Board of Governors of the Federal Reserve System

Instructions for Preparation of

Banking Organization Systemic Risk Report

Reporting Form FR Y-15

Reissued September 2016

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Contents

GENERAL INSTRUCTIONS FOR PREPARATION OF THE BANKING ORGANIZATION

SYSTEMIC RISK REPORT
Who Must Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-1
A. Reporting Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-1
B. Shifts in Reporting Status . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-1
C. Rules of Consolidation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-1
D. Exclusions from coverage of the consolidated report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-2

Where to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-2

When to Submit the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-2

How to Prepare the Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-2

A. Applicability of GAAP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-2
B. Report Form Captions and Instructional Detail. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-2
C. Rounding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-3
D. Negative Entries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-3
E. Confidentiality. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-3
F. Verification and Signatures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-3
G. Amended Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-4
H. Data Items Automatically Retrieved from Other Reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GEN-4

LINE ITEM INSTRUCTIONS FOR THE BANKING ORGANIZATION SYSTEMIC

RISK REPORT
Schedule A – Size Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A-1
Schedule B – Interconnectedness Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . B-1
Schedule C – Substitutability Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . C-1
Schedule D – Complexity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . D-1
Schedule E – Cross-Jurisdictional Activity Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . E-1
Schedule F – Ancillary Indicators . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . F-1

FR Y-15 Contents-1
Contents December 2015
Contents

Schedule G – Short-Term Wholesale Funding Indicator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . G-1

Optional Narrative Statement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ONS-1

GLOSSARY OF TERMS AND EDITS FOR THE BANKING ORGANIZATION SYSTEMIC

RISK REPORT
Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GL-1
Validity Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHK-1
Quality Edits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EDIT-1

Contents-2 FR Y-15
Contents December 2015
INSTRUCTIONS FOR PREPARATION OF

Banking Organization
Systemic Risk Report
FR Y-15

General Instructions reporting the FR Y-15 in December of the same year. If a

top-tier holding company reaches $50 billion or more in
Who Must Report total consolidated assets due to a business combination, a
A. Reporting Criteria reorganization, or a branch acquisition that is not a
business combination, then the holding company must
The following banking organizations must file the Bank- begin reporting the FR Y-15 with the first quarterly
ing Organization Systemic Risk Report (FR Y-15) as of report date following the effective date of the business
the last calendar day of March, June, September, and combination, reorganization, or branch acquisition. If a
December: holding company’s total consolidated assets should sub-
(1) Holding Companies with Total Consolidated Assets sequently fall to less than $50 billion for four consecutive
of $50 Billion or More. Bank holding companies quarters, then the holding company is no longer required
(BHCs), covered savings and loan holding compa- to file the FR Y-15 starting with the fifth quarter.
nies (SLHCs)1, and intermediate holding companies
(IHCs) that have total consolidated assets of $50
C. Rules of Consolidation
billion or more, including those U.S. top-tier holding
companies that are subsidiaries of foreign banking For purposes of this report, all offices (i.e., branches,
organizations, must file the FR Y-15, subject to subsidiaries, variable interest entities and international
applicable phase-in arrangements. Only the top tier banking facilities (IBFs)) that are within the scope of the
of a multi-tiered holding company that meets these consolidated holding company are to be reported on a
criteria must file. consolidated basis. Unless the instructions specifically
(2) U.S.-Based Organizations Designated as Global state otherwise, this consolidation shall be on a line-by-
Systemically Important Banks. Any BHC orga- line basis, according to the caption shown. As part of the
nized under the laws of the U.S. or any of the states consolidation process, the results of all transactions and
therein that was identified as a global systemically all intercompany balances (e.g., outstanding asset/debt
important bank (G-SIB) based on their most recent relationships) between offices, subsidiaries, and other
method 1 score calculation2 must file the FR Y-15 entities included in the scope of the consolidated holding
even if they do not meet the consolidated assets company are to be eliminated in the consolidation and
threshold. must be excluded from the FR Y-15.
Subsidiaries of Subsidiaries. For a subsidiary of a hold-
B. Shifts in Reporting Status
ing company that is in turn the parent of one or more
A top-tier holding company that reaches $50 billion or subsidiaries: (1) Each subsidiary shall consolidate its
more in total consolidated assets as of June 30 must begin majority-owned subsidiaries in accordance with the con-
solidation requirements set forth above. (2) Each subsid-
1. Covered SLHCs are those which are not substantially engaged in iary shall account for any investments in unconsolidated
insurance or commercial activities. For more information, see the defini- subsidiaries, corporate joint ventures over which the
tion of ‘‘covered savings and loan holding company’’ provided in 12 CFR holding company exercises significant influence, and
217.2. associated companies according to the equity method of
2. See 12 CFR 217.402. accounting.

FR Y-15 GEN-1
General Instructions September 2016
General Instructions

D. Exclusions from coverage of the consolidated If the submission deadline falls on a weekend or holiday,
report the report must be received on the first business day after
the Saturday, Sunday, or holiday. Earlier submission aids
Subsidiaries where control does not rest with the par-
the Federal Reserve in reviewing and processing the
ent. If control of a majority-owned subsidiary by the
reports and is encouraged. No extensions of time for
holding company does not rest with the holding company
submitting reports are granted.
because of legal or other reasons (e.g., the subsidiary is in
bankruptcy), the subsidiary is not required to be consoli- The reports are due by the end of the reporting day on the
dated for purposes of the report. Additional guidance on submission date (5:00 P.M. at each district Federal
this topic is provided in accounting standards, including Reserve Bank).
Financial Accounting Standards Board (FASB) Account-
ing Standards Codification (ASC) Subtopic 810-10, Con-
solidation - Overall.
How to Prepare the Report
A. Applicability of GAAP
Custody accounts. Custody and safekeeping activities
(i.e., the holding of securities, jewelry, coin collections, Banking organizations are required to prepare and file the
and other valuables in custody or in safekeeping for FR Y-15 in accordance with U.S. generally accepted
customers) must not be reflected on any basis in the accounting principles (GAAP) and these instructions.
balance sheet items on the FR Y-15 unless cash funds The report shall be prepared in a consistent manner. The
held in safekeeping for customers are commingled with banking organization’s financial records shall be main-
the general assets of the reporting holding company. In tained in such a manner and scope so as to ensure that the
such cases, the commingled funds would be reported. FR Y-15 can be prepared and filed in accordance with
The exclusion of custody accounts does not apply to line these instructions and reflect a fair presentation of the
items specifically capturing assets under custody. banking organization’s financial condition and results of
operations.
Where to Submit the Report Banking organizations should retain workpapers and
other records used in the preparation of this report.
Electronic Submission
All banking organizations must submit their completed B. Report Form Captions and Instructional Detail
report electronically. Banking organizations should con-
tact their district Reserve Bank or go to No caption on the report forms shall be changed in any
www.frbservices.org/centralbank/reportingcentral/ for way. Enter an amount or a zero for all items except in the
procedures for electronic submission. cases where the data are calculated automatically or
retrieved from another report. The items retrieved from
other reports are listed in the General Instructions under
When to Submit the Report Section H (Data Items Automatically Retrieved from
Other Reports).
The FR Y-15 is required to be submitted as of March 31,
June 30, September 30, and December 31. The submis- There may be areas in which a banking organization
sion date is 50 calendar days after the March 31, June 30, wishes to obtain more technical detail on the application
and September 30 as-of dates and 65 calendar days after of accounting standards and procedures to the require-
the December 31 as-of date. Note that the quarterly ments of these instructions. Such information may be
reporting requirement became effective starting with the found in more detail in the GAAP standards. Selected
June 30, 2016 as-of date. Also note that the initial sections of the GAAP standards are referenced in the
submission date for IHCs (including existing BHCs instructions where appropriate.
designated as an IHC) is 65 calendar days after the
Questions and requests for interpretations of matters
September 30, 2016 as-of date.
appearing in any part of these instructions should be
The term “submission date” is defined as the date by addressed to the appropriate Federal Reserve Bank (that
which the Federal Reserve must receive the banking is, the Federal Reserve Bank in the district where the
organization’s FR Y-15. banking organization submits this report).

GEN-2 FR Y-15
General Instructions September 2016
General Instructions

C. Rounding Information for which confidential treatment is requested

may subsequently be released by the Federal Reserve
Report all dollar amounts in thousands. Each banking
System if the Board of Governors determines that the
organization, at its option, may round the figures reported
disclosure of such information is in the public interest.
to the nearest million, with zeros reported in the thou-
sands column. For banking organizations exercising this For data items automatically retrieved from the Consoli-
option, amounts less than $500,000 will be reported as dated Financial Statements for Holding Companies (FR
zero. Rounding could result in details not adding to their Y-9C), line-item confidentiality must be requested in the
stated totals. However, to ensure consistent reporting, the context of the FR Y-9C. Should confidentiality for any
rounded detail items must be adjusted so that the totals such item be granted, confidential status will automati-
and the sums of their components are identical. cally extend to the corresponding data item on the FR
Y-15 (see General Instructions, Section H). Confidential
D. Negative Entries status will also extend to any automatically-calculated
Except for the item listed below, negative entries are items on the FR Y-15 that have been derived from the
generally not appropriate on the FR Y-15 and should not confidential data item and that, if released, would reveal
be reported. Hence, assets with credit balances must be the underlying confidential data.
reported in liability items and liabilities with debit bal-
F. Verification and Signatures
ances must be reported in asset items, as appropriate, and
in accordance with these instructions. The only items for Estimates. For institutions filing this report for the first
which a negative entry may be made are: Schedule A, time, reasonable estimates are permitted.
item 3(b), ‘‘Regulatory adjustments;’’ Schedule F, item 4, Verification. All addition and subtraction should be
‘‘Total net revenue;’’ and, Schedule F, item 5, ‘‘Foreign double-checked before the report is submitted. Totals and
net revenue.’’ When a negative entry does occur for these subtotals should be cross-checked to corresponding items
items, it shall be recorded with a minus (-) sign rather elsewhere in the report. Before a report is submitted, all
than in parentheses. amounts should be compared with the corresponding
E. Confidentiality amounts in the previous report. If there are any unusual
changes from the previous report (i.e., differences that are
Except as otherwise noted, the collected information will not attributable to general organic growth and/or standard
be made available to the public. The following line items fluctuations in the business cycle), a brief explanation of
will be kept confidential until the first reporting date after the changes should be provided to the appropriate Fed-
the final liquidity coverage ratio disclosure standard has eral Reserve Bank. Banking organizations should contact
been implemented: Schedule G, items 1 through 4. their district Reserve Bank for information regarding the
A reporting banking organization may request confiden- submission procedure.
tial treatment for items on the FR Y-15 if the banking Signatures. The FR Y-15 must be signed by the Chief
organization is of the opinion that, due to the institution’s Financial Officer of the banking organization (or by the
particular circumstances or activities, disclosure of spe- individual performing this equivalent function). By sign-
cific commercial or financial information in the report ing the cover page of this report, the authorized officer
would likely result in substantial harm to its competitive acknowledges that any knowing and willful misrepresen-
position, or that disclosure of the submitted information tation or omission of a material fact on this report
would result in unwarranted invasion of personal privacy. constitutes fraud in the inducement and may subject the
officer to legal sanctions provided by 18 USC 1001 and
A request for line-item confidentiality must be submitted
1007.
in writing prior to, or concurrently with, the electronic
submission of the report. The request must discuss in Banking organizations must maintain in their files a
writing the justification for which confidentiality is manually signed and attested printout of the data
requested and must demonstrate the specific nature of the submitted. The cover page of the submitted report should
harm that would result from public release of the infor- be used to fulfill the signature and attestation require-
mation. Merely stating that competitive harm would ment. This page should be attached to the printout placed
result or that information is personal is not sufficient. in the banking organization’s files.

FR Y-15 GEN-3
General Instructions September 2016
General Instructions

G. Amended Reports (i.e., point-in-time or period average), then the following

data items will be populated automatically:
When the Federal Reserve’s interpretation of how GAAP
or these instructions should be applied to a specified (1) Schedule B, item 15, ‘‘Subordinated debt securities’’
event or transaction (or series of related events or trans- (FR Y-9C, Schedule HC, items 19(a) and 19(b))
actions) differs from the reporting banking organization’s
(2) Schedule B, item 16, ‘‘Commercial paper’’ (FR Y-
interpretation, the Federal Reserve may require the bank-
9C, Schedule HC-M, item 14(a))
ing organization to reflect the event(s) or transaction(s) in
its FR Y-15 in accordance with the Federal Reserve’s (3) Schedule D, item 5, ‘‘AFS securities’’ (FR Y-9C,
interpretation and to amend previously submitted reports. Schedule HC, item 2(b))
The Federal Reserve will consider the materiality of such
(4) Schedule D, item 10, ‘‘Assets valued using Level 3
event(s) or transaction(s) in making a determination
measurement inputs’’ (FR Y-9C, Schedule HC-Q,
about requiring the banking organization to apply the
item 7, Column E)
Federal Reserve’s interpretation and to amend previously
submitted reports. Materiality is a qualitative characteris- (5) Schedule D, item M.1, ‘‘Held-to-maturity securities’’
tic of accounting information which is defined in Finan- (FR Y-9C, Schedule HC, item 2(a))
cial Accounting Standards Board (FASB) Concepts No. 2
(6) Schedule F, item 1, ‘‘Total liabilities’’ (FR Y-9C,
as ‘‘the magnitude of an omission or misstatement of
Schedule HC, item 21)
accounting information that, in the light of surrounding
circumstances, make it probable that the judgment of a (7) Schedule F, item 3, ‘‘Total gross revenue’’ (FR Y-9C,
reasonable person relying on the information would have Schedule HI, item 1(h) plus item 5(m))
been changed or influenced by the omission or misstate-
ment.’’ (8) Schedule F, item 4, ‘‘Total net revenue’’ (FR Y-9C,
Schedule HI, item 1(h) plus item 5(m) minus item
The Federal Reserve may require the filing of an amended 2(f))
FR Y-15 if the report as previously submitted contains
significant errors. In addition, a banking organization If the banking organization files the Country Exposure
must file an amended report when internal or external Report (FFIEC 009) for the same reporting period, then
auditors make audit adjustments that result in a restate- the following data item will be populated automatically:
ment of financial statements previously submitted to the (1) Schedule E, item 1, ‘‘Foreign claims on an ultimate-
Federal Reserve. risk basis’’ (FFIEC 009, Schedule C, Part II, Col-
The Federal Reserve also requests that banking organiza- umns 1 through 10, Total Foreign Countries)
tions that have restated their prior period financial state-
ments as a result of an acquisition submit revised reports If the banking organization files the Regulatory Capital
for the prior year-ends. In the event that certain of the Reporting for Institutions Subject to the Advanced Capi-
required data are not available, banking organizations tal Adequacy Framework (FFIEC 101) for the same
should contact the appropriate Federal Reserve Bank for reporting period, then the following data items will be
information on submitting revised reports. populated automatically:
(1) Schedule A, item 1(a), “Current exposure of deriva-
H. Data Items Automatically Retrieved from Other tive contracts” (FFIEC 101, Schedule A, item 2.4)
Reports
(2) Schedule A, item 1(b), “Potential future exposure
Certain data collected on the FR Y-15 may also be (PFE) of derivative contracts” (FFIEC 101, Sched-
collected in other reports submitted to the Federal ule A, item 2.5)
Reserve. If the banking organization files the other
reports at the same level of consolidation as is required (3) Schedule A, item 1(c), “Gross-up for derivatives
for the FR Y-15, the duplicate data items will be popu- collateral” (FFIEC 101, Schedule A, item 2.6)
lated automatically.
(4) Schedule A, item 1(d), “Effective notional amount
If the banking organization files the FR Y-9C for the of written credit derivatives” (FFIEC 101, Sched-
same reporting period using the same calculation method ule A, item 2.9)

