derivatives
Foreign exchange contracts are contracts to purchase foreign (non-U.S.) currencies and U.S. dollar
exchange in the forward market, as defined in the FR Y-9C. A purchase of U.S. dollar exchange is
equivalent to a sale of foreign currency. Foreign exchange contracts include outright forwards and
foreign exchange swaps, currency swaps, cross-currency swaps, and options, and excludes spot trades.
Only the purchase side of a foreign currency transaction is to be reported. However, in those
transactions where foreign (non-U.S.) currencies are bought or sold against U.S. dollars, report only
that side of the transaction that involves the foreign (non-U.S.) currency.
Line Items 1.d, 2.d, 3.d: Credit Derivatives
Credit derivative contracts are arrangements that allow one party (the “protection purchaser” or
“beneficiary”) to transfer the credit risk of a “reference asset” or “reference entity” to another party
(the “protection seller” or “guarantor’’), as defined in the FR Y-9C. These include basket swaps, credit
forwards, credit spread options, credit default options, credit default swaps, first-to-default swaps and
total return swaps.

27

Line Items 1.e, 2.e, 3.e: Commodity Derivatives
Commodity contracts are contracts that have a return, or a portion of their return, linked to the price of
or to an index of precious metals (including gold), petroleum, lumber, agricultural products, etc., as
defined in the FR Y-9C. A commodity contract can be structured as a future, forward, option, or swap
contract.
Line Items 1.f, 2.f, 3.f: Other Derivatives
Other contracts include any derivative contract that is not reportable as equity derivative, interest rate,
foreign exchange, credit derivative, or commodity contracts. These can include derivatives baskets and
structured derivatives.
Contracts with multiple risk characteristics should be classified based upon the predominant risk
characteristics at the origination of the derivative.

28

The Foreign Exchange Derivatives Schedule
What to Report
The Foreign Exchange Derivatives Schedule is designed to collect, by currency and remaining
maturity, the gross notional amount of the reporter’s consolidated holdings of foreign exchange
derivative contracts excluding gold held for its own account (reported as a commodity contract in the
Financial Derivatives Schedule). All contracts should be reported gross, regardless if netting is
permitted by U.S. GAAP. Inter-desk trades are excluded from this schedule. Report both sides of
foreign exchange transactions involving the specified currencies listed below.
Types of Reportable Derivatives
Report all deals involving an exchange of more than one currency or with exposure to an exchange
rate. These include currency forwards, FX swaps, currency swaps, and cross currency interest rate
swaps, and excludes spot trades.
The instrument breakdown in the schedule is reported as follows:
Line Item 1: Currency Forwards
Report the notional amount of all currency forward contracts and FX swaps.
Line Item 2: Currency Swaps
Report the sum of items 2.a and 2.b. Report all currency swaps including cross currency interest rate
swaps based on whether principles are exchanged at maturity or only the exchange of interest occurs.
Line Item 2.a: Exchange of Notional
Include all currency swap contracts where the notional amounts are exchanged, or both the
notional and interest are exchanged.
Line Item 2.b: Only Exchange of Interest
Include all currency swap contracts where only the exchange of interest occurs.
Currencies
The currencies are displayed in a matrix structure with the short currency (the currency sold or paid at
maturity) in the columns and the long currency (the currency bought or received at maturity) in the
rows. The following specified currencies are to be used:
•
•
•
•
•
•

USD: United States Dollar;
EUR: Euro;
JPY: Japanese Yen;
GBP: British Pound;
CHF: Swiss Franc;
CNY: Yuan Renminbi (includes CNY, Chinese Yuan Onshore, and CNH, Chinese Yuan
Offshore);

29

•

Other: All other currencies not specified above

Remaining maturity
As defined in the instructions for the I-A Immediate Counterparty (I-AC) Schedule, remaining
maturity is the amount of time remaining from the report date until the final contractual maturity of the
instrument without regard to the instrument’s repayment schedule, if any.
For each foreign exchange derivative type, report positions in to the following remaining maturity
buckets:
•
•
•
•

1. Non-maturity instruments (including on demand and open positions).
2. Overnight and less than 3 months.
3. 3 months and less than 1 year.
4. 1 year and over.

