FRY14Q_20220930_f_draft_Counterparty

FR Y-14Q: Counterparty Credit Risk
See Counterparty Schedule instructions for guidance on completing this schedule.
BHCs/IHCs/SLHCs should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.

Institution Name:
RSSD ID:
Submission date:
Data as of date:
Version:
When Received:

Note: The red text in this document indicates changes made to the form going into effect on
June 30, 2023.

Sub-schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm unstressed Credit Valuation Adjustment (CVA), ranked by unstressed CVA
$ Millions
Counterparty identifiers

Rank

Exposure and Position Data

Stressed
Consolidated/ Consolidated/P
Counterparty
Gross Current
Stressed Gross
Counterparty
Sub-netting Counterparty
Counterparty
Gross
Parent
arent
Counterparty
Netting Set ID
Counterparty Legal
Legal Entity
Exposure
Current Exposure
Legal Entity
Set ID
Legal Entity
Legal Entity
Current
Counterparty Counterparty Legal Entity Name
Entity Country
External
FR Scenario
BHC/IHC/SLHC
Identifier (LEI)
Industry Code
Internal Rating
Exposure
Name
ID
Rating
(Severely
scenario
Adverse)

Net Current
Exposure

Stressed Net
Stressed Net
Current Exposure Current Exposure
FR Scenario
BHC/IHC/SLHC
(Severely Adverse)
scenario

onsolidated/pa

CVA Data
Consolidated/P
arent
Counterparty
ID

Total Notional

New Notional
During
Quarter

Weighted
Average
Maturity

Position Markto-Market

Total Net
Collateral

CVA

Credit Mitigants
Stressed CVA
FR Scenario
and FR
Specification
(Severely
Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
specification

Credit Support
Annex in place?

Credit Hedges
%
Gross Current
Exposure with
CSAs

Downgrade
trigger
modeled?

Single Name
Credit Hedges

Sub-schedule L.1.b.1 Top consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Scenario Stressed CVA for the CCAR quarter
$ Millions
Counterparty identifiers
Consolidated/P
Consolidated/P
arent
Counterparty Legal
Rank
arent
Counterparty
Entity Name
Counterparty ID
Name

Exposure and Position Data
Counterparty
Legal Entity
Identifier (LEI)

Netting Set ID

Sub-netting Set
ID

Counterparty Counterparty Counterparty Counterparty
Legal Entity
Legal Entity
Legal Entity
Legal Entity
Industry Code
Country
Internal Rating External Rating

Gross Current
Exposure

Stressed Gross
Current Exposure
FR Scenario
(Severely Adverse)

Stressed Gross
Current
Exposure
BHC/IHC/SLHC
scenario

Net Current
Exposure

Stressed Net
Current
Exposure
FR Scenario
(Severely
Adverse)

Stressed Net
Current
Exposure
BHC/IHC/SLHC
scenario

Sub-sc
$ Milli
Counte

Rank

CVA Data

Total Notional

New Notional
During Quarter

Weighted
Average
Maturity

Position Mark-toMarket

Total Net
Collateral

CVA

Credit Mitigants
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
specification

Credit
Support
Annex in
place?

Credit Hedges
%
Gross Current
Exposure with
CSAs

Downgrade trigger
modeled?

Single Name
Credit Hedges

Sub-schedule L.1.e - Aggregate CVA data by ratings and collateralization
$ Millions
Sub-schedule L.1.e.1 Aggregate CVA data
Ratings Category

Internal
Rating

N/A

External Rating

Exposure Data

Gross Current
Exposure
excluding CCPs

Stressed
Stressed
Gross Current
Gross Current
Exposure
Stressed Gross
Gross Current
Exposure to
excluding
Current Exposure
Exposure to
CCPs
CCPs
BHC/IHC/SLHC
CCPs
FR Scenario
FR Scenario
scenario
(Severely
(Severely
Adverse)
Adverse)

Net Current
Exposure
excluding
CCPs

Net Current
Exposure to
CCPs

Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)