GEN-4 FR Y-15
General Instructions September 2016
General Instructions

(5) Schedule A, item 1(e), “Cash variation margin (9) Schedule A, item 2(b), “Counterparty credit risk
included as an on-balance sheet receivable” exposure for SFTs” (FFIEC 101, Schedule A, item
(FFIEC 101, Schedule A, item 2.7) 2.14)
(6) Schedule A, item 1(f), “Exempted central counter- (10) Schedule A, item 2(c), “SFT indemnification and
party legs of client-cleared transactions included in other agent-related exposures” (FFIEC 101, Sched-
items 1(a) and 1(b)” (FFIEC 101, Schedule A, item ule A, item 2.15)
2.8) (11) Schedule A, item 2(d), “Gross value of offsetting
(7) Schedule A, item 1(g), “Effective notional amount cash payables” (FFIEC 101, Schedule A, item 2.13)
offsets and PFE adjustments for sold credit protec- (12) Schedule A, item 3(a), “Other on-balance sheet
tion” (FFIEC 101, Schedule A, item 2.10) assets” (FFIEC 101, Schedule A, item 2.1)
(8) Schedule A, item 2(a), “Gross SFT assets” (13) Schedule A, item 3(b), “Regulatory adjustments”
(FFIEC 101, Schedule A, item 2.12) (FFIEC 101, Schedule A, item 2.2)

FR Y-15 GEN-5
General Instructions September 2016
LINE ITEM INSTRUCTIONS FOR

Size Indicator
Schedule A

General Instructions qualifying cash variation margin. For advanced

approaches banking organizations, report the average
Unless otherwise indicated, all advanced approaches current exposure of all derivative contracts, cleared and
banking organizations must report the data in this sched- non-cleared, net of qualifying cash variation margin,
ule using averages. For on-balance sheet items, report using daily data.
averages over the reporting period using daily data. For
off-balance sheet items, report averages over the report- When acting as a financial intermediary in clearing client
ing period using monthly data (i.e., provide the average derivative contracts (i.e., the principal model, where the
of the three month-end balances within the quarter). banking organization facilitates the clearing of deriva-
Off-balance sheet items include the potential future expo- tives by becoming a direct counterparty to both the client
sure of derivative contracts (item 1(b)), the effective and the central counterparty (CCP)), include exposures to
notional amount of offsets and PFE adjustments for sold the CCP and the clearing member client. Where a
credit protection (item 1(g)), counterparty credit risk clearing member banking organization guarantees the
exposure for SFTs (item 2(b)), SFT indemnification and performance of a client to a CCP (and would thus have a
other agent-related exposures (item 2(c)), and other payment obligation to the CCP in the event of a client
off-balance sheet exposures (item 4). Except where oth- default) (i.e., the agency model), the clearing member
erwise indicated, respondents that are not advanced banking organization must treat the exposure associated
approaches banking organizations must either report all with the guarantee as a derivative contract and report the
of the data in this schedule using averages or report all of associated current exposure. However, do not include the
the data using point-in-time values. exposure if the client and the clearing member are
affiliates and consolidated on the banking organization’s
Include all positions, regardless of whether they are balance sheet. For more information, see the Glossary
included in the trading or banking book. The amounts entry for ‘‘qualifying cash variation margin.’’ For a
provided must be net of specific provisions and valuation definition of derivative contract, see 12 CFR 217.2.
adjustments. Several items involve securities financing
transactions (SFTs) (i.e., repo-style transactions), which This item is equivalent to Part 2, line 4 of the supplemen-
are transactions such as repurchase agreements, reverse tal leverage ratio disclosure table (see 12 CFR 217.173,
repurchase agreements, and securities lending and bor- Table 13).
rowing, where the value of the transactions depends on
the market valuations and the transactions are often Line Item 1(b) Potential future exposure (PFE) of
subject to margin agreements. derivative contracts.
Report the potential future exposure for transactions
Total Exposures included in item 1(a), calculated in accordance with 12
CFR 217.34(a). For advanced approaches banking orga-
Line Item 1 Derivative exposures: nizations, report the average potential future exposure for
transactions included in item 1(a), calculated in accor-
Line Item 1(a) Current exposure of derivative
dance with 12 CFR 217.34(a), using monthly data.
contracts.
Include derivative contracts to which the banking organi-
Report the current exposure (i.e., replacement cost) of all zation is a counterparty (or each single-product netting
derivative contracts, cleared and non-cleared, net of set of such transactions) along with cleared transactions.

FR Y-15 A-1
Schedule A September 2016
Schedule A

Note that a banking organization may not use cash Line Item 1(e) Cash variation margin included as
variation margin to reduce the net or gross current credit an on-balance sheet receivable.
exposure in the calculation of the net-to-gross ratio.
Report the amount of qualifying cash variation margin,
This item is equivalent to Part 2, line 5 of the supplemen- which is posted to a counterparty to a derivative contract
tal leverage ratio disclosure table (see 12 CFR 217.173, and included in item 3(a) as an on-balance sheet receiv-
Table 13). able. For advanced approaches banking organizations,
report the average amount of qualifying cash variation
Line Item 1(c) Gross-up for derivatives collateral. margin, which is posted to a counterparty to a derivative
contract and included in item 3(a) as an on-balance sheet
Report the amount of posted cash and non-cash collateral receivable, using daily data. For more information, see
that the banking organization uses to offset the negative the Glossary entry for ‘‘qualifying cash variation mar-
mark-to-fair values of associated derivative contracts. gin.’’
For advanced approaches banking organizations, report
the average amount of posted cash and non-cash collat- This item is equivalent to Part 2, line 7 of the supplemen-
eral that the banking organization uses to offset the tal leverage ratio disclosure table (see 12 CFR 217.173,
negative mark-to-fair values of associated derivative Table 13).
contracts using daily data. Do not include qualifying cash
variation margin. Include cash collateral that is reported Line Item 1(f) Exempted central counterparty legs
on-balance sheet under the GAAP offset option that is not of client-cleared transactions included in items 1(a)
qualifying cash variation margin. For more information, and 1(b).
see the Glossary entry for ‘‘qualifying cash variation
Report the current exposure and the PFE for the exempted
margin.’’
CCP legs of client-cleared transactions under the princi-
This item is equivalent to Part 2, line 6 of the supplemen- pal model (i.e., where the clearing member banking
tal leverage ratio disclosure table (see 12 CFR 217.173, organization did not guarantee the performance of the
Table 13). CCP to the client) that are included in items 1(a) and
1(b), respectively. For advanced approaches banking
Line Item 1(d) Effective notional amount of organizations, report the average current exposure using
written credit derivatives. daily data and the average PFE using monthly data for
the exempted CCP legs of client-cleared transactions that
Report the effective notional principal amount (that is, are included in items 1(a) and 1(b), respectively.
the apparent or stated notional principal amount multi-
plied by the effective multiplier in the derivative con- This item is equivalent to Part 2, line 8 of the supplemen-
tract) of credit derivatives, or other similar instruments, tal leverage ratio disclosure table (see 12 CFR 217.173,
through which the banking organization provides credit Table 13).
protection (e.g., credit default swaps or total return swaps
that reference instruments with credit risk, such as Line Item 1(g) Effective notional amount offsets
bonds). For advanced approaches banking organizations, and PFE adjustments for sold credit protection.
report the average effective notional principal amount of
Report the value of effective notional principal amount
credit derivatives, or other similar instruments, through
offsets and PFE adjustments for sold credit protection.
which the banking organization provides credit protec-
For advanced approaches banking organizations, report
tion, using monthly data. This value represents the
the average value of effective notional principal amount
amount owed upon a default event. The effective notional
offsets and PFE adjustments for sold credit protection
principal amount of sold credit protection that the bank-
using monthly data. Offsets include any reduction in the
ing organization clears on behalf of a clearing member
mark-to-fair value of the sold credit protection that is
client through a CCP may be excluded.
recognized in common equity tier 1 capital, along with
This item is equivalent to Part 2, line 9 of the supplemen- the effective notional principal amount of purchased
tal leverage ratio disclosure table (see 12 CFR 217.173, credit derivatives or similar instruments that meet the
Table 13). following criteria (see 12 CFR 217.10(c)(4)(ii)(D)(2)):

A-2 FR Y-15
Schedule A September 2016
Schedule A

(1) The remaining maturity of the credit protection pur- gross value of on-balance sheet assets related to securi-
chased must be equal to or greater than the remaining ties financing transactions using daily data. Do not
maturity of the credit protection sold; and, include securities that are already included in item 3(a)
(e.g., securities received as collateral in a principal
(2) The reference obligation of the purchased credit
securities lending transaction that have not been rehy-
protection must be pari passu with or junior to the
pothecated or sold). Include the gross value of cash
underlying reference obligation of the credit protec-
receivables for reverse repurchase agreements. Include
tion sold. If the sold credit protection references a
securities sold under a repurchase agreement or a securi-
tranched product, the purchased credit protection
ties lending transaction that qualify for sales treatment
must be on a reference obligation with the same level
under GAAP.
of seniority.
This item is equivalent to Part 2, line 12 of the supple-
If the effective notional amount of this sold credit
mental leverage ratio disclosure table (see 12 CFR
protection is included in item 1(d), the associated PFE
217.173, Table 13).
may be reported as an adjustment to avoid double-
counting (see CFR 217.10(c)(4)(ii)(B)(1) and (2)). How-
ever, the associated PFE may not be reported as an Line Item 2(b) Counterparty credit risk exposure
adjustment if it is already being offset through purchased for SFTs.
credit protection. Report the counterparty credit risk exposure for SFTs.
Note that the effective notional amount of sold credit For advanced approaches banking organizations, report
protection may be reduced by any negative change in fair the average counterparty credit risk exposure for SFTs
value reflected in common equity tier 1 capital provided using monthly data. Counterparty exposure is determined
that the effective notional amount of the offsetting pur- as the gross fair value of the securities and cash provided
chased credit protection is also reduced by any resulting to a counterparty for all transactions included within a
positive change in fair value reflected in common equity qualifying master netting agreement less the gross fair
tier 1 capital. If a banking organization purchases credit value of the securities and cash received from the coun-
protection through a total return swap and records the net terparty for those transactions, or zero, whichever is
payments received as net income but does not record greater (see the definition of ‘‘qualifying master netting
offsetting deterioration in the mark-to-fair value of the agreement’’ in 12 CFR 217.2). For transactions that are
sold credit protection on the reference exposure (either not subject to a qualifying master netting agreement,
through reductions in fair value or by additions to report the exposure on a transaction-by-transaction basis,
reserves) in common equity tier 1 capital, the banking with each SFT treated as its own netting set. Do not
organization may not reduce the effective notional prin- include transactions where the banking organization acts
cipal amount of the sold credit protection. as an agent, as these exposures are captured separately in
item 2(c).
This item is equivalent to Part 2, line 10 of the supple-
mental leverage ratio disclosure table (see 12 CFR This item is equivalent to Part 2, line 14 of the supple-
217.173, Table 13). mental leverage ratio disclosure table (see 12 CFR
217.173, Table 13).
Line Item 1(h) Total derivative exposures.
Line Item 2(c) SFT indemnification and other
The sum of items 1(a) through 1(d), minus the sum of agent-related exposures.
items 1(e) through 1(g).
For transactions where the banking organization acts as
Line Item 2 Securities financing transaction (SFT) an agent and provides an indemnity to a customer, report
exposures: the gross fair value of the securities and cash lent for all
transactions within a qualifying master netting agreement
Line Item 2(a) Gross SFT assets.
less the gross fair value of the securities and cash
Report the gross value of on-balance sheet assets related received from the counterparty for those transactions, or
to securities financing transactions. For advanced zero, whichever is greater. For advanced approaches
approaches banking organizations, report the average banking organizations, report the average gross fair

