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
This page intentionally left blank.
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
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

Contents-2 FR Y-15

Contents December 2015
INSTRUCTIONS FOR PREPARATION OF

Banking Organization

Systemic Risk Report

FR Y-15

General Instructions

Who Must Report

A. Reporting Criteria

The following banking organizations must file the Banking Organization Systemic Risk Report (FR Y-15) as of

the last calendar day of March, June, September, and

December:

(1) Holding Companies with Total ConsolidatedAssets

of $50 Billion or More. Bank holding companies

(BHCs), covered savings and loan holding companies (SLHCs)1

, and intermediate holding companies

(IHCs) that have total consolidated assets of $50

billion or more, including those U.S. top-tier holding

companies that are subsidiaries of foreign banking

organizations, must file the FR Y-15, subject to

applicable phase-in arrangements. Only the top tier

of a multi-tiered holding company that meets these

criteria must file.

(2) U.S.-Based Organizations Designated as Global

Systemically Important Banks. Any BHC organized under the laws of the U.S. or any of the states

therein that was identified as a global systemically

important bank (G-SIB) based on their most recent

method 1 score calculation2 must file the FR Y-15

even if they do not meet the consolidated assets

threshold.

B. Shifts in Reporting Status

A top-tier holding company that reaches $50 billion or

more in total consolidated assets as of June 30 must begin

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

top-tier holding company reaches $50 billion or more in

total consolidated assets due to a business combination, a

reorganization, or a branch acquisition that is not a

business combination, then the holding company must

begin reporting the FR Y-15 with the first quarterly

report date following the effective date of the business

combination, reorganization, or branch acquisition. If a

holding company’s total consolidated assets should subsequently fall to less than $50 billion for four consecutive

quarters, then the holding company is no longer required

to file the FR Y-15 starting with the fifth quarter.

C. Rules of Consolidation

For purposes of this report, all offices (i.e., branches,

subsidiaries, variable interest entities and international

banking facilities (IBFs)) that are within the scope of the

consolidated holding company are to be reported on a

consolidated basis. Unless the instructions specifically

state otherwise, this consolidation shall be on a line-byline basis, according to the caption shown. As part of the

consolidation process, the results of all transactions and

all intercompany balances (e.g., outstanding asset/debt

relationships) between offices, subsidiaries, and other

entities included in the scope of the consolidated holding

company are to be eliminated in the consolidation and

must be excluded from the FR Y-15.

Subsidiaries of Subsidiaries. For a subsidiary of a holding company that is in turn the parent of one or more

subsidiaries: (1) Each subsidiary shall consolidate its

majority-owned subsidiaries in accordance with the consolidation requirements set forth above. (2) Each subsidiary shall account for any investments in unconsolidated

subsidiaries, corporate joint ventures over which the

holding company exercises significant influence, and

associated companies according to the equity method of

accounting.

1. Covered SLHCs are those which are not substantially engaged in

insurance or commercial activities. For more information, see the definition of ‘‘covered savings and loan holding company’’ provided in 12 CFR

217.2.

2. See 12 CFR 217.402.

FR Y-15 GEN-1

General Instructions September 2016
D. Exclusions from coverage of the consolidated

report

Subsidiaries where control does not rest with the parent. If control of a majority-owned subsidiary by the

holding company does not rest with the holding company

because of legal or other reasons (e.g., the subsidiary is in

bankruptcy), the subsidiary is not required to be consolidated for purposes of the report. Additional guidance on

this topic is provided in accounting standards, including

Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Subtopic 810-10, Consolidation - Overall.

Custody accounts. Custody and safekeeping activities

(i.e., the holding of securities, jewelry, coin collections,

and other valuables in custody or in safekeeping for

customers) must not be reflected on any basis in the

balance sheet items on the FR Y-15 unless cash funds

held in safekeeping for customers are commingled with

the general assets of the reporting holding company. In

such cases, the commingled funds would be reported.