N/A

Sub-schedule L.1.e.2 Additional/Offline CVA reserves
Reserve Type

Reserve Type

(a) Model/infrastructure limitations
(b) Trades not captured
(b.1) Fair-valued Securities Financing Transactions (SFT)
(c) Offline reserves
(d) Funding Valuation Adjustment (if applicable)
(e) Other

Rating Category

Internal Rating

Exposure Data

External
Rating

Stressed
Stressed Gross
Gross Current
Stressed
Gross Current
Net Current
Gross Current Current Exposure Exposure to Gross Current
Exposure
Exposure
Exposure to
excluding CCPs
CCPs
Exposure
excluding
excluding
CCPs
FR Scenario
FR Scenario BHC/IHC/SLHC
CCPs
CCPs
(Severely Adverse)
(Severely
scenario
Adverse)

CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario

CVA

Credit Hedges

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification

Single Name Credit
Hedges

CVA Data
Stressed
Stressed
Net Current
Net Current
Net Current
Exposure
Exposure excluding
Exposure to
to CCPs
CCPs
CCPs
FR Scenario
FR Scenario
(Severely
(Severely Adverse)
Adverse)

Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario

CVA

Credit Hedges

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification

Single Name
Credit Hedges

Sub-schedule L.1.e.3 Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category
Exposure Data

Internal
Rating

External Rating

Gross Current
Exposure
excluding CCPs

Stressed
Stressed
Gross Current
Gross Current
Exposure
Stressed Gross
Gross Current
Exposure to
excluding
Current Exposure
Exposure to
CCPs
CCPs
BHC/IHC/SLHC
CCPs
FR Scenario
FR Scenario
scenario
(Severely
(Severely
Adverse)
Adverse)

Net Current
Exposure
excluding
CCPs

Net Current
Exposure to
CCPs

Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)

Net Current
Exposure to
CCPs

Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)

Sub-schedule L.1.e.4 Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating
Ratings Category
Exposure Data

Internal
rating

External rating

Gross Current
Exposure
excluding CCPs

Stressed
Stressed
Gross Current
Gross Current
Exposure
Stressed Gross
Gross Current
Exposure to
excluding
Current Exposure
Exposure to
CCPs
CCPs
BHC/IHC/SLHC
CCPs
FR Scenario
FR Scenario
scenario
(Severely
(Severely
Adverse)
Adverse)

Net Current
Exposure
excluding
CCPs

CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario

CVA

Credit Hedges

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification

CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario

CVA

Single Name Credit
Hedges

Credit Hedges

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification

Single Name Credit
Hedges

Sub-schedule L.1.f Residual counterparty summary metrics by collateralization, industry, region, and rating
$ Millions
Sub-schedule L.1.f.1 Residual counterparties: collateralized netting sets (netting sets with a CSA agreement in place)
Counterparty Attributes

Industry Code

Region

Exposure Data

Internal
Rating

External
Rating

Stressed
Stressed
Gross Current
Gross Current
Gross Current
Exposure
Gross Current
Exposure to
Stressed Gross
Exposure
excluding
Exposure to
CCPs
Current Exposure
excluding
CCPs
CCPs
FR Scenario BHC/IHC scenario
CCPs
FR Scenario
(Severely
(Severely
Adverse)
Adverse)

Net Current
Exposure
excluding
CCPs

Sub-schedule L.1.f.2 Residual counterparties: uncollateralized netting sets
Counterparty Attributes

Industry Code

Region

Exposure Data

Internal
Rating

External
Rating

Stressed
Stressed
Gross Current
Gross Current
Gross Current
Exposure
Gross Current
Exposure to
Stressed Gross
Net Current
Exposure
excluding
Exposure to
CCPs
Current Exposure Exposureexclu
excluding
CCPs
CCPs
FR Scenario BHC/IHC scenario
ding CCPs
CCPs
FR Scenario
(Severely
(Severely
Adverse)
Adverse)

CVA Data

Net Current
Exposure to
CCPs

Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current Exposure
BHC/IHC/SLHC
Scenario