The reporter should file separate schedules for each remaining maturity bucket for which it has a
foreign derivative position. For the indicator item “Remaining Maturity Bucket,” report the number
of the appropriate remaining maturity bucket from the list above.
Example:
A reporter has entered into a forward contract selling $100 mil USD against EUR maturing in two
months. Reporting entries would be $100 mil in the remaining maturity bucket “overnight and less
than 3 months” in column A (USD) and row 1.2 (EUR):

30

Glossary

31

Affiliates: A branch, subsidiary or a joint venture, which are consolidated within the banking group
(regulatory or accounting, depending on the scope).
Allowances: Specific allowances are the cumulative amount of impairments related to financial
assets which have been assessed individually, and the cumulative amount of collective impairment
calculated on insignificant loans which are impaired on an individual basis and for which the
institution decides to use a statistical approach. General allowances are the cumulative amount of
collective impairment determined on financial assets which are not impaired on an individual basis.
Associated company: A corporation in which the reporting banking organization, directly or
indirectly, owns 20 to 50 percent of the outstanding voting stock and/or over which the reporting
bank exercises significant influence. This 20 to 50 percent ownership is presumed to carry
“significant” influence unless the holding company can demonstrate the contrary to the satisfaction
of the Federal Reserve.
Banking offices: Includes banks’ head offices, branches and subsidiaries.
Banks, deposit-taking corporations: Financial institutions whose business it is to receive deposits
or close substitutes for deposits and to grant credits or invest in securities on their own account. For
further information, see the FR Y-9C Glossary entries for “Banks, U.S. and Foreign” and
“Depository Institutions.
Branch: Operating entity which do not have a separate legal status and is thus integral part of the
parent bank.
Carrying amount: The carrying amount or book value (balance sheet value) is the amount for
which the instruments are reported in the financial statements, according to the international or
GAAP accounting standards.
Cash collateral: Collateral consisting of cash, negotiable instruments (e.g., negotiable securities),
documents of title, deposit accounts or other cash equivalents. It includes any negotiable assets that
may be converted into liquid assets, if necessary. In bankruptcy proceedings, cash collateral is
important for presenting an accurate picture of the financial condition related to the action.
Depending on the type of bankruptcy that is being filed, conversion of assets into cash may be
required. This cash collateral is then used to discharge part of the outstanding indebtedness, leaving
the court to address the disposition of any remaining credit.
Central banks: See “Official monetary authorities”.
Central counterparties (CCPs): A clearing house that interposes itself between counterparties to
contracts traded in one or more financial markets, becoming the buyer to every seller and the seller
to every buyer and thereby ensuring the future performance of open contracts. A CCP becomes
counterparty to trades with market participants through novation, an open offer system, or another
legally binding arrangement.
Controlling parent institution: The entity that controls or exerts dominant influence over the
financial affiliates in a corporate group. In the International Banking Statistics (IBS), what is
relevant for the identification of the controlling parent is the highest level entity over which
consolidated supervision is exercised by prudential authorities. The controlling parent institution of
a reporting banking organization may thus be the ultimate parent, or may be the head of a financial
32

group that is a subset of a diversified conglomerate. For banks that are not part of a larger corporate
group, the controlling parent is generally the head office (or home office) of the bank.

33

Corporate joint venture: A corporation owned and operated by a group of companies (“joint
ventures”), no one of which has majority interest, as a separate and specific business or project for
the mutual benefit of the joint ventures. Each joint venture may participate, directly or indirectly, in
the management of the joint venture.
Credit commitments: Arrangements that irrevocably obligate an institution, at a client’s request, to
extend credit in the form of loans, participation in loans, lease financing receivables, mortgages,
overdrafts or other loan substitutes or commitments to extend credit in the form of the purchase of
loans, securities or other assets, such as backup facilities including those under note issuance
facilities and revolving underwriting facilities.
Credit derivatives contract: Derivative whose redemption value is linked to specified credit-related
events, such as bankruptcy, credit downgrade, non-payment, or default of a borrower. For example, a
lender might use a credit derivative to hedge the risk that a borrower might default. Common credit
derivatives include credit default swaps, total return swaps and credit spread options.
Cross currency swaps: A variation of a currency swap in which at least one of the payment streams
varies with a floating interest rate. These instruments fall into the currency swaps section.
Currency swaps: Derivative contracts which commits two parties to exchange streams of interest
payments in different currencies for an agreed period of time and to exchange principal amounts in
different currencies at pre-agreed exchange rate at maturity.
Debt securities: Negotiable instruments other than loans and deposits, equity securities, investment
fund shares or units, and financial derivatives. All financial assets that are bearer instruments,
usually negotiable and traded on secondary markets, not granting the holder any ownership rights to
the institutional unit issuing them. Non-negotiable instruments are classified as loans and deposits.
Derivative instrument: A financial instrument whose value depends on some underlying financial
asset, commodity index or predefined variable. For further information, see the FR Y-9C Glossary
entry for “Derivative Contracts”.
Equity securities: An equity security is any financial instrument that evidences a residual interest
in the assets of an entity after deduction of all of its liabilities.
Face value: The amount of principal to be repaid (2008 SNA 3.154 (d)). It is equivalent to the
redemption price of a debt security excluding accrued interest (2009 Handbook on Securities
Statistics, Part 1).
Fair value: The accounting act of recording the price or value of a security, portfolio or account to
reflect its current market value rather than its book value. For further information, see the FR Y-9C
Glossary entry for “Fair Value”.
Foreign currency: Any currency other than the currency of the country in which the counterparty
resides.
General government: Constitutes all units that exercise legislative, judicial, or executive authority
over other institutional units within a specified area, including all central government, state/regional
government and local government units and national insurance schemes / social security funds. In
addition, it includes non-profit institutions engaged in non-market production that are controlled and
mainly financed by government units and social security funds. Central banks, other official
monetary authorities (reported in Unallocated by Sector) and public corporations (included among
NFCs) are not part of the general government sector.