The exclusion of custody accounts does not apply to line

items specifically capturing assets under custody.

Where to Submit the Report

Electronic Submission

All banking organizations must submit their completed

report electronically. Banking organizations should contact their district Reserve Bank or go to

www.frbservices.org/centralbank/reportingcentral/ for

procedures for electronic submission.

When to Submit the Report

The FR Y-15 is required to be submitted as of March 31,

June 30, September 30, and December 31. The submission date is 50 calendar days after the March 31, June 30,

and September 30 as-of dates and 65 calendar days after

the December 31 as-of date. Note that the quarterly

reporting requirement became effective starting with the

June 30, 2016 as-of date. Also note that the initial

submission date for IHCs (including existing BHCs

designated as an IHC) is 65 calendar days after the

September 30, 2016 as-of date.

The term “submission date” is defined as the date by

which the Federal Reserve must receive the banking

organization’s FR Y-15.

If the submission deadline falls on a weekend or holiday,

the report must be received on the first business day after

the Saturday, Sunday, or holiday. Earlier submission aids

the Federal Reserve in reviewing and processing the

reports and is encouraged. No extensions of time for

submitting reports are granted.

The reports are due by the end of the reporting day on the

submission date (5:00 P.M. at each district Federal

Reserve Bank).

How to Prepare the Report

A. Applicability of GAAP

Banking organizations are required to prepare and file the

FR Y-15 in accordance with U.S. generally accepted

accounting principles (GAAP) and these instructions.

The report shall be prepared in a consistent manner. The

banking organization’s financial records shall be maintained in such a manner and scope so as to ensure that the

FR Y-15 can be prepared and filed in accordance with

these instructions and reflect a fair presentation of the

banking organization’s financial condition and results of

operations.

Banking organizations should retain workpapers and

other records used in the preparation of this report.

B. Report Form Captions and Instructional Detail

No caption on the report forms shall be changed in any

way. Enter an amount or a zero for all items except in the

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

Section H (Data Items Automatically Retrieved from

Other Reports).

There may be areas in which a banking organization

wishes to obtain more technical detail on the application

of accounting standards and procedures to the requirements of these instructions. Such information may be

found in more detail in the GAAP standards. Selected

sections of the GAAP standards are referenced in the

instructions where appropriate.

Questions and requests for interpretations of matters

appearing in any part of these instructions should be

addressed to the appropriate Federal Reserve Bank (that

is, the Federal Reserve Bank in the district where the

banking organization submits this report).

General Instructions

GEN-2 FR Y-15

General Instructions September 2016
C. Rounding

Report all dollar amounts in thousands. Each banking

organization, at its option, may round the figures reported

to the nearest million, with zeros reported in the thousands column. For banking organizations exercising this

option, amounts less than $500,000 will be reported as

zero. Rounding could result in details not adding to their

stated totals. However, to ensure consistent reporting, the

rounded detail items must be adjusted so that the totals

and the sums of their components are identical.

D. Negative Entries

Except for the item listed below, negative entries are

generally not appropriate on the FR Y-15 and should not

be reported. Hence, assets with credit balances must be

reported in liability items and liabilities with debit balances must be reported in asset items, as appropriate, and

in accordance with these instructions. The only items for

which a negative entry may be made are: Schedule A,

item 3(b), ‘‘Regulatory adjustments;’’ Schedule F, item 4,

‘‘Total net revenue;’’ and, Schedule F, item 5, ‘‘Foreign

net revenue.’’ When a negative entry does occur for these

items, it shall be recorded with a minus (-) sign rather

than in parentheses.

E. Confidentiality

Except as otherwise noted, the collected information will

be made available to the public. The following line items

will be kept confidential until the first reporting date after

the final liquidity coverage ratio disclosure standard has

been implemented: Schedule G, items 1 through 4.