CVA

Credit Hedges

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification

CVA Data

Net Current
Exposure to
CCPs

Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)

Stressed
Net Current Exposure
BHC/IHC/SLHC
Scenario

CVA

Single Name Credit
Hedges

Credit Hedges

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification

Single Name Credit
Hedges

Sub-schedule L.2.a EE profile by counterparty: Top consolidated/parent counterparties comprising 95% of firm unstressed CVA, ranked by unstressed CVA
$ Millions
Counterparty Identifiers

Rank

Consolidated/ Consolidated/
Counterparty
Parent
Parent
Counterparty Legal
Netting Set ID
Legal Entity
Counterparty Counterparty
Entity Name
Identifier (LEI)
Name
ID

CVA Inputs

Sub-netting
Set ID

Counterpar
ty Legal
Entity
Industry
Code

Counterparty
Legal Entity
Country

Counterparty
Legal Entity
Internal Rating

Counterpar
ty Legal
Tenor
Entity
Bucket in
External
Years
Rating

Stressed CV

Expected
Exposure (EE) - Marginal
BHC/IHC/SLH Probability of
C
Default (PD)
Specification

Loss
Given
Default
(LGD)
(CVA)

Discount
Factor

Stressed
Expected
Exposure
(EE) - FR
Scenario
and FR
Specificati
on
(Severely
Adverse)

ofile by counter

VA Inputs

Consolidated/
Parent
Counterparty
ID

Stressed Loss
Stressed Expected Stressed Marginal Stressed Marginal
Given Default
Exposure (EE) Probability of
Expected
(LGD) (CVA)
BHC/IHC/SLHC
Default (PD) FR
Exposure (EE)
FR Scenario
Scenario and
Scenario (Severely BHC/IHC/SLHC
(Severely
Specification
Adverse)
Scenario
Adverse)

Stressed Loss
Given Default
(LGD) (CVA)
BHC/IHC/SLHC
Scenario

Stressed Loss
Given Default (PD)
FR Scenario
(Severely Adverse)

Stressed Loss
Given Default
(PD)
BHC/IHC/SLHC
Scenario

Stressed
Stressed Discount
Discount
Factor
Factor
FR Scenario
BHC/IHC/SLH
(Severely Adverse)
C Scenario

Sub-schedule L.2.b EE profile by counterparty: Top consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Scenario St
$ Millions
Counterparty Identifiers

Rank

Consolidated/Paren
Counterparty
Consolidated/Paren Counterparty Legal
Netting Set ID
t Counterparty
Legal Entity
t Counterparty ID
Entity Name
Name
Identifier (LEI)

CVA Inputs

Sub-netting
Set ID

Counterpar
ty Legal
Entity
Industry
Code

Counterparty Legal
Entity Country

Counterparty
Legal Entity
Internal Rating

Counterpar
ty Legal
Tenor
Entity
Bucket in
External
Years
Rating

Adverse
by counterparty:
Scenar o Stressed
T
CVA for the CCAR quarter

Stressed CVA Inputs

Expected
Marginal
Consolidated/Paren Exposure (EE) Probability of
t Counterparty ID BHC/IHC/SLHC
Default (PD)
Specification

Loss
Given
Default
(LGD)
(CVA)

Discount
Factor

Stressed
Expected
Exposure
Stressed Loss
Stressed Expected Stressed Marginal Stressed Marginal
(EE) - FR
Given Default
Exposure (EE) Probability of
Probability of
Scenario
(LGD) (CVA)
BHC/IHC/SLHC
Default (PD) FR
Default (PD)
and FR
FR Scenario
Scenario and
Scenario (Severely BHC/IHC/SLHC
Specificati
(Severely
Specification
Adverse)
Scenario
on
Adverse)
(Severely
Adverse)

Stressed Loss
Given Default
(LGD) (CVA)
BHC/IHC/SLHC
Scenario

Stressed Loss
Given Default
(LGD) (PD) FR
Scenario
(Severely Adverse)