FR Y-15 A-3
Schedule A December 2015
Schedule A

value, using monthly data, of the securities and cash lent on-balance sheet assets for derivative transactions and
for all transactions within a qualifying master netting repo-style transactions. For advanced approaches bank-
agreement less the gross fair value of the securities and ing organizations, report the average balance sheet carry-
cash received from the counterparty for those transac- ing value of all on-balance sheet assets, including collat-
tions, or zero, whichever is greater. For transactions that eral but excluding the on-balance sheet assets for
are not subject to a qualifying master netting agreement, derivative transactions and repo-style transactions, using
report the exposure on a transaction-by-transaction basis, daily data. Include the amount of on-balance sheet cash
with each individual transaction treated as its own netting and collateral received from counterparties in derivative
set. In cases where the indemnification exceeds the transactions.
calculated difference described above, report the full
This item is equivalent to Part 2, line 1 of the supplemen-
value of the guarantee. If the banking organization’s
tal leverage ratio disclosure table (see 12 CFR 217.173,
exposure to the underlying security or cash in a transac-
Table 13).
tion extends beyond the indemnification (e.g., when the
banking organization manages received collateral using Line Item 3(b) Regulatory adjustments.
their own account rather than the customer’s account),
the full value of the underlying security or cash must be Report the amount of regulatory adjustments from com-
reported. mon equity tier 1 capital and additional tier 1 capital
under the fully phased-in requirements of Regulation Q
This item is equivalent to Part 2, line 15 of the supple- (see 12 CFR 217.22).1 These adjustments include the
mental leverage ratio disclosure table (see 12 CFR deduction of goodwill and intangibles, deferred tax
217.173, Table 13). assets, and hedging gains and losses. Report adjustments
that reduce tier 1 capital as a positive value. If the
Line Item 2(d) Gross value of offsetting cash
adjustment increases tier 1 capital, report the value with a
payables.
minus (-) sign. All respondents must provide a point-in-
Report the gross value of cash payables associated with time value, including advanced approaches banking orga-
repurchase agreements that are permitted to offset the nizations.
cash receivables included in item 2(a). For advanced
approaches banking organizations, report the average This item is equivalent to Part 2, line 2 of the supplemen-
gross value of cash payables associated with repurchase tal leverage ratio disclosure table (see 12 CFR 217.173,
agreements that are permitted to offset the cash receiv- Table 13).
ables included in item 2(a), using daily data. Such offset Line Item 4 Other off-balance sheet exposures:
is permitted when the related SFTs are with the same
counterparty, subject to the same explicit settlement date, For this item, do not include off-balance sheet exposures
and within a qualifying master netting agreement (see the associated with derivatives transactions or SFTs, as these
definition of ‘‘qualifying master netting agreement’’ in 12 are already being captured in items 1 and 2, respectively.
CFR 217.2) and are limited to the gross value of the
related cash receivable. Line Item 4(a) Gross notional amount of items
subject to a 0% credit conversion factor (CCF).
This item is equivalent to Part 2, line 13 of the supple-
mental leverage ratio disclosure table (see 12 CFR Report the gross notional amount of off-balance sheet
217.173, Table 13). items subject to a 0% credit conversion factor under the
standardized approach to credit risk (this includes the
Line Item 2(e) Total SFT exposures. unused portion of commitments which are uncondition-
ally cancellable at any time by the bank without prior
The sum of items 2(a) through 2(c), minus item 2(d).
notice). For advanced approaches banking organizations,
Line Item 3 Other on-balance sheet exposures: report the average gross notional amount, using monthly
data, of off-balance sheet items subject to a 0% credit
Line Item 3(a) Other on-balance sheet assets. conversion factor under the standardized approach to
Report the balance sheet carrying value of all on-balance
sheet assets, including collateral but excluding the 1. See www.gpo.gov/fdsys/browse/collectionCfr.action.

A-4 FR Y-15
Schedule A December 2015
Schedule A

credit risk. For more information on the treatment of This includes guarantees, credit-enhancing representa-
off-balance sheet exposures under the standardized tions and warranties that are not securitization exposures,
approach to credit risk, see 12 CFR 217.33. financial standby letters of credit, and forward agree-
ments. Do not include exposures associated with SFTs,
Line Item 4(b) Gross notional amount of items as these are already captured in item 2. For more
subject to a 20% CCF. information on the treatment of off-balance sheet expo-
Report the gross notional amount of off-balance sheet sures under the standardized approach to credit risk, see
items subject to a 20% credit conversion factor under the 12 CFR 217.33.
standardized approach to credit risk. For advanced
Line Item 4(e) Credit exposure equivalent of other
approaches banking organizations, report the average
off-balance sheet items.
gross notional amount, using monthly data, of off-
balance sheet items subject to a 20% credit conversion The sum of 0.1 times item 4(a), 0.2 times item 4(b), 0.5
factor under the standardized approach to credit risk. times item 4(c), and item 4(d). This total represents the
This would include commitments with an original matu- credit exposure equivalent of the other off-balance sheet
rity up to one year that are not unconditionally cancelable items, with the 0% credit conversion factor subject to a
and short-term self-liquidating trade letters of credit 10% floor.
arising from the movement of goods (e.g., documentary
This item is equivalent to Part 2, line 19 of the supple-
credits collateralized by the underlying shipment). For
mental leverage ratio disclosure table (see 12 CFR
more information on the treatment of off-balance sheet
217.173, Table 13).
exposures under the standardized approach to credit risk,
see 12 CFR 217.33. Line Item 5 Total exposures prior to regulatory
deductions.
Line Item 4(c) Gross notional amount of items
subject to a 50% CCF. The sum of items 1(h), 2(e), 3(a), and 4(e).
Report the gross notional amount of off-balance sheet This item is equivalent to the sum of Part 2, lines 1 and
items subject to a 50% credit conversion factor under the 21 minus Part 2, line 3 of the supplemental leverage ratio
standardized approach to credit risk. For advanced disclosure table (see 12 CFR 217.173, Table 13).
approaches banking organizations, report the average
gross notional amount, using monthly data, of off- Line Item 6 Does item 5 represent an average
balance sheet items subject to a 50% credit conversion value over the reporting period?
factor under the standardized approach to credit risk. Specify whether or not the holding company has reported
This includes commitments with an original maturity of the subcomponents of item 5 using average values over
more than one year that are not unconditionally cancel- the reporting period. Advanced approaches banking orga-
able and transaction-related contingent items such as nizations must report this data using averages. Respon-
performance bonds, bid bonds, warranties, and perfor- dents that are not advanced approaches banking organi-
mance standby letter of credit. For more information on zations may choose to report the data using averages,
the treatment of off-balance sheet exposures under the though they are not required to do so. Enter a ‘‘1’’ for
standardized approach to credit risk, see 12 CFR 217.33. Yes; enter a ‘‘0’’ for No.
Line Item 4(d) Gross notional amount of items
subject to a 100% CCF. Memoranda
Line Item M1 Securities received as collateral in
Report the gross notional amount of off-balance sheet
securities lending.
items subject to a 100% credit conversion factor under
the standardized approach to credit risk. For advanced Report the amount of securities included in item 3(a) that
approaches banking organizations, report the average have been received as collateral in principal securities
gross notional amount, using monthly data, of off- lending transactions but have not been rehypothecated or
balance sheet items subject to a 100% credit conversion sold. All respondents must provide a point-in-time value,
factor under the standardized approach to credit risk. including advanced approaches banking organizations.

FR Y-15 A-5
Schedule A December 2015
Schedule A

Line Item M2 Cash collateral received in conduit was received and then subsequently passed through to the
securities lending transactions. security owner. All respondents must provide a point-in-
Report the cash collateral received in conduit securities time value, including advanced approaches banking orga-
lending transactions. In conduit securities lending trans- nizations.
actions, a bank borrows securities from one party and
directly on-lends the identical securities to another party.
Line Item M3 Credit derivatives sold net of
The bank acts as an intermediary between the security
related credit protection bought.
owner and the ultimate borrower, essentially substituting
their own credit for that of the borrower. The securities in Report credit derivatives sold net of related credit protec-
question may not be part of a general inventory available tion bought. Only net out the protection bought if it is for
for onward lending. Instead, the bank will only obtain the the same reference entity. If the protection bought for a
securities at such time as they can directly fulfil an reference entity exceeds the amount sold, report a zero
outstanding order from the ultimate borrower. Report the for that particular reference entity. All respondents must
collateral regardless of whether or not the transaction is provide a point-in-time value, including advanced
being indemnified by the bank. Include the collateral that approaches banking organizations.

A-6 FR Y-15
Schedule A December 2015
LINE ITEM INSTRUCTIONS FOR

Interconnectedness Indicators
Schedule B

General Instructions transactions. Do not include settlement balances (i.e.,

exposures arising from unsettled transactions). Deposits
For the purpose of the intra-financial system assets and include balances due from financial institutions, and
intra-financial system liabilities indicators, financial insti- currency and coin due from financial institutions (as
tutions are defined as depository institutions (as defined defined in the FR Y-9C, Schedule HC, item 1). Include
in the FR Y-9C, Schedule HC-C, item 2), bank holding certificates of deposit but do not include margin accounts
companies, securities dealers, insurance companies, and posted collateral.
mutual funds, hedge funds, pension funds, investment
banks, and central counterparties (CCPs) (as defined in Line Item 1(a) Certificates of deposit.
Schedule D, item 1). Central banks (e.g., the Federal
Reserve) and other public sector bodies (e.g., multilateral Report the total holdings of certificates of deposit due
development banks and the Federal Home Loan Banks) from other financial institutions as included in item 1. For
are excluded, but state-owned commercial banks are more information on certificates of deposit, refer to the
included. Stock exchanges are not included, though most Glossary entry for ‘‘certificate of deposit.’’
stock exchanges have subsidiaries that are considered
financial institutions (e.g., securities dealers and CCPs). Line Item 2 Unused portion of committed lines
Include entities that are both securities brokers and extended to other financial institutions.
dealers, but exclude entities that are strictly securities Report the nominal value of the unused portion of all
brokers. Note that the definition of financial institution committed lines extended to other financial institutions.
for purposes of this report differs from the definition used Include lines which are unconditionally cancellable. Do
in the FR Y-9C and the FFIEC 002, which, among other not include letters of credit and unsettled securities
things, includes finance companies. financing transactions (e.g., reverse repos). For more
In determining whether a transaction is with another information on commitments, see FR Y-9C, Schedule
financial institution (i.e., a financial institution outside of HC-L, item 1.
the consolidated holding company), do not adopt a
Line Item 3 Holdings of securities issued by other
look-through approach. Instead, report figures based on
financial institutions.
the immediate counterparty.
This item reflects all holdings of securities issued by
Intra-Financial System Assets other financial institutions. Report total holdings at fair
value (as defined in the FR Y-9C Glossary entry for ‘‘fair
Line Item 1 Funds deposited with or lent to other
value’’) in accordance with ASC Topic 820, Fair Value
financial institutions.
Measurements (formerly FASB Statement No. 157, Fair
Report all funds deposited with or lent to other financial Value Measurements), for securities classified as trading
institutions (i.e., financial institutions outside of the (including securities for which the fair value option
consolidated reporting group). Lending includes all forms (FVO) is elected) and available-for-sale (AFS) securities;
of term/revolving lending, federal funds sold, accep- report held-to-maturity (HTM) securities at amortized
tances of other banks, and other extensions of credit to cost in accordance with ASC 320, Investments − Debt
financial institutions. Do not include commercial paper, and Equity Securities (formerly FASB Statement No.
which is reported in item 3(d), and securities financing 115, Accounting for Certain Investments in Debt and

FR Y-15 B-1
Schedule B December 2015
Schedule B

Equity Securities, as amended). Report the historical cost Line Item 3(f) Offsetting short positions in relation
of any equity securities without readily determinable fair to the specific equity securities included in item 3(e).
values (e.g., bankers’ bank stock) (see FR Y-9C, Sched-
Report the fair value of the banking organization’s
ule HC-F, item 4). Do not report products where the
liabilities resulting from short positions held against the
issuing institution does not back the performance of the
stock holdings included in item 3(e). Include the short
asset (e.g., asset-backed securities). Include holdings of
legs of derivatives used to hedge the equity securities
securities issued by equity-accounted associates (i.e.,
reported in item 3(e) (e.g., total return swaps).1
associated companies and affiliates accounted for under
the equity method of accounting) and special purpose
entities (SPEs) that are not part of the consolidated entity Line Item 4 Net positive current exposure of
for regulatory purposes. Do not include synthetic expo- securities financing transactions (SFTs) with other
sures related to derivatives transactions (e.g., when a financial institutions.
derivative references securities issued by other financial
institutions). Do not include loans, bond exchange traded This item includes the following:
funds (ETFs), credit card receivables, letters of credit, (a) Net positive reverse repurchase agreement exposure,
bond options, bond swaps, or bond swaps on ETFs. where the value of the cash provided exceeds the fair
value of the securities received.
Line Item 3(a) Secured debt securities.
(b) Net positive repurchase agreement exposure, where
Report the total holdings of secured debt securities (e.g.,
the fair value of the securities provided exceeds the
covered bonds). Note that this item is not designed to
value of the cash received.
capture collateralized trades. Instead, the item is captur-
ing capital that has been raised through the issuance of (c) Net positive securities lending exposure, where the
secured debt. fair value of securities lent exceeds the value of cash
collateral received (or the fair value of non-cash
Line Item 3(b) Senior unsecured debt securities. collateral received).
Report the total holdings of senior unsecured debt secu- (d) Net positive securities borrowing exposure, where
rities. the value of cash collateral provided (or the fair value
of non-cash collateral provided) exceeds the fair
Line Item 3(c) Subordinated debt securities. value of securities borrowed.
Report the total holdings of subordinated debt securities. The reported value is not intended to reflect amounts
recorded on the balance sheet. Rather, it represents the
Line Item 3(d) Commercial paper. single legally owed amount per netting set. Net multiple
Report the total holdings of commercial paper of other transactions only when the transactions are covered by a
financial institutions. For more information on commer- qualifying master netting agreement (see the definition of
cial paper, refer to the Glossary entry for ‘‘commercial ‘‘qualifying master netting agreement’’ in 12 CFR 217.2).
paper.’’ For transactions that are not subject to a qualifying
master netting agreement, report the gross balance sheet
Line Item 3(e) Equity securities. amount. Include transactions cleared through a CCP. Do
not include conduit lending transactions and do not apply
Report the total holdings of equity securities, including haircuts in assessing the gross fair value of non-cash
common and preferred shares, of other financial institu- collateral. Include unsettled SFTs if the bank is using
tions. Include investments in mutual funds (e.g., equity, trade-date accounting.
bond, hybrid, and money market funds) that are outside
of the reporting group (see FR Y-9C, Schedule HC-B,
item 7). Include assets that are held for trading, available
1. For example, Bank A holds 1,000 shares of Bank B at $10 per share
for sale, and held to maturity. Report the entire mutual and has entered into an equity total return swap to short 1,000 Bank B
fund investment (i.e., do not look through into the fund to shares and thereby eliminate market risk. Bank A would report $10,000 for
determine the underlying holdings). item 3(e) and $10,000 for item 3(f).