A reporting banking organization may request confidential treatment for items on the FR Y-15 if the banking

organization is of the opinion that, due to the institution’s

particular circumstances or activities, disclosure of specific commercial or financial information in the report

would likely result in substantial harm to its competitive

position, or that disclosure of the submitted information

would result in unwarranted invasion of personal privacy.

A request for line-item confidentiality must be submitted

in writing prior to, or concurrently with, the electronic

submission of the report. The request must discuss in

writing the justification for which confidentiality is

requested and must demonstrate the specific nature of the

harm that would result from public release of the information. Merely stating that competitive harm would

result or that information is personal is not sufficient.

Information for which confidential treatment is requested

may subsequently be released by the Federal Reserve

System if the Board of Governors determines that the

disclosure of such information is in the public interest.

For data items automatically retrieved from the Consolidated Financial Statements for Holding Companies (FR

Y-9C), line-item confidentiality must be requested in the

context of the FR Y-9C. Should confidentiality for any

such item be granted, confidential status will automatically extend to the corresponding data item on the FR

Y-15 (see General Instructions, Section H). Confidential

status will also extend to any automatically-calculated

items on the FR Y-15 that have been derived from the

confidential data item and that, if released, would reveal

the underlying confidential data.

F. Verification and Signatures

Estimates. For institutions filing this report for the first

time, reasonable estimates are permitted.

Verification. All addition and subtraction should be

double-checked before the report is submitted. Totals and

subtotals should be cross-checked to corresponding items

elsewhere in the report. Before a report is submitted, all

amounts should be compared with the corresponding

amounts in the previous report. If there are any unusual

changes from the previous report (i.e., differences that are

not attributable to general organic growth and/or standard

fluctuations in the business cycle), a brief explanation of

the changes should be provided to the appropriate Federal Reserve Bank. Banking organizations should contact

their district Reserve Bank for information regarding the

submission procedure.

Signatures. The FR Y-15 must be signed by the Chief

Financial Officer of the banking organization (or by the

individual performing this equivalent function). By signing the cover page of this report, the authorized officer

acknowledges that any knowing and willful misrepresentation or omission of a material fact on this report

constitutes fraud in the inducement and may subject the

officer to legal sanctions provided by 18 USC 1001 and

1007.

Banking organizations must maintain in their files a

manually signed and attested printout of the data

submitted. The cover page of the submitted report should

be used to fulfill the signature and attestation requirement. This page should be attached to the printout placed

in the banking organization’s files.

General Instructions

FR Y-15 GEN-3

General Instructions September 2016
G. Amended Reports

When the Federal Reserve’s interpretation of how GAAP

or these instructions should be applied to a specified

event or transaction (or series of related events or transactions) differs from the reporting banking organization’s

interpretation, the Federal Reserve may require the banking organization to reflect the event(s) or transaction(s) in

its FR Y-15 in accordance with the Federal Reserve’s

interpretation and to amend previously submitted reports.

The Federal Reserve will consider the materiality of such

event(s) or transaction(s) in making a determination

about requiring the banking organization to apply the

Federal Reserve’s interpretation and to amend previously

submitted reports. Materiality is a qualitative characteristic of accounting information which is defined in Financial Accounting Standards Board (FASB) Concepts No. 2

as ‘‘the magnitude of an omission or misstatement of

accounting information that, in the light of surrounding

circumstances, make it probable that the judgment of a

reasonable person relying on the information would have

been changed or influenced by the omission or misstatement.’’

The Federal Reserve may require the filing of an amended

FR Y-15 if the report as previously submitted contains

significant errors. In addition, a banking organization

must file an amended report when internal or external

auditors make audit adjustments that result in a restatement of financial statements previously submitted to the

Federal Reserve.

The Federal Reserve also requests that banking organizations that have restated their prior period financial statements as a result of an acquisition submit revised reports

for the prior year-ends. In the event that certain of the

required data are not available, banking organizations

should contact the appropriate Federal Reserve Bank for

information on submitting revised reports.