Stressed Loss
Given Default
(PD)
BHC/IHC/SLHC
Scenario

Stressed
Stressed Discount
Discount
Factor
Factor
FR Scenario
BHC/IHC/SLH
(Severely Adverse)
C Scenario

Sub-schedule L.3.a Credit quality by counterparty: Top consolidated/parent counterparties comprising 95% of firm unstressed CVA, ranked by unstressed CVA
Counterparty and Time Identifiers

Rank

Consolidated/P Consolidated/
Counterparty
Sub-netting Counterparty Counterparty
arent
Parent
Counterparty
Netting Set ID
Legal Entity
Set ID
Legal Entity
Legal Entity
Counterparty Counterparty Legal Entity Name
Identifier (LEI)
Industry Code
Country
Name
ID

Data Input
Counterparty Counterparty
Time period
Legal Entity
Legal Entity
(years)
Internal Rating External Rating

Market
spread
(bps)

quality by cou
ntifiersD

ts

Consolidated/
Spread
Spread
Parent
(bps) used
adjustme
Counterparty
in CVA
nt (bps)
ID
calculation

Type of Credit Quality Input
Stressed
Stressed
spreads (bps)
spreads (bps)
FR Scenario
BHC/IHC/SLHC
(Severely
Scenario
Adverse)

Mapping
approach

Proxy
mapping
approach

Proxy
name

Market
input
type

Ticker /
identifier

Report
date

Source
(Bloomberg,
Comments
Markit, KMV,
etc.)

Sub-schedule L.3.b Credit quality by counterparty: Top consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Sce
Counterparty and Time Identifiers

Rank

Data Input

Consolidated/P Consolidated/
Counterparty
Sub-netting Counterparty Counterparty Counterparty Counterparty
Market
arent
Parent
Counterparty
Time period
Legal Entity Netting Set ID
Set ID
Legal Entity
Legal Entity
Legal Entity
Legal Entity
spread
Counterparty Counterparty Legal Entity Name
(years)
Identifier (LEI)
Industry Code
Country
Internal Rating External Rating
(bps)
Name
ID

ly
quality
Adve by
se cou
Scenario Stressed CVA for the CCAR quarter
ntifiersD

ts

Stressed
Consolidated/
Spread
Stressed spreads
Spread
spreads (bps)
Parent
(bps) used
(bps)
adjustment
FR Scenario
Counterparty
in CVA
BHC/IHC/SLHC
(bps)
(Severely
ID
calculation
Scenario
Adverse)

Type of Credit Quality Input

Mapping
approach

Proxy
mapping
approach

Proxy
name

Market
input
type

Ticker /
identifier

Report
date

Source
(Bloomberg,
Comments
Markit, KMV,
etc.)

Sub-schedule L.4 Aggregate and Top CVA sensitivities by Risk Factor
L.4.a Aggregate CVA sensitivities by Risk Factor
L.4.b Top 10 Consolidated Counterparies CVA sensitivites by Risk Factor
Change to asset-side CVA for a given change in the underlying risk factor, gross of any hedges.
$ Millions, Increase in CVA reported as positive figure

Credit Spreads

-50%

-10%

-100bps

-10bps

Aggregate CVA sensitivities and slides
+1bp
+10%
+100%

+300%

+1bp
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+1bp
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+300bps

+1bp

+1bp

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Counterparty/Reference Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC or lower
NR
Interest Rates (bps)
EUR
<=1Y
1-5Y
>=5-10Y
>=10Y
All Maturities
GBP
<=1Y
1-5Y
>=5-10Y
>=10Y
All Maturities
USD
<=1Y
1-5Y
>=5-10Y
>=10Y

+1bp

+10bps

+100bps

Top 10 CVA Sensitivities by Risk Factors
+1bp
+1bp
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+1bp
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+1bp
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+1bp
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+1bp
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+1bp
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+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

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All maturities
Other material IR sensitivities
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FX (%)