B-2 FR Y-15
Schedule B December 2015
Schedule B

Line Item 5 Over-the-counter (OTC) derivative Intra-Financial System Liabilities

contracts with other financial institutions that have
a net positive fair value: Line Item 7 Deposits due to other financial
institutions:
Line Item 5(a) Net positive fair value.
This section captures information regarding the deposits
Report the sum of net positive fair value OTC derivative
held by the banking organization. Do not include settle-
exposures netted in accordance with GAAP netting rules
ment balances (i.e., exposures arising from unsettled
(i.e., designated, legally enforceable, netting sets or
transactions) and collected collateral. For more informa-
groups). Only netting sets with a positive value may be
tion on deposits, see the FR Y-9C Glossary entry for
included here. Netting sets where the net result is nega-
‘‘deposits.’’
tive must be captured in item 9(a). Include collateral held
only if it is within the master netting agreement (i.e.,
pursuant to legally enforceable credit support annexes). Line Item 7(a) Deposits due to depository
If applicable, net opposing collateral positions (e.g., institutions.
initial margin posted with variation margin held). Deduct
the net collateral position from the underlying obligation Report total deposits due to depository institutions. Do
only if it reduces the overall exposure. If the net collateral not include certificates of deposit, which are captured
exceeds the payment obligation, record a fair value of separately in item 17.
zero for the netting set. If a derivative contract with a
positive fair value is not covered under a qualifying Line Item 7(b) Deposits due to non-depository
master netting agreement, the derivative exposure amount financial institutions.
should be included on a gross basis (see the definition of
‘‘qualifying master netting agreement’’ in 12 CFR 217.2). Report total deposits due to non-depository financial
For more information on netting, refer to ASC Subtopic institutions. Do not include certificates of deposit, which
210-20, Balance Sheet − Offsetting, and the FR Y-9C are captured separately in item 17.
Glossary entry for ‘‘offsetting.’’
Do not include derivative contracts initiated via an Line Item 8 Borrowings obtained from other
exchange such as ICE, CME, or Eurex (e.g., futures financial institutions.
contracts would not be included).
Report the amount of outstanding loans obtained from
When acting as a financial intermediary (i.e., where the other financial institutions. Include both term loans and
banking organization is a counterparty to both the client revolving, open-end loans. Include acceptances sold and
and the CCP), report exposures to the CCP. Report federal funds purchased that are not part of a securities
exposures to clients if they fit the definition of financial financing transaction (as these are captured in item 10).
institution. In cases where a clearing member bank, Do not include any of the outstanding securities captured
acting as an agent, guarantees the performance of a CCP in item 20.
to a client, the associated exposure to the client must be
reported.
Line Item 9 Unused portion of committed lines
Line Item 5(b) Potential future exposure. obtained from other financial institutions.
Report the amount of potential future exposure (PFE), Report the nominal value of the unused portion of all
calculated using the current exposure method, for the committed lines obtained from other financial institu-
derivatives included in item 5(a). Include the PFE for any tions. Include lines which are unconditionally cancelable.
netting sets with a fair value of zero. For more informa- This item measures the amount of credit committed as of
tion on determining the PFE refer to 12 CFR 217.34(a). the reporting date, irrespective of whether it may be
unconditionally cancelled the day after. Do not include
Line Item 6 Total intra-financial system assets. letters of credit and unsettled SFTs (e.g., repos). For
The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b), more information on commitments, see FR Y-9C, Sched-
minus item 3(f). ule HC-L, item 1.

FR Y-15 B-3
Schedule B December 2015
Schedule B

Line Item 10 Net negative current exposure of the underlying obligation only if it reduces the overall
SFTs with other financial institutions. exposure. If the net collateral exceeds the payment
obligation, record a fair value of zero for the netting set.
This item includes the following:
If a derivative contract with a positive fair value is not
(a) Net negative reverse repurchase agreement exposure, covered under a qualifying master netting agreement, the
where the fair value of securities received exceeds derivative exposure amount should be included on a
the value of the cash provided. gross basis (see the definition of ‘‘qualifying master
(b) Net negative repurchase agreement exposure, where netting agreement’’ in 12 CFR 217.2). For more informa-
the value of the cash received exceeds the fair value tion on netting, refer to ASC Subtopic 210-20, Balance
of the securities provided. Sheet − Offsetting, and the FR Y-9C Glossary entry for
‘‘offsetting.’’
(c) Net negative securities lending exposure, where the
value of cash collateral received (or the fair value of Do not include derivative contracts initiated via an
non-cash collateral received) exceeds the fair value exchange such as ICE, CME, or Eurex (e.g., futures
of securities lent. contracts would not be included).
(d) Net negative securities borrowing exposure, where When acting as a financial intermediary (i.e., where the
the fair value of securities borrowed exceeds the banking organization is a counterparty to both the client
value of cash collateral provided (or the fair value of and the CCP), report exposures to the CCP. Report
non-cash collateral provided). exposures to clients if they fit the definition of financial
institution. In cases where a clearing member bank,
The reported value is not intended to reflect amounts acting as an agent, guarantees the performance of a CCP
recorded on the balance sheet. Rather, it represents the to a client, the associated exposure to the client must be
single legally owed amount per netting set. Net multiple reported.
transactions only when the transactions are covered by a
qualifying master netting agreement (see the definition of Report the final net negative fair value as a positive
‘‘qualifying master netting agreement’’ in 12 CFR 217.2). number. For example, a master netting agreement with a
For transactions that are not subject to a qualifying net fair value of -$10 would be reported as +$10.
master netting agreement, report the gross balance sheet Line Item 11(b) Potential future exposure.
amount. Include transactions cleared through a CCP. Do
not include conduit lending transactions and do not apply Report the amount of the PFE, calculated using the
haircuts in assessing the gross fair value of non-cash current exposure method, for the derivatives included in
collateral. Include unsettled SFTs if the bank is using item 11(a). For more information on determining the PFE
trade-date accounting. Report the final net negative expo- refer to 12 CFR 217.34(a).
sure value as a positive number.
Line Item 12 Total intra-financial system
Line Item 11 OTC derivative contracts with other liabilities.
financial institutions that have a net negative fair The sum of items 7(a) through 11(b).
value:
Line Item 11(a) Net negative fair value.
Securities Outstanding
The values reported for items 13 through 19 should
Report the sum of net fair value OTC derivative liabili-
reflect all of the outstanding securities of the banking
ties netted in accordance with GAAP netting rules (i.e.,
organization regardless of whether or not they are held by
designated, legally enforceable, netting sets or groups).
another financial institution. Do not report products
Include only netting sets with a negative value. Report
where the reporting institution does not back the perfor-
netting sets where the net result is positive in item 5(a).
mance of the asset (e.g., asset-backed securities).
Include collateral provided only if it is within the master
netting agreement (i.e., pursuant to legally enforceable For items 13 through 17, provide the book value (i.e.,
credit support annexes). If applicable, net opposing col- carrying amount) of the securities. Note that this value
lateral positions (e.g., initial margin held with variation will depend on the applicable accounting classification
margin posted). Deduct the net collateral position from and measurement, and thus may reflect the amortized

B-4 FR Y-15
Schedule B December 2015
Schedule B

cost of the securities, the fair value of the securities, or a Line Item 18 Common equity.
mixture of the two. Report the fair value of outstanding common equity. For
publicly traded shares, report the closing share price
Line Item 13 Secured debt securities. multiplied by the number of shares outstanding. Do not
Report the book value of all outstanding secured debt report non-publicly traded shares or any other shares for
securities (e.g., covered bonds and REIT preferred secu- which a market price is unavailable. Include shares
rities) issued by the banking organization. Do not include issued by consolidated subsidiaries to third parties. Do
standby letters of credit. Note that this item is not not include certificates of mutual banks.
designed to capture collateralized trades. Instead, the Line Item 19 Preferred shares and other forms of
item is capturing capital that has been raised through the subordinated funding not captured in item 15.
issuance of secured debt.
Report the fair value of outstanding preferred shares and
other forms of subordinated funding not captured in item
Line Item 14 Senior unsecured debt securities. 15 (e.g., savings shares and silent partnerships). For
Report the book value of all outstanding senior unsecured publicly traded shares, report the closing share price
debt securities issued by the banking organization. multiplied by the number of shares outstanding. Do not
report non-publicly traded shares. Include shares issued
by consolidated subsidiaries to third parties.
Line Item 15 Subordinated debt securities.
Report the book value of all outstanding subordinated Line Item 20 Total securities outstanding.
debt securities (as defined in the FR Y-9C, Schedule HC, The sum of items 13 through 19.
items 19(a) and 19(b)) issued by the banking organiza-
tion. Memoranda
Line Item M1 Standby letters of credit extended
Line Item 16 Commercial paper. to other financial institutions.
Report the book value of all outstanding commercial Report the amount of financial and performance standby
paper issued by the banking organization. For more letters of credit extended to other financial institutions. A
information on commercial paper, refer to the Glossary financial standby letter of credit irrevocably obligates the
entry for ‘‘commercial paper.’’ banking organization to pay a third-party beneficiary
when a customer fails to repay an outstanding loan or
debt instrument. A performance standby letter of credit
Line Item 17 Certificates of deposit.
irrevocably obligates the banking organization to pay a
Report the book value of all outstanding certificates of third-party beneficiary when a customer fails to perform
deposit issued by the banking organization. For more some contractual non-financial obligation. For more
information on certificates of deposit, refer to the Glos- information, refer to FR Y-9C, Schedule HC-L, items 2
sary entry for ‘‘certificate of deposit.’’ and 3.

FR Y-15 B-5
Schedule B December 2015
LINE ITEM INSTRUCTIONS FOR

Substitutability Indicators
Schedule C

Payments Activity when the bank acts as a payment service provider) where
the customer is a direct member of the large value
Line Item 1 Payments made in the last four payment system and uses their own BIC code to com-
quarters. plete the transaction. Only include savings account pay-
Report the total gross value of all cash payments sent by ments if they are made via a large value payment system
the banking organization via large-value payment sys- or through an agent.
tems,1 along with the gross value of all cash payments Only include outgoing payments (i.e., exclude payments
sent through an agent or correspondent bank (e.g., using a received). Except for those payments sent via CLS, do
correspondent or nostro account), in the last twelve not net any outgoing wholesale payment values, even if
months for each indicated currency. Include the amount the transaction was settled on a net basis.2 Retail pay-
of payments made into Continuous Linked Settlement ments sent via a large-value payment system or through a
(CLS). All payments sent via an agent bank should be correspondent may be reported net only if they were
reported, regardless of how the agent bank actually settled on a net basis.
settles the transaction. Payments may be recorded using
either the trade date or the settlement date as long as the Though payment totals are not rounded, the level of
reporting remains consistent between periods. If both are expected accuracy depends on the magnitude of the
readily available, the settlement date should be used. reported value. The leading two digits must be accurate3
(within rounding) for payment totals at or above $10
Report payments regardless of purpose, location, or trillion, while only the leading digit must be accurate for
settlement method. This includes, but is not limited to, payment totals below $10 trillion. If precise totals are
cash payments associated with derivatives, securities unavailable, known overestimates may be reported.
financing transactions, and foreign exchange transac-
tions. Do not include the value of any non-cash items Convert the aggregate payments in items 1(a) through
settled in connection with these transactions. Include 1(k) to U.S. dollars using average exchange rates for the
cash payments made on behalf of the reporting entity as last four quarters. These average exchange rates must be
well as those made on behalf of customers (including constructed using a consistent series of exchange rate
financial institutions, other commercial customers, and quotations. The method used must be reasonable, consis-
retail customers). However, do not include internal pay- tent, and reproducible. Documentation concerning the
ments (i.e., book transfers) or any other intra-group method employed to calculate the average exchange rates
transactions (i.e., transactions made within or between
entities within the reporting group), even if the transac- 2. Wholesale payments are payments, generally involving very large
tions were initiated through an external agent (e.g., when values, which are mainly exchanged between banks or other participants in
the financial markets and often require urgent and timely settlement. In
a payment is sent to a subsidiary through an external contrast, retail payments are payments, generally involving low values,
institution). Do not include payments made through retail which are mainly made on behalf of customers and often involve a low
payment systems. Do not report payment facilitation (i.e., degree of urgency (e.g., personal checks, credit card transactions, direct
debits, direct deposits, and ATM withdrawals).
1. For examples of large-value payment systems, refer to Payment, 3. As an example, a figure between 100,000 and 999,999 would need to
clearing and settlement systems in the CPSS countries, published by the be correct to the nearest 100,000 for the leading digit to be considered
Committee on Payment and Settlement Systems (CPSS). The November accurate. The figure would need to be correct to the nearest 10,000 for the
2012 release is available at www.bis.org/cpmi/publ/d105.htm. two leading digits to be considered accurate.

FR Y-15 C-1
Schedule C December 2015
Schedule C

must be maintained and made available to supervisors Line Item 1(k) Swedish krona (SEK).
upon request.
Report the U.S. dollar equivalent amount of all payments
Line Item 1(a) Australian dollars (AUD). made in Swedish krona (SEK) in the last four quarters.

Report the U.S. dollar equivalent amount of all payments Line Item 1(l) United States dollars (USD).
made in Australian dollars (AUD) in the last four quar-
ters. Report the total value of all payments made in United
States dollars (USD) in the last four quarters.
Line Item 1(b) Brazilian real (BRL).
Line Item 2 Payments activity.
Report the U.S. dollar equivalent amount of all payments
made in Brazilian real (BRL) in the last four quarters. The sum of items 1(a) through 1(l).

Line Item 1(c) Canadian dollars (CAD).