H. Data Items Automatically Retrieved from Other

Reports

Certain data collected on the FR Y-15 may also be

collected in other reports submitted to the Federal

Reserve. If the banking organization files the other

reports at the same level of consolidation as is required

for the FR Y-15, the duplicate data items will be populated automatically.

If the banking organization files the FR Y-9C for the

same reporting period using the same calculation method

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

data items will be populated automatically:

(1) Schedule B, item 15, ‘‘Subordinated debt securities’’

(FR Y-9C, Schedule HC, items 19(a) and 19(b))

(2) Schedule B, item 16, ‘‘Commercial paper’’ (FR Y9C, Schedule HC-M, item 14(a))

(3) Schedule D, item 5, ‘‘AFS securities’’ (FR Y-9C,

Schedule HC, item 2(b))

(4) Schedule D, item 10, ‘‘Assets valued using Level 3

measurement inputs’’ (FR Y-9C, Schedule HC-Q,

item 7, Column E)

(5) Schedule D, item M.1, ‘‘Held-to-maturity securities’’

(FR Y-9C, Schedule HC, item 2(a))

(6) Schedule F, item 1, ‘‘Total liabilities’’ (FR Y-9C,

Schedule HC, item 21)

(7) Schedule F, item 3, ‘‘Total gross revenue’’ (FR Y-9C,

Schedule HI, item 1(h) plus item 5(m))

(8) Schedule F, item 4, ‘‘Total net revenue’’ (FR Y-9C,

Schedule HI, item 1(h) plus item 5(m) minus item

2(f))

If the banking organization files the Country Exposure

Report (FFIEC 009) for the same reporting period, then

the following data item will be populated automatically:

(1) Schedule E, item 1, ‘‘Foreign claims on an ultimaterisk basis’’ (FFIEC 009, Schedule C, Part II, Columns 1 through 10, Total Foreign Countries)

If the banking organization files the Regulatory Capital

Reporting for Institutions Subject to the Advanced Capital Adequacy Framework (FFIEC 101) for the same

reporting period, then the following data items will be

populated automatically:

(1) Schedule A, item 1(a), “Current exposure of derivative contracts” (FFIEC 101, Schedule A, item 2.4)

(2) Schedule A, item 1(b), “Potential future exposure

(PFE) of derivative contracts” (FFIEC 101, Schedule A, item 2.5)

(3) Schedule A, item 1(c), “Gross-up for derivatives

collateral” (FFIEC 101, Schedule A, item 2.6)

(4) Schedule A, item 1(d), “Effective notional amount

of written credit derivatives” (FFIEC 101, Schedule A, item 2.9)

General Instructions

GEN-4 FR Y-15

General Instructions September 2016
(5) Schedule A, item 1(e), “Cash variation margin

included as an on-balance sheet receivable”

(FFIEC 101, Schedule A, item 2.7)

(6) Schedule A, item 1(f), “Exempted central counterparty legs of client-cleared transactions included in

items 1(a) and 1(b)” (FFIEC 101, Schedule A, item

2.8)

(7) Schedule A, item 1(g), “Effective notional amount

offsets and PFE adjustments for sold credit protection” (FFIEC 101, Schedule A, item 2.10)

(8) Schedule A, item 2(a), “Gross SFT assets”

(FFIEC 101, Schedule A, item 2.12)

(9) Schedule A, item 2(b), “Counterparty credit risk

exposure for SFTs” (FFIEC 101, Schedule A, item

2.14)

(10) Schedule A, item 2(c), “SFT indemnification and

other agent-related exposures” (FFIEC 101, Schedule A, item 2.15)

(11) Schedule A, item 2(d), “Gross value of offsetting

cash payables” (FFIEC 101, Schedule A, item 2.13)

(12) Schedule A, item 3(a), “Other on-balance sheet

assets” (FFIEC 101, Schedule A, item 2.1)