-50%

-10%

+1%

+10%

+50%

+100%

+1%
<>
<>

+1%
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<>

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<>

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<>

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+1%
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+1%
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CAD

CHF

EUR

GBP

JPY
Other material FX sensitivities
<>
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Equity (%)

-50%

-10%

+1%

+10%

+50%

+100%

US <>

Europe <>

Other <>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
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+1%
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+1%
<>
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+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
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<>

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<>

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<>

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<>

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Other material equity sensitivities
<>
<>
<>
<>
<>
Commodities (%)

-50%

-10%

+1%

+10%

+100%

+300%

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
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<>
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Oil & Oil Products

Natural Gas

Power

Coal & Freight

Softs & Ags

Precious Metals

Base Metals
Other material commodity sensitivities
<>
<>
Other material sensitivities
<>
<>
<>
<>
<>
<>

-50%

-10%

+1%

+10%

+50%

+100%

+1%

+1%

-50%

-10%

+1%

+10%

+50%

+100%

+1%

+1%

+1%
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<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
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+1%
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+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

Sub-schedule L.5 - Derivatives and Securities Financing Transactions (SFT) profile: All CCPs and G7 sovereigns + Top 25 non-CCP/G7 SFT and derivative counterparties
$ Millions

Sub-schedule L.5.1 - Derivative and SFT information by counterparty legal entity and netting set/agreement
Counterparty, Netting Agreement identifiers

Rank
Methodology

1
1
1
2
2
1
QCCP
NQCCP
G7
…

Rank

1
1
1
24
24
25
QCCP
NQCCP
G7

Consolidated/Parent
Counterparty Name

CPName1
CPName1
CPName1
CPName24
CPName24
CPName25
Qualifying CCP name
Non-Qualifying CCP name
G7 Counterparty name

Netting Agreement Details

Consolidated/ Parent
Entity Counterparty
ID

CP1
CP1
CP1
CP24
CP24
CP25
QCCP_1
NQCCP_1
G7_1

Counterparty Legal Entity Name

CP1_LE_Name1
CP1_LE_Name1
CP1_LE _Name2
CP24_LE_Name1
CP24_LE_Name2
CP25_LE_Name1
QCCP_1_LE_Name1
NQCCP_1_LE_Name1
G7_1_LE_Name1

Counterparty Legal Entity
Identifier (LEI)

CP_1_LE_1
CP_1_LE_1
CP_1_LE_2
CP_24_LE_1
CP_24_LE_2
CP_25_LE_1
QCCP_1_LE_1
NQCCP_1_LE_1
G7_1_LE_1

Netting Set ID

Counterparty Legal Entity Industry
Code

Counterparty Legal Entity
Country

Counterparty
Legal Entity
Internal Rating

Counterparty
Legal Entity
External
Rating

NS1_1_1
NS1_1_2
NS1_2_1
NS24_1_1
NS24_2_1
NS25_1_1
NS26_QCCP_1_1
NS28_NQCCP_1_1
NS27_G7_1_1

Agreement
Type

Agreement
Role

Legal
Enforceability

Derivatives 1-wNA
Derivatives no NA
SFT Repo
Principal
SFT Sec Lendin Principal
SFT Cross-prod Agent
SFT Derivative Agent
…

Sub-schedule L.5.2 - SFT assets posted and received by counterparty legal entity and netting set/agreement and asset category
Counterparty identifiers

Rank
Methodology

Rank

Unstressed Mark-to-Market (Posted) by Asset category

Consolidated/Parent
Counterparty Name

Consolidated /
Parent Entity
Counterparty ID

Counterparty Legal Entity Name

Counterparty Legal Entity
Identifier (LEI)

Central Debt
Mark-to-Market (Posted)

Netting Set ID

Japan
1
1
QCCP
NQCCP
NQCCP
NA

1
1
QCCP
NQCCP
NQCCP
2

CPName1
CPName1
CPName2
CPName3
CPName3
CPName4

CP1
CP1
CP2
CP3
CP3
CP4

CP1_Legal_Ent_1
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP3_Legal_Ent_1
CP3_Legal_Ent_2
CP4_Legal_Ent_2