Assets Under Custody
Report the U.S. dollar equivalent amount of all payments
Line Item 3 Assets held as a custodian on behalf
made in Canadian dollars (CAD) in the last four quarters.
of customers.
Line Item 1(d) Swiss francs (CHF). Report the value of all assets, including cross-border
Report the U.S. dollar equivalent amount of all payments assets, that the banking organization holds as a custodian
made in Swiss francs (CHF) in the last four quarters. on behalf of customers, including other financial firms
(i.e., financial institutions other than the reporting group).
Line Item 1(e) Chinese yuan (CNY). Include such assets even if they are being held by
unaffiliated institutions (e.g., central securities deposi-
Report the U.S. dollar equivalent amount of all payments tories, payment systems, central banks, and sub-
made in Chinese yuan (CNY) in the last four quarters. custodians).4 In the case where assets are held by a
sub-custodian, both the primary custodian and the sub-
Line Item 1(f) Euros (EUR). custodian must report the assets. Do not include any
Report the U.S. dollar equivalent amount of all payments assets under management or assets under administration
made in euros (EUR) in the last four quarters. which are not also classified as assets under custody. The
value of the assets should reflect the accounting method
Line Item 1(g) British pounds (GBP). required by the respective clients. Thus, the reported total
will likely involve a mixture of both book and market
Report the U.S. dollar equivalent amount of all payments values. Custodial accounts held in all legal entities of the
made in British pound sterling (GBP) in the last four holding company must be reported.
quarters.
Include cash that is being held in custody accounts. Note
Line Item 1(h) Hong Kong dollars (HKD). that assets held as collateral are not generally considered
assets under custody. Report only the assets for which the
Report the U.S. dollar equivalent amount of all payments
banking organization provides custody and safekeeping
made in Hong Kong dollars (HKD) in the last four
services. For more information, see the Glossary entries
quarters.
for ‘‘assets under management,’’ ‘‘assets under adminis-
Line Item 1(i) Indian rupee (INR). tration,’’ ‘‘assets under custody,’’ and ‘‘custodian.’’ For a
description of custody and safekeeping accounts, refer to
Report the U.S. dollar equivalent amount of all payments the instructions for the Consolidated Reports of Condi-
made in Indian rupee (INR) in the last four quarters. tion and Income (FFIEC 031 and 041) Schedule RC-T,
item 11.
Line Item 1(j) Japanese yen (JPY).
Report the U.S. dollar equivalent amount of all payments 4. A sub-custodian is an institution that provides custody services on
made in Japanese yen (JPY) in the last four quarters. behalf of another custodian.

C-2 FR Y-15
Schedule C December 2015
Schedule C

Underwritten Transactions in Debt and policies, and leases, may contain ’’embedded’’ derivative
Equity Markets instruments. Embedded derivatives are implicit or explicit
terms within a contract that affect some or all of the cash
Include all underwriting (public and private) over the last flows or the value of other exchanges required by the
four quarters where the banking organization was obli- contract in a manner similar to a derivative instrument.
gated to purchase unsold securities. When the underwrit-
ing is on a best-efforts basis (i.e., the banking organiza- The effect of embedding a derivative instrument in
tion is not obligated to purchase the remaining inventory), another type of contract (‘‘the host contract’’) is that
only include the securities that were actually sold. For some or all of the cash flows or other exchanges that
transactions underwritten by multiple institutions, only otherwise would be required by the host contract, whether
include the portion attributable to the reporting group. unconditional or contingent upon the occurrence of a
These portions should be reported regardless of whether specified event, will be modified based on one or more of
or not the bank is acting as the lead underwriter. the underlyings.

Line Item 5 Debt underwriting activity.

Line Item 4 Equity underwriting activity.
Report the total value of all types of debt instruments
Report the total value of all types of equity instruments underwritten during the last twelve months, excluding
underwritten during the last twelve months, excluding intra-group or self-led transactions. This includes all
transactions with subsidiaries and/or affiliates and self- types of underwriting transactions relating to debt securi-
led transactions. This includes all types of equity market ties. Include both secured debt instruments (e.g., covered
transactions such as initial public offerings, additional bonds, asset-backed security (ABS) transactions, etc.)
offerings of common stocks, units, depositary receipts and unsecured debt instruments. Include all types of
(e.g., American depositary receipts (ADRs) and Global transactions at all maturities. Do not differentiate transac-
depositary receipts (GDRs)), and rights offerings. Also tions between front-end, back-end, and best-effort or
include equity-linked transactions such as convertible ‘‘soft’’ transactions. Do not differentiate with regard to
bonds, convertible preferred bonds, and exchangeable maturity, currency, or market of issuance. Do not differ-
bonds. Include all types of transactions at all maturities. entiate between sovereign and corporate debt. Do not
Do not differentiate transactions between front-end, back- include loan underwriting.
end, and best-effort transactions. Do not differentiate
with regard to maturity, currency, or market of issuance. Also include debt securities with embedded derivatives.
For more detail on embedded derivatives, refer to the
Include equity securities with embedded derivatives, but instructions for item 4.
exclude stand-alone derivatives underwriting. With
regards to the delineation between securities with embed- Line Item 6 Total underwriting activity.
ded derivatives and stand-alone derivatives, use the
existing definitions in GAAP. The sum of items 4 and 5.

The accounting and reporting standards for derivative Memoranda

instruments, including certain derivative instruments
embedded in other contracts, and for hedging activities For items M1 through M2, refer to the general instruc-
are set forth in ASC Topic 815, Derivatives and Hedging tions provided for item 1.
(formerly FASB Statement No. 133, Accounting for
Derivative Instruments and Hedging Activities, as Line Item M1 Mexican pesos (MXN).
amended), which banking organizations must follow for Report the U.S. dollar equivalent amount of all payments
purposes of this report. ASC Topic 815 requires all made in Mexican pesos (MXN) in the last four quarters.
derivatives to be recognized on the balance sheet as
either assets or liabilities at their fair value. See ASC Line Item M2 New Zealand dollars (NZD).
Topic 815 for the definition of derivatives.
Report the U.S. dollar equivalent amount of all payments
Contracts that do not in their entirety meet the definition made in New Zealand dollars (NZD) in the last four
of a derivative instrument, such as bonds, insurance quarters.

FR Y-15 C-3
Schedule C December 2015
Schedule C

Line Item M3 Russian rubles (RUB). the average exchange rates must be maintained and made
available to supervisors upon request.
Report the U.S. dollar equivalent amount of all payments
made in Russian rubles (RUB) in the last four quarters.
Line Item M5 Unsecured settlement/clearing lines
Line Item M4 Payments made in the last four provided.
quarters in all other currencies.
Report the total amount of committed, unsecured intra-
Report the U.S. dollar equivalent amount of all payments
day credit lines extended to the banking organization’s
made in the last four quarters using currencies not listed
customers. This includes, but is not limited to, lines
in items 1(a) through 1(l) or M1 through M3. Convert the
extended for cash overdrafts, securities clearing, and
yearly aggregates to U.S. dollars using the average
transaction lines (e.g., FX settlement limits). Unsecured
exchange rate for the last four quarters. These average
lines that are extended at will to the client (i.e., on a
exchange rates must be constructed using a consistent
case-by-case basis and at the full discretion of the
series of exchange rate quotations. The method used
banking organization), should not be reported.
must be reasonable, consistent, and reproducible. Docu-
mentation concerning the method employed to calculate

C-4 FR Y-15
Schedule C December 2015
LINE ITEM INSTRUCTIONS FOR

Complexity Indicators
Schedule D

Notional Amount of Over-the-Counter (OTC) types of risk categories and instruments (e.g., foreign
Derivative Contracts exchange, interest rate, equity, commodities, and CDS).
Report transactions regardless of whether they are part of
For items 1 and 2, do not include derivative contracts
a master netting agreement. For more information on
initiated via an exchange such as ICE, CME, or Eurex.
derivatives, refer to ASC Topic 815, Derivatives and
For example, futures contracts would not be included.
Hedging, and the FR Y-9C Glossary entry for ‘‘deriva-
tive contracts.’’
Line Item 1 OTC derivative contracts cleared
through a central counterparty. Line Item 3 Total notional amount of OTC
Report the notional amount outstanding of OTC deriva- derivative contracts.
tive positions which will be settled through a central The sum of items 1 and 2.
counterparty (CCP). Include all types of risk categories
and instruments (e.g., foreign exchange, interest rate, Trading and Available-for-Sale (AFS)
equity, commodities, and credit default swaps (CDS)).
Securities
Report transactions regardless of whether they are part of
a master netting agreement. For more information, see Line Item 4 Trading securities
the Glossary entry for ‘‘central counterparty.’’ For more Report the fair value of all securities classified as trading.
information on derivatives, refer to ASC Topic 815, Securities that are intended to be held principally for the
Derivatives and Hedging, and the FR Y-9C Glossary purpose of selling them in the near term are classified as
entry for ‘‘derivative contracts.’’ trading assets. Trading activity includes active and fre-
Do not include cleared derivative transactions (i.e., trans- quent buying and selling of securities for the purpose of
actions where the bank provides clearing services for generating profits on short-term fluctuations in price.
clients executing trades via an exchange or with a CCP) Securities held for trading purposes must be reported at
where the bank is not a direct counterparty in the fair value. Do not include loans, derivatives, and non-
contract. When acting as a financial intermediary (i.e., tradable assets (e.g., receivables).
where the banking organization is a counterparty to both Report values on a gross long basis (i.e., do not net short
the client and the CCP), report the notional amounts positions against long positions). For long and short
associated with each contract (i.e., the contract with the positions in the same CUSIP, report the long position
CCP and the contract with the client). In cases where a prior to any CUSIP netting. For more information on
clearing member banking organization, acting as an trading securities, refer to ASC Topic 320, Investments −
agent, guarantees the performance of a CCP to a client, Debt and Equity Securities, and the FR Y-9C Glossary
the associated notional amounts must be reported. entry for ‘‘securities activities.’’

Line Item 2 OTC derivative contracts settled Line Item 5 AFS securities.
bilaterally.
Report the fair value of all securities classified as AFS (as
Report the notional amount outstanding of OTC deriva- defined in the FR Y-9C, Schedule HC, item 2(b)). All
tive positions which will be settled bilaterally (i.e., securities not categorized as trading securities or held-to-
without the use of a central counterparty). Include all maturity (HTM) must be reported as AFS. Do not include

FR Y-15 D-1
Schedule D December 2015
Schedule D

loans, derivatives and non-tradable assets (e.g., receiv- Level 3 Assets

ables).
Line Item 10 Assets valued for accounting
Report values on a gross long basis (i.e., do not net short purposes using Level 3 measurement inputs.
positions against long positions). For long and short
Report the gross fair value of all assets that are priced on
positions in the same CUSIP, report the long position
a recurring basis using Level 3 measurement inputs. ASC
prior to any CUSIP netting. For more information on
Topic 820, Fair Value Measurement, established a three-
AFS securities, refer to ASC Topic 320, Investments −
level fair value hierarchy that prioritizes inputs used to
Debt and Equity Securities, and the FR Y-9C Glossary
measure fair value based on observability. Level 3 fair
entry for ‘‘securities activities.’’
value measurement inputs, while not readily observable
in the market, are used to develop an exit price for the
Line Item 6 Total trading and AFS securities. asset (or liability) from the perspective of a market
The sum of items 4 and 5. participant. Therefore, Level 3 fair value measurement
inputs reflect the banking organization’s own assump-
tions about the assumptions that a market participant
Line Item 7 Trading and AFS securities that meet would use in pricing an asset (or liability) and should be
the definition of level 1 liquid assets. based on the best information available under the given
Report the gross fair value of all trading and AFS circumstances.
securities captured in item 6 that qualify as level 1 liquid The level in the fair value hierarchy within which the fair
assets as set forth in the liquidity coverage ratio (LCR) value measurement is categorized is determined on the
(see 12 CFR 249.20(a)). Include qualifying securities basis of the lowest level input that is significant to the fair
even if they are not eligible high-quality liquid assets value measurement in its entirety. If a fair value measure-
(HQLA) according to 12 CFR 249.22. ment uses observable inputs that require significant
adjustment based on unobservable inputs, then this is
Line Item 8 Trading and AFS securities that meet considered a Level 3 measurement. For more informa-
the definition of level 2 liquid assets, with haircuts. tion, refer to the FR Y-9C Glossary entry for ‘‘fair
Report the gross fair value, after applying haircuts, of all value.’’
trading and AFS securities captured in item 6 that qualify
as level 2A or level 2B liquid assets as set forth in the
Memoranda
LCR (see 12 CFR 249.20(b)-(c)). Include qualifying Line Item M1 Held-to-maturity securities.
securities even if they are not eligible HQLA according Report the amortized cost of all securities classified as
to 12 CFR 249.22. Report level 2A and level 2B liquid held-to-maturity (HTM) (as defined in the FR Y-9C,
assets with haircuts of 15% and 50%, respectively (see 12 Schedule HC, item 2(a)). This item includes all debt
CFR 249.21(b)). Do not apply the caps outlined in 12 securities that an institution has the positive intent and
CFR 249.21(c)-(i). ability to hold to maturity. For more information on HTM
securities, refer to ASC Topic 320, Investments − Debt
Line Item 9 Total adjusted trading and AFS and Equity Securities, and the FR Y-9C Glossary entry
securities. for ‘‘securities activities.’’
Item 6 minus the sum of items 7 and 8.