(13) Schedule A, item 3(b), “Regulatory adjustments”

(FFIEC 101, Schedule A, item 2.2)

General Instructions

FR Y-15 GEN-5

General Instructions September 2016
LINE ITEM INSTRUCTIONS FOR

Size Indicator

Schedule A

General Instructions

Unless otherwise indicated, all advanced approaches

banking organizations must report the data in this schedule using averages. For on-balance sheet items, report

averages over the reporting period using daily data. For

off-balance sheet items, report averages over the reporting period using monthly data (i.e., provide the average

of the three month-end balances within the quarter).

Off-balance sheet items include the potential future exposure of derivative contracts (item 1(b)), the effective

notional amount of offsets and PFE adjustments for sold

credit protection (item 1(g)), counterparty credit risk

exposure for SFTs (item 2(b)), SFT indemnification and

other agent-related exposures (item 2(c)), and other

off-balance sheet exposures (item 4). Except where otherwise indicated, respondents that are not advanced

approaches banking organizations must either report all

of the data in this schedule using averages or report all of

the data using point-in-time values.

Include all positions, regardless of whether they are

included in the trading or banking book. The amounts

provided must be net of specific provisions and valuation

adjustments. Several items involve securities financing

transactions (SFTs) (i.e., repo-style transactions), which

are transactions such as repurchase agreements, reverse

repurchase agreements, and securities lending and borrowing, where the value of the transactions depends on

the market valuations and the transactions are often

subject to margin agreements.

Total Exposures

Line Item 1 Derivative exposures:

Line Item 1(a) Current exposure of derivative

contracts.

Report the current exposure (i.e., replacement cost) of all

derivative contracts, cleared and non-cleared, net of

qualifying cash variation margin. For advanced

approaches banking organizations, report the average

current exposure of all derivative contracts, cleared and

non-cleared, net of qualifying cash variation margin,

using daily data.

When acting as a financial intermediary in clearing client

derivative contracts (i.e., the principal model, where the

banking organization facilitates the clearing of derivatives by becoming a direct counterparty to both the client

and the central counterparty (CCP)), include exposures to

the CCP and the clearing member client. Where a

clearing member banking organization guarantees the

performance of a client to a CCP (and would thus have a

payment obligation to the CCP in the event of a client

default) (i.e., the agency model), the clearing member

banking organization must treat the exposure associated

with the guarantee as a derivative contract and report the

associated current exposure. However, do not include the

exposure if the client and the clearing member are

affiliates and consolidated on the banking organization’s

balance sheet. For more information, see the Glossary

entry for ‘‘qualifying cash variation margin.’’ For a

definition of derivative contract, see 12 CFR 217.2.

This item is equivalent to Part 2, line 4 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 1(b) Potential future exposure (PFE) of

derivative contracts.

Report the potential future exposure for transactions

included in item 1(a), calculated in accordance with 12

CFR 217.34(a). For advanced approaches banking organizations, report the average potential future exposure for

transactions included in item 1(a), calculated in accordance with 12 CFR 217.34(a), using monthly data.

Include derivative contracts to which the banking organization is a counterparty (or each single-product netting

set of such transactions) along with cleared transactions.

FR Y-15 A-1

Schedule A September 2016
Note that a banking organization may not use cash

variation margin to reduce the net or gross current credit

exposure in the calculation of the net-to-gross ratio.

This item is equivalent to Part 2, line 5 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 1(c) Gross-up for derivatives collateral.

Report the amount of posted cash and non-cash collateral

that the banking organization uses to offset the negative

mark-to-fair values of associated derivative contracts.

For advanced approaches banking organizations, report

the average amount of posted cash and non-cash collateral that the banking organization uses to offset the

negative mark-to-fair values of associated derivative

contracts using daily data. Do not include qualifying cash

variation margin. Include cash collateral that is reported

on-balance sheet under the GAAP offset option that is not

qualifying cash variation margin. For more information,

see the Glossary entry for ‘‘qualifying cash variation

margin.’’