Equity
Mark-to-Market (Posted)

Other

US

CAD

UK

Eurozone

Other
Economies
(specify)

NA1_1_1
NA1_1_2
NA2_1_1
NA3_1_1
NA3_2_1
NA4_1_1

Sub-schedule L.5.3 - Aggregate SFTs by Internal Rating
Ratings Category

Exposure Data
Agency MBS

Equities

Corporate Bonds

Non-Agency (ABS, RMBS)

Initial
Margin

Corpora
Advanced
Mark-to-M

IG

Sov

Netting Agreement Details

Non-cash
collateral type

Excess Variation
Margin (for CCPs)

Default Fund (for
CCPs)

Threshold CP

Minimum
Minimum
Threshold BHC/IHC/SLHC Transfer Amount Transfer Amount
CP
BHC/IHC/SLHC

Current Exposure

Margining
frequency

CSA
contractual
features (nonvanilla)

WWR position

Total Net
Current
Exposure

None
None
None
None
None
Specific
General

Unstressed Mark-to-Market (Posted) by Asset category

ate Bonds d Economies
Market (Posted)

Sub-IG

Corporate Bonds Other Economies
Mark-to-Market (Posted)

IG

Sub-IG

Exchange-Traded Funds
Mark-to-Market (Posted)

Equity

Fixed Income

Repo and Reverse Repo - Gross Value of Instruments on Reporting Date
ereigns

Other

Cash (+/-)

US Agency MBS/CMBS
Mark-to-Market (Posted)

Pass-Throughs

Other (specify)

Non-Agency RMBS/ABS/CMBS
Mark-to-Market (Posted)

IG

Sub-IG

M

USD

EUR

Securities Lending and Borrowing - Gross Value of Instruments on Reporting Date
US Treasury & Agency

Agency MBS

Equities

e

Position Mark-to-Market Values

Total Stressed
Net Current
Exposure
FR Scenario
(Severely
Adverse)

Net Current
Exposure SFTs

Stressed Net
Current Exposure
SFTs
FR scenario
(Severely Adverse)

Net Current
Exposure
Derivatives

Stressed Net
Stressed Mark-toUnstressed
Current Exposure
Unstressed Mark-toMarket
Unstressed Mark-toMark-toDerivatives
Market Received
(Derivatives)
Market (Derivatives) Market Posted
FR scenario
(SFTs)
FR scenario (Severely
(SFTs)
(Severely Adverse)
Adverse)

Unstressed Mark-to-Market (Posted) by Asset Category

Cash
Mark-to-Market (Posted)

GBP

Other (specify)

Inflationindexed
securities

Commercial paper

Municipal Bonds

Central Debt
Mark-to-Market (Received)

Other (specify)

United States

United
Kingdom &
France

Germany

Securities Lending and Borrowing - Gross Value of Instruments on Reporting Date
Corporate Bonds

Non-Agency (ABS, RMBS)

Sovereigns

Stressed Markto-Market
Received
(SFTs)
FR scenario
(Severely
Adverse)

Unstressed Mark-to-Market (Received) by Asset category

Other Mark-to-Market (Posted)

JPY

Stressed Markto-Market
Posted (SFTs)
FR scenario
(Severely
Adverse)

Other

Cash

Other Eurozone

Collateral Mark-to-Market Values

Unstressed Mark-to-Market Cash Collateral (Derivatives)

USD

EUR

GBP

JPY

Total
Unstressed
Mark-toMarket
Collateral
(Derivatives)

Other

Stressed Mark-to-M
(

USD

EUR

Unstressed Mark-to-Market (Received) by Asset category

Corporate
Advanced E
Mark-to-Mark

Equity
Mark-to-Market (Received)

Japan

Other

US

CAD

UK

Eurozone

Other Economies
(specify)

IG

Credit Quality and CDS Hedges

Total Stressed
Mark-to-Market
Collateral
(Derivatives)

Market Cash Collateral (Derivatives)
FR scenario
Severely Adverse)

GBP

JPY

CDS Reference
Entity Type

5Y CDS Spread
(bp)

Wrong Way Risk
hedge?