D-2 FR Y-15
Schedule D December 2015
LINE ITEM INSTRUCTIONS FOR

Cross-Jurisdictional Activity Indicators

Schedule E

Cross-Jurisdictional Claims the FFIEC 009 and the Treasury International Capital
Line Item 1 Foreign claims on an ultimate-risk (TIC) B Reports.
basis.
Line Item 2(a) Any foreign liabilities to related
Report the value of all claims over all sectors that, on an offices included in item 2.
ultimate-risk basis, are cross-border claims on non-local
Report the value of any intercompany liabilities included
residents or foreign-office claims on local residents (see
in item 2 (i.e., liabilities that are to the banking organiza-
FFIEC 009, Schedule C, Part II, Columns 1 through 10,
tion’s own foreign offices) (see TIC BL-1, Column 8, and
Total Foreign Countries). Do not include claims from
the liabilities to related offices reported as part of TIC
positions in derivative contracts (see FFIEC 009, Sched-
BQ-2, Columns 1 and 2). For definitions, refer to the
ule D). For definitions, refer to the instructions for
instructions for preparation of the TIC B Reports.
preparation of the FFIEC 009.
Line Item 3 Local liabilities in local currency.
Cross-Jurisdictional Liabilities
Line Item 2 Foreign liabilities (excluding local Report the value of all foreign-office liabilities in local
liabilities in local currency). currency (see FFIEC 009, Schedule L, Column 2). Do not
include liabilities from positions in derivative contracts.
Report the sum of all foreign-office liabilities in non- For definitions, refer to the instructions for the prepara-
local currency, all U.S. dollar liabilities to foreign resi- tion of the FFIEC 009.
dents, and all foreign currency liabilities to foreigners
(see FFIEC 009, Schedule L, Column 1; TIC BL-1, Line Item 4 Total cross-jurisdictional liabilities.
Column 7; and, TIC BQ-2, Columns 1 and 2). Do not
The sum of items 2 and 3 minus item 2(a).
include liabilities from positions in derivative contracts.
For definitions, refer to the instructions for preparation of

FR Y-15 E-1
Schedule E December 2015
LINE ITEM INSTRUCTIONS FOR

Ancillary Indicators
Schedule F

Ancillary Indicators or an International Banking Facility (IBF). Branches or

Line Item 1 Total liabilities. consolidated subsidiaries located in territories or posses-
sions of the home country are considered foreign offices.
Report total liabilities (as defined in the FR Y-9C, Branches of bank subsidiaries located on military facili-
Schedule HC, item 21). ties belonging to the home country, wherever located, are
not considered foreign offices. For more information on
Line Item 2 Retail funding. Edge or Agreement subsidiaries and on IBFs, refer to the
Report total deposits less the sum of deposits from FR Y-9C Glossary entries for ‘‘Edge and Agreement
depository institutions, deposits from central banks, and corporation’’ and ‘‘International Banking Facility (IBF),’’
any other deposits (including certificates of deposit) not respectively.
held by retail customers or small businesses. Small
business customers are those customers with less than $1 Line Item 6 Gross value of cash provided and
million in consolidated deposits that are managed as gross fair value of securities provided in securities
retail customers and are generally considered as having financing transactions (SFTs).
similar liquidity risk characteristics to retail accounts.
For more information on deposits, see the FR Y-9C Report the gross value of all cash provided and the gross
Glossary entry for ‘‘deposits.’’ fair value of all securities provided in the outgoing legs
of securities financing transactions. Only include transac-
Line Item 3 Total gross revenue. tions completed by the banking organization on its own
behalf. Include variation margin provided, but do not
Report total gross revenue, which is defined as interest
include any counterparty netting. Include the outgoing
income plus noninterest income (FR Y-9C, Schedule HI,
legs associated with repurchase and reverse repurchase
item 1(h) plus item 5(m)).
agreements, and securities lending and borrowing. Do
Line Item 4 Total net revenue. not include outgoing legs associated with conduit lending
and margin lending transactions.
Report total net revenue, which is defined as interest
income plus noninterest income minus interest expense
(FR Y-9C, Schedule HI, item 1(h) plus item 5(m) minus Line Item 7 Gross value of cash received and
item 2(f)). gross fair value of securities received in SFTs.
Report the gross value of all cash received and the gross
Line Item 5 Foreign net revenue.
fair value of all securities received in the incoming legs
Report the net revenue, defined as interest income plus of securities financing transactions. Only include transac-
noninterest income minus interest expense, from all tions completed by the banking organization on its own
foreign offices. For purposes of this report, a foreign behalf. Include variation margin received, but do not
office of a reporting banking organization is a branch or include any counterparty netting. Include the incoming
consolidated subsidiary located outside of the organiza- legs associated with repurchase and reverse repurchase
tion’s home country (i.e., the country where the banking agreements, and securities lending and borrowing. Do
organization is headquartered); an Edge or Agreement not include incoming legs associated with conduit lend-
subsidiary, including both its U.S. and its foreign offices; ing and margin lending transactions.

FR Y-15 F-1
Schedule F December 2015
Schedule F

Line Item 8 Gross positive fair value of Line Item 10 Number of jurisdictions.
over-the-counter (OTC) derivative contracts.
Report the gross positive fair value of all OTC derivative Report the number of countries, including the home
contracts (i.e., contracts not initiated via an exchange). jurisdiction, where the banking organization has a branch,
Do not include any counterparty netting. a subsidiary, or other entity that is consolidated under
GAAP. Determine the jurisdiction using the physical
Line Item 9 Gross negative fair value of OTC address of the branch, subsidiary, or other consolidated
derivative contracts. entity.
Report the gross negative fair value of all OTC derivative
contracts not initiated via an exchange. Do not include
any counterparty netting.

F-2 FR Y-15
Schedule F December 2015
LINE ITEM INSTRUCTIONS FOR

Short-Term Wholesale Funding Indicator

Schedule G

General Instructions information, see the Glossary entries for ‘‘brokered

deposits’’ and ‘‘brokered sweep deposits.’’
This schedule must be reported starting with the Decem-
ber 31, 2016 as-of date. Unless otherwise specified in the Line Item 1(c) Unsecured wholesale funding
line item instructions, for the items in Schedule G, report obtained outside of the financial sector.
the average value calculated over the last twelve months
(e.g., data reported as-of March would include observa- Report the value of unsecured wholesale funding where
tions made from April 1 of the previous year through the customer or counterparty is not a financial sector
March 31 of the current year). Banking organizations that entity or a consolidated subsidiary of a financial sector
have reported the Complex Institution Liquidity Monitor- entity (as defined in 12 CFR 249.3). For more informa-
ing Report (FR 2052a) daily for the last twelve months tion, see the Glossary entry for ‘‘unsecured wholesale
must report the average value using daily data. All other funding.’’
respondents must report the average value using monthly
Line Item 1(d) Firm short positions involving
data (i.e., provide the average of the twelve month-end
level 2B liquid assets or non-HQLA.
balances within the last four quarters).
Report the value of firm short positions involving level
Note that the values associated with each item are
2B liquid assets or assets that do not qualify as high-
divided into four maturity buckets. Report funding with a
quality liquid assets (HQLA). For the list of assets that
remaining maturity of 30 days or less, along with funding
are level 2B liquid assets and a definition of HQLA, see
with no maturity date, in column A. Report funding with
12 CFR 249.20 and 249.3, respectively.
a remaining maturity of 31 to 90 days in column B.
Report funding with a remaining maturity of 91 to 180 Line Item 1(e) Total first tier short-term
days in column C. Finally, report funding with a remain- wholesale funding.
ing maturity of 181 to 365 days in column D.
The sum of items 1(a) through 1(d).
Short-Term Wholesale Funding
Line Item 2 Second tier:
Line Item 1 First tier:
Line Item 2(a) Funding secured by level 2A liquid
Line Item 1(a) Funding secured by level 1 liquid assets.
assets.
Report the value of secured funding transactions secured
Report the value of secured funding transactions secured by level 2A liquid assets. For more information, see the
by level 1 liquid assets. For more information, see the Glossary entry for ‘‘secured funding transaction.’’ For the
Glossary entry for ‘‘secured funding transaction.’’ For the list of assets that are level 2A liquid assets, see 12 CFR
definition of level 1 liquid assets, see 12 CFR 249.20. 249.20.

Line Item 1(b) Retail brokered deposits and Line Item 2(b) Covered asset exchanges (level 1
sweeps. to level 2A).
Report the value of brokered deposits and sweeps pro- Report the value of covered asset exchanges where a
vided by retail customers or counterparties. For more level 1 liquid asset will be exchanged for a level 2A

FR Y-15 G-1
Schedule G December 2015
Schedule G

liquid asset. For more information, see the Glossary entry Line Item 4 All other components of short-term
for ‘‘covered asset exchanges.’’ For the list of assets that wholesale funding.
are level 1 and level 2A liquid assets, see 12 CFR 249.20.
Report the value of secured funding transactions secured
by assets that do not qualify as HQLA. For more
Line Item 2(c) Total second tier short-term information, see the Glossary entry for ‘‘secured funding
wholesale funding. transaction.’’ For the definition of HQLA, see 12 CFR
The sum of items 2(a) and 2(b). 249.3.

Line Item 3 Third tier: Line Item 5 Total short-term wholesale funding,
by maturity.
Line Item 3(a) Funding secured by level 2B liquid
Column A: The sum of 0.25 times item 1(e), 0.5 times
assets.
item 2(c), 0.75 times item 3(d), and item 4.
Report the value of secured funding transactions secured
Column B: The sum of 0.1 times item 1(e), 0.25 times
by level 2B liquid assets. For more information, see the
item 2(c), 0.5 times item 3(d), and 0.75 times item 4.
Glossary entry for ‘‘secured funding transaction.’’ For the
list of assets that are level 2B liquid assets, see 12 CFR Column C: The sum of zero times item 1(e), 0.1 times
249.20. item 2(c), 0.25 times item 3(d), and 0.5 times item 4.
Column D: The sum of zero times item 1(e), zero times
Line Item 3(b) Other covered asset exchanges. item 2(c), 0.1 times item 3(d), and 0.25 times item 4.
Report the value of covered asset exchanges not already
captured in item 2(b). For more information, see the Line Item 6 Total short-term wholesale funding.
Glossary entry for ‘‘covered asset exchanges.’’ The sum of item 5, Columns A through D.

Line Item 3(c) Unsecured wholesale funding Line Item 7 Average risk-weighted assets.
obtained within the financial sector. Report the average total risk-weighted assets value over
Report the value of unsecured wholesale funding where the previous four quarters, using quarterly data. For each
the customer or counterparty is a financial sector entity or quarter, use the total risk-weighted assets amount associ-
a consolidated subsidiary of a financial sector entity (as ated with the lower of the two risk-based capital ratios in
defined in 12 CFR 249.3). For more information, see the that quarter. For more information, see FR Y-9C, Sched-
Glossary entry for ‘‘unsecured wholesale funding.’’ ule HC-R, items 40a and 40b.

Line Item 8 Short-term wholesale funding metric.

Line Item 3(d) Total third tier short-term
wholesale funding. Item 6 divided by item 7.
The sum of items 3(a) through 3(c).

G-2 FR Y-15
Schedule G December 2015
LINE ITEM INSTRUCTIONS FOR

Optional Narrative Statement

Line Item 1 Narrative statement. be truncated at 750 characters with no notice to the
respondent. Other than the truncation of statements
The management of the reporting banking organization
exceeding the character limit, the statement will appear
has the option to submit a public statement regarding the
values reported on the FR Y-15. The statement must not on agency computerized records and in releases to the
contain any confidential information that would compro- public exactly as submitted. Public disclosure of the
mise customer privacy or that the respondent is not statement shall not signify that a federal supervisory
willing to have made public. Furthermore, the informa- agency has verified the accuracy or relevance of the
tion in the narrative statement must be accurate and must information contained therein.
not be misleading. If the respondent elects not to make a statement, the item
The statement may not exceed 750 characters, including should be left blank (i.e., do not enter phrases such as
punctuation, indentation, and standard spacing between ‘‘No statement,’’ ‘‘Not applicable,’’ ‘‘N/A,’’ ‘‘No com-
words and sentences. Statements exceeding this limit will ment,’’ or ‘‘None’’).

FR Y-15 ONS-1
Optional Narrative Statement December 2015
Glossary

The definitions in this Glossary apply to the Banking day amounts identified under the agreement governing
Organization Systemic Risk Report (FR Y-15) and are not the account from which the amount is being transferred.
necessarily applicable for other regulatory or legal pur-
Central Counterparty: Central counterparties are enti-
poses. Any accounting discussions in this glossary are
ties (e.g., a clearing house) that facilitate trades between
relevant to the preparation of this report and are not
counterparties in one or more financial markets by either
intended to constitute a comprehensive presentation on
guaranteeing trades or novating contracts.
bank accounting or on generally accepted accounting
principles. For purposes of this glossary, the FASB Certificate of Deposit: Certificates of deposit are time
Accounting Standards Codification is referred to as deposits where the bank issues a receipt for the funds
‘‘ASC.’’ specifying that they are payable on a specific date seven
or more days in the future. For additional information,
Assets under Management: Assets under management refer to the FR Y-9C Glossary entry for ‘‘deposits.’’
are securities or other assets that are managed by a
banking organization or subsidiary of the banking orga- Commercial Paper: Commercial paper consists of short-
nization on behalf of a customer for which the reporting term negotiable promissory notes that mature in 270 days
banking organization or the subsidiary acts as investment or less. Commercial paper may be backed by a standby
adviser. For more information, see FR Y-9C, Schedule letter of credit from a bank, as in the case of documented
HC-M, item 16. discounted notes.
Assets under Administration: Assets under administra- Consolidated Subsidiary: A consolidated subsidiary is a
tion are securities or other assets for which a banking company that is consolidated on the balance sheet of a
organization or subsidiary of the banking organization is banking organization or other company under GAAP.
contractually obligated to provide an administration ser- Covered Asset Exchange: A covered asset exchange is a
vice (e.g., back office administration and recordkeeping transaction in which a banking organization has provided
services). assets of a given liquidity category to a counterparty in
Assets under Custody: Assets under custody are securi- exchange for assets of a higher liquidity category, and the
ties or other assets that are held by a banking organiza- banking organization and the counterparty agreed to
tion or subsidiary of the banking organization on behalf return such assets to each other at a future date. Catego-
of a customer under a safekeeping arrangement. For ries of assets, in descending order of liquidity, are level 1
additional information see the FR Y-9C glossary entry liquid assets, level 2A liquid assets, level 2B liquid
for ‘‘Custody Account.’’ assets, and assets that are not high-quality liquid assets
(HQLA). Covered asset exchanges do not include secured
Brokered Deposit: Brokered deposit is defined in 12 funding transactions. For the list of assets that are level 1,
CFR 249.3. level 2A, and level 2B liquid assets and a definition of
HQLA, see 12 CFR 249.20 and 249.3, respectively.
Brokered Sweep Deposit: A brokered sweep deposit is a
deposit held at a banking organization by a customer or Custodian: For the purposes of the FR Y-15, a custodian
counterparty through a contractual feature that automati- is defined as a bank or other organization (e.g., securities
cally transfers to the banking organization from another firms and trust companies) that manages or administers
regulated financial company at the close of each business the custody or safekeeping of stock certificates, debt