34

Guarantees Extended: Contingent liabilities arising from an irrevocable obligation to pay a thirdparty beneficiary when a client fails to perform certain contractual obligations. They include
secured, bid and performance bonds, warranties and indemnities, confirmed documentary credits,
irrevocable and standby letters of credit, acceptances and endorsements. Guarantees extended also
include the contingent liabilities of the protection seller of credit derivatives instruments, when they
qualify for financial guarantees under U.S. GAAP. For further information, see the FFIEC 009
definition for “Guarantees.”
Home country: The country where the prudential authority exercising the highest level of
consolidated supervisions is located. Also referred to as the “Parent country”.
Insurance companies: Incorporated, mutual, and other entities whose principal function is to
provide life, accident, health, fire, or other forms of insurance to customers or reinsurance services
to other insurance corporations.
Interbank positions: Asset and liability positions reported by a bank vis-à-vis another bank.
International organization: International organizations are those that meet either of the following
conditions: (a) The members of the organization are either national states or other international
organizations whose members are national states; they thus derive their authority either directly
from the national states that are their members or indirectly from them through other international
organizations. (b) They are entities established by formal political agreements between their
members that have the status of international treaties; their existence is recognized by law in their
member countries.
Joint venture: A (banking) enterprise in which two or more parties hold major interests. One of
those parties may, but need not, be of the country in which the joint venture operates.
Loan: A loan is generally an extension of credit resulting from direct negotiations between a lender
and a borrower. The reporting banking organizations or its consolidated subsidiaries may originate a
loan by directly negotiating with a borrower or it may purchase a loan or a portion of a loan
originated by another lender that directly negotiated with a borrower. For additional information.
For further information, see the FR Y-9C Glossary entry for “Loans”.
Loans secured by real estate: Is a loan that, at origination is secured wholly or substantially by a
lien or liens on real property for which the lien or liens are central to the extension of the credit-that
is, the borrower would not have extended credit in the same amount or on terms as favorable
without the lien or liens on real property. This criterion may vary by jurisdiction. Therefore,
reporting banking organizations should follow the criteria or guidelines established by its home
country supervisor (HCS) to classify loans as secured by real estate. For further information, see the
FR Y-9C Glossary entry for “Loan Secured By Real Estate”.
Local currency: The domestic currency of the country in which the counterparty resides.
Local positions in local currency: Asset or liability positions with a counterparty (bank or nonbank) located in the same country as the banking office and which are denominated in the domestic
currency of the country.
Local positions in foreign currencies: Asset or liability positions with a counterparty (bank or
non-bank) located in the same country as the banking office and which are denominated in a
currency other than the domestic currency of the country.