CDS Hedge
Notional

Stressed CVA
FR scenario
(Severely
Adverse)

Other

Unstressed Mark-to-Market (Received) by Asset category

e Bonds Economies
ket (Received)

Sub-IG

Corporate Bonds Other Economies
Mark-to-Market (Received)

IG

Sub-IG

Exchange-Traded Funds
Mark-to-Market (Received)

Equity

Fixed Income

US Agency MBS/CMBS
Mark-to-Market (Received)

Pass-Throughs

Other (specify)

Stressed M

Cash
Mark-to-Market (Received)

Non-Agency RMBS/ABS/CMBS
Mark-to-Market (Received)

IG

Sub-IG

USD

EUR

GBP

Other
Mark-to-Market (Received)

JPY

Other
(specify)

InflationCommerci Municipal
indexed
al paper
Bonds
securities

Other
(specify)

United
States

ark-to-Market (Posted) by Asset category - FR Scenario (Severely Adverse)
Central Debt
Stressed Mark-to-Market (Posted)
FR Scenario
(Severely Adverse)
United
Other
Germany Kingdom
Eurozone
& France

Japan

Equity
Stressed Mark-to-Market (Posted)
FR Scenario
(Severely Adverse)

Other

US

CAD

UK

Other
Eurozone Economies
(specify)

Corporate Bonds Corporate Bonds Advanced Economies
Other Economies
Stressed Mark-to-Market Stressed Mark-to-Market
(Posted)
(Posted)
FR Scenario
FR Scenario
(Severely Adverse)
(Severely Adverse)
IG

Sub-IG

IG

Sub-IG

Stressed Mark-to-Market (Posted) by Asset category - FR Scenario (Severely Adverse)
Exchange-Traded Funds
Stressed Mark-to-Market
(Posted)
FR Scenario
(Severely Adverse)

Equity

US Agency MBS/CMBS
Stressed Mark-to-Market
(Posted)
FR Scenario
(Severely Adverse)

Fixed Income Pass-Throughs

Other
(specify)

Non-Agency
RMBS/ABS/CMBS
Stressed Mark-toMarket (Posted)
FR Scenario
(Severely Adverse)

IG

Sub-IG

Cash
Stressed Mark-to-Market (Posted)
FR Scenario
(Severely Adverse)

USD

EUR

GBP

JPY

Other
Stressed Mark-to-Market (Posted)
FR Scenario
(Severely Adverse)

Other

InflationCommerci Municipal Other
indexed
al paper
Bonds
(specify)
securities

Stressed Mark-to-Market (Received) by Asset category - FR Scenario (Severely Adverse)
Central Debt
Stressed Mark-to-Market (Received)
FR Scenario
(Severely Adverse)

United
States

United
Germany Kingdom
& France

Other
Eurozone

Japan

Equity
Stressed Mark-to-Market (Received)
FR Scenario
(Severely Adverse)

Other

US

CAD

UK

Other
Eurozone Economies
(specify)

Corporate Bonds Advanced Economies
Stressed Mark-toMarket (Received)
FR Scenario
(Severely Adverse)
IG

Sub-IG

Corporate Bonds Other Economies
Stressed Mark-to-Market
(Received)
FR Scenario
(Severely Adverse)
IG

Sub-IG

Stressed Mark-to-Market (Received) by Asset category - FR Scenario (Severely Adverse)
ETF Exchange-Traded
US Agency MBS/CMBS
Funds
Stressed Mark-toStressed Mark-toMarket (Received)
Market (Received)
FR Scenario
FR Scenario
(Severely Adverse)
(Severely Adverse)
Equity

Fixed
Income

PassThroughs

Other
(specify)

Non-Agency
RMBS/ABS/CMBS
Stressed Mark-toMarket (Received)
FR Scenario
(Severely Adverse)