FR Y–15 GL-1
Glossary December 2015
Glossary

securities, cash, or other assets for institutional and master netting agreement, the credit support annex to
private investors. the qualifying master netting agreement, or in the
governing rules for a cleared transaction; and
Qualifying Cash Variation Margin: Qualifying cash
variation margin is cash variation margin (i.e., the cash (5) The derivative contract and the variation margin are
collateral recognized to reduce the mark-to-fair value of governed by a qualifying master netting agreement
derivative contracts) that satisfies all of the following between the legal entities that are the counterparties
conditions: to the derivative contract or by the governing rules
for a cleared transaction. The qualifying master
(1) For derivative contracts that are not cleared through a
netting agreement or the governing rules for a cleared
qualifying central counterparty (QCCP), the cash
transaction must explicitly stipulate that the counter-
collateral received by the recipient counterparty is
parties agree to settle any payment obligations on a
not segregated;
net basis, taking into account any variation margin
(2) Variation margin is calculated and transferred on a received or provided under the contract if a credit
daily basis based on the mark-to-fair value of the event involving either counterparty occurs.
derivative contract;
Secured Funding Transaction: Secured funding trans-
(3) The variation margin transferred under the derivative action is defined in 12 CFR 249.3.
contract or the governing rules for a cleared transac-
Short Position: A short position is a transaction in which
tion is the full amount that is necessary to fully
a banking organization has borrowed or otherwise
extinguish the current credit exposure amount to the
obtained a security from a counterparty, which was then
counterparty of the derivative contract, subject to the
sold to another counterparty, and the banking organiza-
threshold and minimum transfer amounts applicable
tion must return the security to the initial counterparty in
to the counterparty under the terms of the derivative
the future.
contract or the governing rules for a cleared transac-
tion; Unsecured Wholesale Funding: Unsecured wholesale
funding is defined in 12 CFR 249.3.
(4) The variation margin is in the form of cash in the
same currency as the currency of settlement set forth Wholesale Customer or Counterparty: Wholesale cus-
in the derivative contract, provided that, for purposes tomer or counterparty means a customer or counterparty
of this paragraph, currency of settlement means any that is not a retail customer or counterparty (as defined in
currency for settlement specified in the qualifying 12 CFR 249.3).

GL-2 FR Y–15
Glossary December 2015
 Validity (V) Edits for the FR Y‐15
(Effective as of September 30, 2016)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective End Edit Schedule Edit Type Edit TargetItem MDRM Edit Test Alg Edit Test
Start Date Date Change Number Number
FRY15 20141231 99991231 No change Page 1 Validity 0100 CFO RISKC490 CFO must not be null. riskc490 ne null

FRY15 20141231 99991231 No change Page 1 Validity 0105 DATESIGN RISKJ196 DATESIGN must not be null. riskj196 ne null

FRY15 20141231 99991231 No change Page 1 Validity 0110 CONTACTN RISK8901 CONTACTN must not be null. RISK8901 ne null

FRY15 20141231 99991231 No change Page 1 Validity 0115 CONTACTP RISK8902 CONTACTP must not be null. risk8902 ne null

FRY15 20141231 99991231 No change Page 1 Validity 0120 CONTACTF RISK9116 CONTACTF must not be null. risk9116 ne null

FRY15 20141231 99991231 No change Page 1 Validity 0125 CONTACTE RISK4086 CONTACTE must not be null. risk4086 ne null

FRY15 20160930 99991231 Revised A Validity 0130 A2a RISKM334 For institutions that are not advanced approaches, A2a must For institutions that are not advanced approaches, RISKM334
not be null ne null
FRY15 20151231 99991231 Revised A Validity 0135 A‐Mem1 RISKM335 A‐Mem1 must not be null. riskm335 ne null
FRY15 20151231 99991231 Revised A Validity 0140 A‐Mem2 RISKM336 A‐Mem2 must not be null. riskm336 ne null
FRY15 20160930 99991231 Revised A Validity 0145 A1a RISKM337 For institutions that are not advanced approaches, A1a must For institutions that are not advanced approaches, RISKM337
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0148 A1c RISKY822 For institutions that are not advanced approaches, A1c must For institutions that are not advanced approaches, RISKY822
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0152 A1e RISKY823 For institutions that are not advanced approaches, A1e must For institutions that are not advanced approaches, RISKY823
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0153 A1f RISKY824 For institutions that are not advanced approaches, A1f must For institutions that are not advanced approaches, RISKY824
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0154 A1g RISKY825 For institutions that are not advanced approaches, A1g must For institutions that are not advanced approaches, RISKY825
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0155 A2b RISKN507 For institutions that are not advanced approaches, A2b must For institutions that are not advanced approaches, RISKN507
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0157 A2c RISKY827 For institutions that are not advanced approaches, A2c must For institutions that are not advanced approaches, RISKY827
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0158 A2d RISKY828 For institutions that are not advanced approach, A2d must For institutions that are not advanced approaches, RISKY828
not be null ne null
FRY15 20160930 99991231 Revised A Validity 0160 A1b RISKM339 For institutions that are not advanced approaches, A1b must For institutions that are not advanced approaches, RISKM339
not be null ne null
FRY15 20151231 99991231 No change A Validity 0165 A‐Mem3 RISKM341 A‐Mem3 must not be null. riskm341 ne null

FRY15 20151231 99991231 No change A Validity 0175 A4a RISKM342 A4a must not be null. riskm342 ne null

FRY15 20151231 99991231 No change A Validity 0188 A3a RISKY830 For institutions that are not advanced approaches, A3a must For institutions that are not advanced approaches, RISKY830
not be null ne null
FRY15 20151231 99991231 No change A Validity 0190 A4b RISKM718 A4b must not be null. riskm718 ne null

FRY15 20151231 99991231 No change A Validity 0195 A4c RISKM346 A4c must not be null. riskm346 ne null

FRY15 20151231 99991231 No change A Validity 0200 A4d RISKM347 A4d must not be null. riskm347 ne null

FRY15 20160930 99991231 Revised A Validity 0205 A3b RISKM349 For institutions that are not advanced approaches, A3b must For institutions that are not advanced approaches, RISKM349
not be null ne null
FRY15 20141231 99991231 No change B Validity 0210 B1 RISKM351 B1 must not be null. riskm351 ne null

September 2016 FR Y‐15: CHK‐1 of 4

 Validity (V) Edits for the FR Y‐15
(Effective as of September 30, 2016)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective End Edit Schedule Edit Type Edit TargetItem MDRM Edit Test Alg Edit Test
Start Date Date Change Number Number
FRY15 20141231 99991231 No change B Validity 0215 B1a RISKM355 B1a must not be null. riskm355 ne null

FRY15 20141231 99991231 No change B Validity 0220 B2 RISKJ458 B2 must not be null. riskj458 ne null

FRY15 20141231 99991231 No change B Validity 0225 B3a RISKM352 B3a must not be null. riskm352 ne null

FRY15 20141231 99991231 No change B Validity 0230 B3b RISKM353 B3b must not be null. riskm353 ne null

FRY15 20141231 99991231 No change B Validity 0235 B3c RISKM354 B3c must not be null. riskm354 ne null

FRY15 20141231 99991231 No change B Validity 0240 B3d RISKM345 B3d must not be null. riskm345 ne null

FRY15 20141231 99991231 No change B Validity 0245 B3e RISKM356 B3e must not be null. riskm356 ne null

FRY15 20141231 99991231 No change B Validity 0250 B3f RISKM357 B3f must not be null. riskm357 ne null

FRY15 20141231 99991231 No change B Validity 0255 B4 RISKM358 B4 must not be null. riskm358 ne null

FRY15 20141231 99991231 No change B Validity 0260 B5a RISKM359 B5a must not be null. riskm359 ne null

FRY15 20141231 99991231 No change B Validity 0265 B5b RISKM360 B5b must not be null. riskm360 ne null

FRY15 20141231 99991231 No change B Validity 0270 B7a RISKM363 B7a must not be null. riskm363 ne null

FRY15 20141231 99991231 No change B Validity 0275 B7b RISKM364 B7b must not be null. riskm364 ne null

FRY15 20151231 99991231 No change B Validity 0277 B8 RISKY833 B8 must not be null risky833 ne null

FRY15 20151231 99991231 No change B Validity 0280 B9 RISKM365 B9 must not be null. riskm365 ne null

FRY15 20151231 99991231 No change B Validity 0285 B10 RISKM366 B10 must not be null. riskm366 ne null

FRY15 20151231 99991231 No change B Validity 0290 B11a RISKM367 B11a must not be null. riskm367 ne null

FRY15 20151231 99991231 No change B Validity 0295 B11b RISKM368 B11b must not be null. riskm368 ne null

FRY15 20151231 99991231 No change B Validity 0300 B13 RISKM371 B13 must not be null. riskm371 ne null

FRY15 20151231 99991231 No change B Validity 0305 B14 RISKM372 B14 must not be null. riskm372 ne null

FRY15 20151231 99991231 No change B Validity 0310 B17 RISKM374 B17 must not be null. riskm374 ne null

FRY15 20151231 99991231 No change B Validity 0315 B18 RISKM375 B18 must not be null. riskm375 ne null

FRY15 20151231 99991231 No change B Validity 0320 B19 RISKN509 B19 must not be null. riskn509 ne null

FRY15 20151231 99991231 No change B Validity 0323 B‐Mem1 RISKY834 B‐Mem1 must not be null risky834 ne null

FRY15 20141231 99991231 No change C Validity 0325 C1a RISKM377 C1a must not be null. riskm377 ne null

FRY15 20141231 99991231 No change C Validity 0330 C1b RISKM378 C1b must not be null. riskm378 ne null

FRY15 20141231 99991231 No change C Validity 0335 C1c RISKM379 C1c must not be null. riskm379 ne null

September 2016 FR Y‐15: CHK‐2 of 4

 Validity (V) Edits for the FR Y‐15
(Effective as of September 30, 2016)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective End Edit Schedule Edit Type Edit TargetItem MDRM Edit Test Alg Edit Test
Start Date Date Change Number Number
FRY15 20141231 99991231 No change C Validity 0340 C1d RISKM380 C1d must not be null. riskm380 ne null

FRY15 20141231 99991231 No change C Validity 0345 C1e RISKM381 C1e must not be null. riskm381 ne null

FRY15 20141231 99991231 No change C Validity 0350 C1f RISKM382 C1f must not be null. riskm382 ne null

FRY15 20141231 99991231 No change C Validity 0355 C1g RISKM383 C1g must not be null. riskm383 ne null

FRY15 20141231 99991231 No change C Validity 0360 C1h RISKM384 C1h must not be null. riskm384 ne null

FRY15 20141231 99991231 No change C Validity 0365 C1i RISKM385 C1i must not be null. riskm385 ne null

FRY15 20141231 99991231 No change C Validity 0370 C1j RISKM386 C1j must not be null. riskm386 ne null

FRY15 20141231 99991231 No change C Validity 0375 C1k RISKM387 C1k must not be null. riskm387 ne null

FRY15 20141231 99991231 No change C Validity 0380 C1l RISKM388 C1l must not be null. riskm388 ne null

FRY15 20151231 99991231 No change C Validity 0382 C‐Mem1 RISKY835 C‐Mem1 must not be null risky835 ne null

FRY15 20151231 99991231 No change C Validity 0383 C‐Mem2 RISKY836 C‐Mem2 must not be null risky836 ne null

FRY15 20151231 99991231 No change C Validity 0384 C‐Mem3 RISKY837 C‐Mem3 must not be null riskY837 ne null

FRY15 20151231 99991231 No change C Validity 0385 C‐Mem4 RISKM389 C‐Mem4 must not be null. riskm389 ne null

FRY15 20141231 99991231 No change C Validity 0390 C3 RISKM405 C3 must not be null. riskm405 ne null

FRY15 20141231 99991231 No change C Validity 0395 C4 RISKM406 C4 must not be null. riskm406 ne null

FRY15 20141231 99991231 No change C Validity 0400 C5 RISKM407 C5 must not be null. riskm407 ne null

FRY15 20141231 99991231 No change D Validity 0405 D1 RISKM409 D1 must not be null. riskm409 ne null

FRY15 20141231 99991231 No change D Validity 0410 D2 RISKM410 D2 must not be null. riskm410 ne null

FRY15 20141231 99991231 No change D Validity 0415 D4 RISKM412 D4 must not be null. riskm412 ne null

FRY15 20141231 99991231 No change D Validity 0420 D7 RISKN510 D7 must not be null. riskn510 ne null

FRY15 20141231 99991231 No change D Validity 0425 D8 RISKN511 D8 must not be null. riskn511 ne null

FRY15 20151231 99991231 No change E Validity 0427 E1 RISKM422 E1 must not be null. riskm422 ne null

FRY15 20141231 99991231 No change E Validity 0430 E2 RISKM423 E2 must not be null. riskm423 ne null

FRY15 20141231 99991231 No change E Validity 0435 E2a RISKM424 E2a must not be null. riskm424 ne null

FRY15 20141231 99991231 No change E Validity 0440 E3 RISKM425 E3 must not be null. riskm425 ne null

FRY15 20141231 99991231 No change F Validity 0445 F2 RISKM427 F2 must not be null. riskm427 ne null

FRY15 20151231 99991231 No change F Validity 0450 F5 RISKM429 F5 must not be null. riskm429 ne null

September 2016 FR Y‐15: CHK‐3 of 4

 Validity (V) Edits for the FR Y‐15
(Effective as of September 30, 2016)
Each edit in the checklist must balance, rounding errors are not allowed
Series Effective Effective End Edit Schedule Edit Type Edit TargetItem MDRM Edit Test Alg Edit Test
Start Date Date Change Number Number
FRY15 20151231 99991231 No change F Validity 0460 F6 RISKM432 F6 must not be null. riskm432 ne null