This item is equivalent to Part 2, line 6 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 1(d) Effective notional amount of

written credit derivatives.

Report the effective notional principal amount (that is,

the apparent or stated notional principal amount multiplied by the effective multiplier in the derivative contract) of credit derivatives, or other similar instruments,

through which the banking organization provides credit

protection (e.g., credit default swaps or total return swaps

that reference instruments with credit risk, such as

bonds). For advanced approaches banking organizations,

report the average effective notional principal amount of

credit derivatives, or other similar instruments, through

which the banking organization provides credit protection, using monthly data. This value represents the

amount owed upon a default event. The effective notional

principal amount of sold credit protection that the banking organization clears on behalf of a clearing member

client through a CCP may be excluded.

This item is equivalent to Part 2, line 9 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 1(e) Cash variation margin included as

an on-balance sheet receivable.

Report the amount of qualifying cash variation margin,

which is posted to a counterparty to a derivative contract

and included in item 3(a) as an on-balance sheet receivable. For advanced approaches banking organizations,

report the average amount of qualifying cash variation

margin, which is posted to a counterparty to a derivative

contract and included in item 3(a) as an on-balance sheet

receivable, using daily data. For more information, see

the Glossary entry for ‘‘qualifying cash variation margin.’’

This item is equivalent to Part 2, line 7 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 1(f) Exempted central counterparty legs

of client-cleared transactions included in items 1(a)

and 1(b).

Report the current exposure and the PFE for the exempted

CCP legs of client-cleared transactions under the principal model (i.e., where the clearing member banking

organization did not guarantee the performance of the

CCP to the client) that are included in items 1(a) and

1(b), respectively. For advanced approaches banking

organizations, report the average current exposure using

daily data and the average PFE using monthly data for

the exempted CCP legs of client-cleared transactions that

are included in items 1(a) and 1(b), respectively.

This item is equivalent to Part 2, line 8 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 1(g) Effective notional amount offsets

and PFE adjustments for sold credit protection.

Report the value of effective notional principal amount

offsets and PFE adjustments for sold credit protection.

For advanced approaches banking organizations, report

the average value of effective notional principal amount

offsets and PFE adjustments for sold credit protection

using monthly data. Offsets include any reduction in the

mark-to-fair value of the sold credit protection that is

recognized in common equity tier 1 capital, along with

the effective notional principal amount of purchased

credit derivatives or similar instruments that meet the

following criteria (see 12 CFR 217.10(c)(4)(ii)(D)(2)):

Schedule A

A-2 FR Y-15

Schedule A September 2016
(1) The remaining maturity of the credit protection purchased must be equal to or greater than the remaining

maturity of the credit protection sold; and,

(2) The reference obligation of the purchased credit

protection must be pari passu with or junior to the

underlying reference obligation of the credit protection sold. If the sold credit protection references a

tranched product, the purchased credit protection

must be on a reference obligation with the same level

of seniority.

If the effective notional amount of this sold credit

protection is included in item 1(d), the associated PFE

may be reported as an adjustment to avoid doublecounting (see CFR 217.10(c)(4)(ii)(B)(1) and (2)). However, the associated PFE may not be reported as an

adjustment if it is already being offset through purchased

credit protection.

Note that the effective notional amount of sold credit

protection may be reduced by any negative change in fair

value reflected in common equity tier 1 capital provided

that the effective notional amount of the offsetting purchased credit protection is also reduced by any resulting

positive change in fair value reflected in common equity

tier 1 capital. If a banking organization purchases credit

protection through a total return swap and records the net

payments received as net income but does not record

offsetting deterioration in the mark-to-fair value of the

sold credit protection on the reference exposure (either

through reductions in fair value or by additions to

reserves) in common equity tier 1 capital, the banking

organization may not reduce the effective notional principal amount of the sold credit protection.