IG

Sub-IG

Cash
Stressed Mark-to-Market (Received)
FR Scenario
(Severely Adverse)

USD

EUR

GBP

JPY

Other
Stressed Mark-to-Market (Received)
FR Scenario
(Severely Adverse)

Other
(specify)

InflationCommerci Municipal Other
indexed
al paper
Bonds
(specify)
securities

Internal rating

External
rating

Net Current Exposure

Stressed Net Current
Exposure
FR scenario (Severely
Adverse)

Stressed Net Current
Exposure
BHC scenario

Indemnified
Securities Lent
(Notional Balance)

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Sub-schedule L.5.4 Derivative position detail by counterparty legal entity and netting set/agreement and asset category
Counterparty identifiers
Rank
Methodology

Rank

Counterparty Name

Consolidated /
Parent Entity
Counterparty ID

Counterparty Legal Entity Name

Counterparty Legal Entity
Identifier (LEI)

Unstressed Exposure Mark-to-Market by Asset category

Netting Set ID

Vanilla Equity Derivatives
Unstressed Exposure Mark-toMarket

…
G7
G7
QCCP
NQCCP

Flow Exotic and
Structured Interest Rate
Structured FX
Derivatives
Derivatives
Unstressed Exposure Mark-toUnstressed
Market
Exposure Markto-Market

Other Cash +
Structured
Other (single
Physical
(Multi-name) Exotic Equity
name) Credit
Commodity
Credit
Derivatives
Derivatives
Derivatives
Derivatives
Unstressed
Unstressed
Unstressed
Unstressed
Exposure
Exposure
Exposure
Exposure
Mark-toMark-toMark-toMark-toMarket
Market
Market
Market

Hybrids
Unstressed
Exposure
Mark-toMarket

Unstressed Mark-to-Market by Asset category
Unstressed
Exposure Mark-toMarket by Asset
category

Stressed Exposure Mark-to-Market by Asset category - FR Scenario (Severely Adverse)

Vanilla Interest
Vanilla FX
Vanilla Credit
Rate Derivatives
Derivatives
Vanilla Commodity (Cash)
Derivatives
Structured
Other
Stressed
Stressed
Derivatives Stressed
Stressed
Products (MBS,
Unstressed
Exposure Mark- Exposure MarkExposure Mark-toExposure MarkABS) Unstressed Exposure Mark-toto-Market
to-Market
Market
to-Market
Exposure MarkMarket (provide
FR Scenario
FR Scenario
FR Scenario
FR Scenario
to-Market
details, breakdown)
(Severely
(Severely
(Severely Adverse)
(Severely
Adverse)
Adverse)
Adverse)

Other Cash +
Structured Flow Exotic and
Other (single
Vanilla Equity
Physical
Interest Rate Structured FX
name) Credit
Derivatives
Commodity
Derivatives
Derivatives
Derivatives
Stressed
Derivatives
Stressed
Stressed
Stressed
Exposure MarkStressed
Exposure Mark- Exposure MarkExposure Markto-Market
Exposure Markto-Market
to-Market
to-Market
FR Scenario
to-Market
FR Scenario
FR Scenario
FR Scenario
(Severely
FR Scenario
(Severely
(Severely
(Severely
Adverse)
(Severely
Adverse)
Adverse)
Adverse)
Adverse)

Stressed Exposure Mark-to-Market
by Asset category - FR Scenario
(Severely Adverse)

Structured (Multi
Structured
name) Credit
Products (MBS,
Other
Exotic Equity
Derivatives
Hybrids Stressed
ABS)
Stressed Exposure
Derivatives
Stressed
Exposure Mark-toStressed
Mark-to-Market
Stressed Exposure
Exposure MarkMarket
Exposure Mark- (provide details,
Mark-to-Market
to-Market
FR Scenario
to-Market
breakdown)
FR Scenario
FR Scenario
(Severely Adverse) FR Scenario
FR Scenario
(Severely Adverse)
(Severely
(Severely
(Severely Adverse)
Adverse)
Adverse)