FRY15 20151231 99991231 No change F Validity 0465 F7 RISKM433 F7 must not be null. riskm433 ne null

FRY15 20151231 99991231 No change F Validity 0470 F8 RISKM434 F8 must not be null. riskm434 ne null

FRY15 20151231 99991231 No change F Validity 0475 F9 RISKM435 F9 must not be null. riskm435 ne null

FRY15 20151231 99991231 No change C Validity 0480 C‐Mem5 RISKM436 C‐Mem5 must not be null. riskm436 ne null

FRY15 20151231 99991231 No change F Validity 0485 F10 RISKM437 F10 must not be null. riskm437 ne null

FRY15 20151231 99991231 No change A Validity 0486 A6 RISKFC52 A6 should equal zero ( No) or one (Yes) and must not be null. riskfc52 eq 0 or riskfc52 eq 1 and riskfc52 ne null

FRY15 20160930 99991231 Revised A Validity 0487 A1d RISKM340 For institutions that are not advanced approaches, A1d must For institutions that are not advanced approaches, RISKM340
not be null ne null

September 2016 FR Y‐15: CHK‐4 of 4

 Quality (Q) Edits for the FR Y‐15
(Effective as of September 30, 2016)

Series Effective Start Date Effective End Date Edit Change Schedule Edit Type Edit Number TargetItem MDRM Number Edit Test Alg Edit Test

FRY15 20151231 99991231 No change A Interseries 3000 F1 RISK2948 F1 should be less than HC‐12. risk2948 lt bhck2170
FRY15 20151231 99991231 No change A Interseries 3010 B6 RISKM362 B6 should be less than HC‐12. riskm362 lt bhck2170
FRY15 20151231 99991231 No change A Interseries 3020 B12 RISKM370 B12 should be less than HC‐12. riskm370 lt bhck2170
FRY15 20151231 99991231 Revised A Interseries 3030 A2a RISKM334 If A6 equals zero, then A2a should be greater than if riskfc52 eq 0, then riskm334 ge bhckb989
or equal to HC‐3b.
FRY15 20151231 99991231 No change A Quality 9000 A1a RISKM337 A1a should not be negative. riskm337 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A1b RISKM339 A1b should not be negative. riskm339 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A1c RISKY822 A1c should not be negative. RISKY822 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A1e RISKY823 A1e should not be negative. RISKY823 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A1f RISKY824 A1f should not be negative. RISKY824 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A1g RISKY825 A1g should not be negative. RISKY825 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A2a RISKM334 A2a should not be negative. riskm334 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A2b RISKN507 A2b should not be negative. riskn507 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A2c RISKY827 A2c should not be negative. RISKY827 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A2d RISKY828 A2d should not be negative. RISKY828 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A3a RISKY830 A3a should not be negative. RISKY830 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A4a RISKM342 A4a should not be negative. riskm342 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A4b RISKM718 A4b should not be negative. riskm718 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A4c RISKM346 A4c should not be negative. riskm346 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A4d RISKM347 A4d should not be negative. riskm347 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A‐Mem1 RISKM335 A‐Mem1 should not be negative. riskm335 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A‐Mem2 RISKM336 A‐Mem2 should not be negative. riskm336 ge 0
FRY15 20151231 99991231 No change A Quality 9000 A‐Mem3 RISKM341 A‐Mem3 should not be negative. riskm341 ge 0
FRY15 20151231 99991231 No change A Quality 3055 D6 RISKM414 D6 should be less than A5. riskm414 lt risky832
FRY15 20141231 99991231 No change B Quality 9020 B1 RISKM351 B1 should not be negative. riskm351 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B1a RISKM355 B1a should not be negative. riskm355 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B2 RISKJ458 B2 should not be negative. riskj458 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B3a RISKM352 B3a should not be negative. riskm352 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B3b RISKM353 B3b should not be negative. riskm353 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B3c RISKM354 B3c should not be negative. riskm354 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B3d RISKM345 B3d should not be negative. riskm345 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B3e RISKM356 B3e should not be negative. riskm356 ge 0
FRY15 20131231 99991231 No change B Quality 3060 B3e RISKM356 B3f should be less than or equal to B3e riskm357 le riskm356
FRY15 20141231 99991231 No change B Quality 9020 B3f RISKM357 B3f should not be negative. riskm357 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B4 RISKM358 B4 should not be negative. riskm358 ge 0
FRY15 20151231 99991231 No change F Quality 3063 F6 RISKM432 F6 should be greater than or equal to B4 riskm432 ge riskm358
FRY15 20141231 99991231 No change B Quality 9020 B5a RISKM359 B5a should not be negative. riskm359 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B5b RISKM360 B5b should not be negative. riskm360 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B7a RISKM363 B7a should not be negative. riskm363 ge 0
FRY15 20141231 99991231 No change B Quality 9020 B7b RISKM364 B7b should not be negative. riskm364 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B8 RISKY833 B8 should not be negative. RISKY833 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B9 RISKM365 B9 should not be negative. riskm365 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B10 RISKM366 B10 should not be negative. riskm366 ge 0
FRY15 20151231 99991231 No change F Quality 3067 F7 RISKM433 F7 should be greater than or equal to B10 riskm433 ge riskm366
FRY15 20151231 99991231 No change B Quality 9020 B11a RISKM367 B11a should not be negative. riskm367 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B11b RISKM368 B11b should not be negative. riskm368 ge 0
FRY15 20151231 99991231 No change F Quality 3070 F1 RISK2948 F1 should be greater than or equal to B12. risk2948 ge riskm370
FRY15 20151231 99991231 No change B Quality 9020 B13 RISKM371 B13 should not be negative. riskm371 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B14 RISKM372 B14 should not be negative. riskm372 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B17 RISKM374 B17 should not be negative. riskm374 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B18 RISKM375 B18 should not be negative. riskm375 ge 0

September 2016 FR Y‐15: EDIT‐1 of 3

 Quality (Q) Edits for the FR Y‐15
(Effective as of September 30, 2016)

Series Effective Start Date Effective End Date Edit Change Schedule Edit Type Edit Number TargetItem MDRM Number Edit Test Alg Edit Test

FRY15 20151231 99991231 No change B Quality 9020 B19 RISKN509 B19 should not be negative. riskn509 ge 0
FRY15 20151231 99991231 No change B Quality 9020 B‐Mem1 RISKY834 B‐Mem1 should not be negative. RISKY834 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1a RISKM377 C1a should not be negative. riskm377 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1b RISKM378 C1b should not be negative. riskm378 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1c RISKM379 C1c should not be negative. riskm379 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1d RISKM380 C1d should not be negative. riskm380 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1e RISKM381 C1e should not be negative. riskm381 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1f RISKM382 C1f should not be negative. riskm382 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1g RISKM383 C1g should not be negative. riskm383 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1h RISKM384 C1h should not be negative. riskm384 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1i RISKM385 C1i should not be negative. riskm385 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1j RISKM386 C1j should not be negative. riskm386 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1k RISKM387 C1k should not be negative. riskm387 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C1l RISKM388 C1l should not be negative. riskm388 ge 0
FRY15 20151231 99991231 No change C Quality 9030 C‐Mem4 RISKM389 C‐Mem4 should not be negative. riskm389 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C3 RISKM405 C3 should not be negative. riskm405 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C4 RISKM406 C4 should not be negative. riskm406 ge 0
FRY15 20141231 99991231 No change C Quality 9030 C5 RISKM407 C5 should not be negative. riskm407 ge 0
FRY15 20151231 99991231 No change C Quality 9030 C‐Mem1 RISKY835 C‐Mem1 should not be negative. RISKY835 ge 0
FRY15 20151231 99991231 No change C Quality 9030 C‐Mem2 RISKY836 C‐Mem2 should not be negative. RISKY836 ge 0
FRY15 20151231 99991231 No change C Quality 9030 C‐Mem3 RISKY837 C‐Mem3 should not be negative. RISKY837 ge 0
FRY15 20141231 99991231 No change D Quality 9040 D1 RISKM409 D1 should not be negative. riskm409 ge 0
FRY15 20141231 99991231 No change D Quality 9040 D2 RISKM410 D2 should not be negative. riskm410 ge 0
FRY15 20141231 99991231 No change D Quality 9040 D4 RISKM412 D4 should not be negative. riskm412 ge 0
FRY15 20131231 99991231 No change D Quality 3095 D6 RISKM414 Sum of D7 and D8 should be less than or equal to D6 (riskn510 + riskn511) le riskm414

FRY15 20141231 99991231 No change D Quality 9040 D7 RISKN510 D7 should not be negative. riskn510 ge 0
FRY15 20141231 99991231 No change D Quality 9040 D8 RISKN511 D8 should not be negative. riskn511 ge 0
FRY15 20151231 99991231 No change E Quality 9050 E1 RISKM422 E1 should not be negative. RISKM422 ge 0
FRY15 20141231 99991231 No change E Quality 9050 E2 RISKM423 E2 should not be negative. riskm423 ge 0
FRY15 20141231 99991231 No change E Quality 3140 E2 RISKM423 E2a should be less than or equal to E2. riskm424 le riskm423
FRY15 20141231 99991231 No change E Quality 9050 E2a RISKM424 E2a should not be negative. riskm424 ge 0
FRY15 20141231 99991231 No change E Quality 9050 E3 RISKM425 E3 should not be negative. riskm425 ge 0
FRY15 20141231 99991231 No change F Quality 9060 F2 RISKM427 F2 should not be negative. riskm427 ge 0
FRY15 20151231 99991231 No change F Quality 3150 F4 RISKM428 F4 should be less than 100 trillion. riskm428 lt 100000000000
FRY15 20151231 99991231 No change F Quality 3160 F5 RISKM429 F5 should be less than or equal to F4. riskm429 le riskm428
FRY15 20151231 99991231 No change F Quality 3170 F3 RISKM430 F3 should be greater than F4. riskm430 gt riskm428
FRY15 20151231 99991231 No change F Quality 3180 F5 RISKM429 F5 should be less than 100 trillion. riskm429 lt 100000000000
FRY15 20151231 99991231 No change F Quality 9060 F6 RISKM432 F6 should not be negative. riskm432 ge 0
FRY15 20151231 99991231 No change F Quality 9060 F7 RISKM433 F7 should not be negative. riskm433 ge 0
FRY15 20151231 99991231 No change F Quality 9060 F8 RISKM434 F8 should not be negative. riskm434 ge 0
FRY15 20151231 99991231 No change F Quality 9060 F9 RISKM435 F9 should not be negative. riskm435 ge 0
FRY15 20151231 99991231 No change C Quality 9060 C‐Mem5 RISKM436 C‐Mem5 should not be negative. riskm436 ge 0
FRY15 20151231 99991231 No change F Quality 9060 F10 RISKM437 F10 should not be negative. riskm437 ge 0
FRY15 20161231 99991231 Added G Quality 9070 G1aA RISKY838 G1aA should not be null riskY838 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1aB RISKY839 G1aB should not be null riskY839 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1aC RISKY840 G1aC should not be null riskY840 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1aD RISKY841 G1aD should not be null risky841 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1bA RISKY842 G1bA should not be null riskY842 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1bB RISKY843 G1bB should not be null risky843 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1bC RISKY844 G1bC should not be null risky844 ne null

September 2016 FR Y‐15: EDIT‐2 of 3

 Quality (Q) Edits for the FR Y‐15
(Effective as of September 30, 2016)

Series Effective Start Date Effective End Date Edit Change Schedule Edit Type Edit Number TargetItem MDRM Number Edit Test Alg Edit Test

FRY15 20161231 99991231 Added G Quality 9070 G1bD RISKY845 G1bD should not be null risky845 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1cA RISKY846 G1cA should not be null risky846 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1cB RISKY847 G1cB should not be null risky847 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1cC RISKY848 G1cC should not be null risky848 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1cD RISKY849 G1cD should not be null risky849ne null
FRY15 20161231 99991231 Added G Quality 9070 G1dA RISKY850 G1dA should not be null risky850 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1dB RISKY851 G1dB should not be null risky851 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1dC RISKY852 G1dC should not be null risky852 ne null
FRY15 20161231 99991231 Added G Quality 9070 G1dD RISKY853 G1dD should not be null risky853 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2aA RISKY858 G2aA should not be null risky858 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2aB RISKY859 G2aB should not be null risky859 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2aC RISKY860 G2aC should not be null risky860 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2aD RISKY861 G2aD should not be null risky861 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2bA RISKY862 G2bA should not be null risky862 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2bB RISKY863 G2bB should not be null risky863 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2bC RISKY864 G2bC should not be null risky864 ne null
FRY15 20161231 99991231 Added G Quality 9070 G2bD RISKY865 G2bD should not be null risky865 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3aA RISKY870 G3aA should not be null risky870 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3aB RISKY871 G3aB should not be null risky871 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3aC RISKY872 G3aC should not be null risky872 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3aD RISKY873 G3aD should not be null risky873 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3bA RISKY874 G3bA should not be null risky874 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3bB RISKY875 G3bB should not be null risky875 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3bC RISKY876 G3bC should not be null risky876 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3bD RISKY877 G3bD should not be null risky877 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3cA RISKY878 G3cA should not be null risky878 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3cB RISKY879 G3cB should not be null risky879 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3cC RISKY880 G3cC should not be null risky880 ne null
FRY15 20161231 99991231 Added G Quality 9070 G3cD RISKY881 G3cD should not be null risky881ne null
FRY15 20161231 99991231 Added G Quality 9070 G4A RISKY886 G4A should not be null risky886 ne null
FRY15 20161231 99991231 Added G Quality 9070 G4B RISKY887 G4B should not be null risky887 ne null
FRY15 20161231 99991231 Added G Quality 9070 G4C RISKY888 G4C should not be null risky888 ne null
FRY15 20161231 99991231 Added G Quality 9070 G4D RISKY889 G4D should not be null risky889 ne null
FRY15 20161231 99991231 Added G Quality 9070 G7 RISKY895 G7 should not be null risky895 ne null

September 2016 FR Y‐15: EDIT‐3 of 3