This item is equivalent to Part 2, line 10 of the supplemental leverage ratio disclosure table (see 12 CFR

217.173, Table 13).

Line Item 1(h) Total derivative exposures.

The sum of items 1(a) through 1(d), minus the sum of

items 1(e) through 1(g).

Line Item 2 Securities financing transaction (SFT)

exposures:

Line Item 2(a) Gross SFT assets.

Report the gross value of on-balance sheet assets related

to securities financing transactions. For advanced

approaches banking organizations, report the average

gross value of on-balance sheet assets related to securities financing transactions using daily data. Do not

include securities that are already included in item 3(a)

(e.g., securities received as collateral in a principal

securities lending transaction that have not been rehypothecated or sold). Include the gross value of cash

receivables for reverse repurchase agreements. Include

securities sold under a repurchase agreement or a securities lending transaction that qualify for sales treatment

under GAAP.

This item is equivalent to Part 2, line 12 of the supplemental leverage ratio disclosure table (see 12 CFR

217.173, Table 13).

Line Item 2(b) Counterparty credit risk exposure

for SFTs.

Report the counterparty credit risk exposure for SFTs.

For advanced approaches banking organizations, report

the average counterparty credit risk exposure for SFTs

using monthly data. Counterparty exposure is determined

as the gross fair value of the securities and cash provided

to a counterparty for all transactions included within a

qualifying master netting agreement less the gross fair

value of the securities and cash received from the counterparty for those transactions, or zero, whichever is

greater (see the definition of ‘‘qualifying master netting

agreement’’ in 12 CFR 217.2). For transactions that are

not subject to a qualifying master netting agreement,

report the exposure on a transaction-by-transaction basis,

with each SFT treated as its own netting set. Do not

include transactions where the banking organization acts

as an agent, as these exposures are captured separately in

item 2(c).

This item is equivalent to Part 2, line 14 of the supplemental leverage ratio disclosure table (see 12 CFR

217.173, Table 13).

Line Item 2(c) SFT indemnification and other

agent-related exposures.

For transactions where the banking organization acts as

an agent and provides an indemnity to a customer, report

the gross fair value of the securities and cash lent for all

transactions within a qualifying master netting agreement

less the gross fair value of the securities and cash

received from the counterparty for those transactions, or

zero, whichever is greater. For advanced approaches

banking organizations, report the average gross fair

Schedule A

FR Y-15 A-3

Schedule A December 2015
value, using monthly data, of the securities and cash lent

for all transactions within a qualifying master netting

agreement less the gross fair value of the securities and

cash received from the counterparty for those transactions, or zero, whichever is greater. For transactions that

are not subject to a qualifying master netting agreement,

report the exposure on a transaction-by-transaction basis,

with each individual transaction treated as its own netting

set. In cases where the indemnification exceeds the

calculated difference described above, report the full

value of the guarantee. If the banking organization’s

exposure to the underlying security or cash in a transaction extends beyond the indemnification (e.g., when the

banking organization manages received collateral using

their own account rather than the customer’s account),

the full value of the underlying security or cash must be

reported.

This item is equivalent to Part 2, line 15 of the supplemental leverage ratio disclosure table (see 12 CFR

217.173, Table 13).

Line Item 2(d) Gross value of offsetting cash

payables.

Report the gross value of cash payables associated with

repurchase agreements that are permitted to offset the

cash receivables included in item 2(a). For advanced

approaches banking organizations, report the average

gross value of cash payables associated with repurchase

agreements that are permitted to offset the cash receivables included in item 2(a), using daily data. Such offset

is permitted when the related SFTs are with the same

counterparty, subject to the same explicit settlement date,

and within a qualifying master netting agreement (see the

definition of ‘‘qualifying master netting agreement’’ in 12

CFR 217.2) and are limited to the gross value of the

related cash receivable.