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Long-term: Maturities exceeding one year or with no stated maturity.
Negotiable security: A security where legal ownership is readily capable of being transferred from
one entity to another by delivery or endorsement (BPM6, paragraph 5.15). It is not necessary that a
security be traded on an exchange for it to be considered negotiable.
Netting agreement: A netting agreement (or master netting agreement) is a standardized bilateral
contract that enables trading counterparties to agree to net collateral requirements. Such an
agreement enables the positive balances of one counterparty to be offset against the negative ones of
another when payable the same day and in the same currency. For further information, see Basel
Committee on Banking Supervision, International convergence of capital measurement and capital
standards, BIS, June 2006. Available at: www.bis.org/publ/bcbs128.htm.
Netting set: A group of transactions with a single counterparty that are subject to a single, legallyenforceable, bilateral netting agreement.
Nominal value: The outstanding amount the debtor owes to the creditor, which is composed of the
outstanding principal amount including any accrued interest (BPM6, 3.88). The nominal value
reflects the sum of funds originally advanced, plus any subsequent advances, plus any interest that
has accrued, less any repayments (which includes any payments covering interest accrual).
Non-Bank Financial Institutions (NBFI): Private or public financial institutions or part thereof
(e.g., subsidiary or other operating unit), whose major activity is to raise or otherwise obtain funds
to provide to another entity or to provide financial services or activities auxiliary to financial
intermediation such as fund management. The category may include, but it is not limited to, money
market funds (MMFs), insurance companies, pension funds, central counterparties (CCPs), nonbank depository institutions, securities brokers/dealers, financial holding companies not included in
banking groups, mutual funds, and asset managers. For further information, see the FFIEC 009
sector definition for “Non-Bank Financial Institutions (NBFIs)”
Non-Financial Corporations (NFC): Privately and publicly owned corporations as well as
unincorporated enterprises that function as if they were corporations, such as partnerships and the
offices of foreign corporations that engage, for example, in the production of market goods and nonfinancial services. For further information, see the FFIEC 009 sector definition for “Corporate”.
Notional amount: The nominal or face amount that is used to calculate payments made on that
instrument
Official monetary authorities: Central banks or similar national and international bodies, such as
the BIS.
On demand: Payable immediately upon request or having an original maturity or required notice
period of less than seven days, or that represent funds for which the depository institution does not
reserve the right to require at least seven days’ written notice of an intended withdrawal.
Open position: Outstanding trades agreed without fixing a maturity date. For example, an open
repurchase agreement can be terminated on any day in the future by either party, provided they give
notice before an agreed daily deadline.
Parent country: See “Home country”.

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Parent institution: See “Controlling parent institution”.
Provisions: Provisions are liabilities of uncertain timing or amount (IAS 37).
Reporting banking organization: An institution participating in the reporting exercise described in
these Guidelines.
Repurchase/resale agreements: A repurchase agreement is a transaction involving the “sale” of
financial assets by one party to another, subject to an agreement by the “seller” to repurchase the
assets at a specified date or in specified circumstances. Resale agreements (also known as a reverse
repurchase agreement) is a transaction involving the “purchase” of financial assets by one party
from another, subject to an agreement by the “purchaser” to resell the assets at specified date or in
specified circumstances. For further information, see the FR Y-9C Glossary entry for
“Repurchase/Resale Agreements”.
Securities borrowing/ lending: Securities borrowing/lending transactions are typically initiated by
broker-dealers and other financial institutions that need specific securities to cover a short sale or a
customer’s failure to deliver securities sold. The borrower of securities generally is required to
provide collateral to the lender of securities, commonly cash but sometimes other securities or
standby letters of credit, with a value slightly higher than that of the securities borrowed. For further
information, see the FR Y-9C Glossary entry for “Securities Borrowing/Lending Transactions.”
Separate accounts: Separate accounts are employed by life insurers to segregate and account for
assets and related liabilities maintained to meet specific investment objectives of contract holders.
The accounts are often maintained as separate accounting entities for pension funds as well as fixed
benefit, variable annuity and other products on which the customer and not the insurer retains all or
most of the investment and/or interest rate risk. The assets of each account are legally segregated
and are not subject to claims that arise out of any other business of the company.
Short position: See “Short sales/short selling”.
Short sales / short selling: When a holding company or its consolidated subsidiaries sell an asset
that they do not own, they have established a short position, If on the report date a holding company
or its subsidiaries are in a short positions, it shall report its liability to purchase the asset in the I-A
IC schedule under “Other Financial Payables.” Short positions shall be reported gross. Short trading
positions shall be revalued consistent with the method used by the reporting banking organization
for the valuation of its trading account assets.
Short-term: Maturities of up to and including one year or “on demand”.
Subsidiary: A separately incorporated entity in which another entity has a majority or full
participation.

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