This item is equivalent to Part 2, line 13 of the supplemental leverage ratio disclosure table (see 12 CFR

217.173, Table 13).

Line Item 2(e) Total SFT exposures.

The sum of items 2(a) through 2(c), minus item 2(d).

Line Item 3 Other on-balance sheet exposures:

Line Item 3(a) Other on-balance sheet assets.

Report the balance sheet carrying value of all on-balance

sheet assets, including collateral but excluding the

on-balance sheet assets for derivative transactions and

repo-style transactions. For advanced approaches banking organizations, report the average balance sheet carrying value of all on-balance sheet assets, including collateral but excluding the on-balance sheet assets for

derivative transactions and repo-style transactions, using

daily data. Include the amount of on-balance sheet cash

and collateral received from counterparties in derivative

transactions.

This item is equivalent to Part 2, line 1 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 3(b) Regulatory adjustments.

Report the amount of regulatory adjustments from common equity tier 1 capital and additional tier 1 capital

under the fully phased-in requirements of Regulation Q

(see 12 CFR 217.22).1 These adjustments include the

deduction of goodwill and intangibles, deferred tax

assets, and hedging gains and losses. Report adjustments

that reduce tier 1 capital as a positive value. If the

adjustment increases tier 1 capital, report the value with a

minus (-) sign. All respondents must provide a point-intime value, including advanced approaches banking organizations.

This item is equivalent to Part 2, line 2 of the supplemental leverage ratio disclosure table (see 12 CFR 217.173,

Table 13).

Line Item 4 Other off-balance sheet exposures:

For this item, do not include off-balance sheet exposures

associated with derivatives transactions or SFTs, as these

are already being captured in items 1 and 2, respectively.

Line Item 4(a) Gross notional amount of items

subject to a 0% credit conversion factor (CCF).

Report the gross notional amount of off-balance sheet

items subject to a 0% credit conversion factor under the

standardized approach to credit risk (this includes the

unused portion of commitments which are unconditionally cancellable at any time by the bank without prior

notice). For advanced approaches banking organizations,

report the average gross notional amount, using monthly

data, of off-balance sheet items subject to a 0% credit

conversion factor under the standardized approach to

1. See www.gpo.gov/fdsys/browse/collectionCfr.action.

Schedule A

A-4 FR Y-15

Schedule A December 2015
credit risk. For more information on the treatment of

off-balance sheet exposures under the standardized

approach to credit risk, see 12 CFR 217.33.

Line Item 4(b) Gross notional amount of items

subject to a 20% CCF.

Report the gross notional amount of off-balance sheet

items subject to a 20% credit conversion factor under the

standardized approach to credit risk. For advanced

approaches banking organizations, report the average

gross notional amount, using monthly data, of offbalance sheet items subject to a 20% credit conversion

factor under the standardized approach to credit risk.

This would include commitments with an original maturity up to one year that are not unconditionally cancelable

and short-term self-liquidating trade letters of credit

arising from the movement of goods (e.g., documentary

credits collateralized by the underlying shipment). For

more information on the treatment of off-balance sheet

exposures under the standardized approach to credit risk,

see 12 CFR 217.33.

Line Item 4(c) Gross notional amount of items

subject to a 50% CCF.

Report the gross notional amount of off-balance sheet

items subject to a 50% credit conversion factor under the

standardized approach to credit risk. For advanced

approaches banking organizations, report the average

gross notional amount, using monthly data, of offbalance sheet items subject to a 50% credit conversion

factor under the standardized approach to credit risk.

This includes commitments with an original maturity of

more than one year that are not unconditionally cancelable and transaction-related contingent items such as

performance bonds, bid bonds, warranties, and performance standby letter of credit. For more information on

the treatment of off-balance sheet exposures under the

standardized approach to credit risk, see 12 CFR 217.33.

Line Item 4(d) Gross notional amount of items

subject to a 100% CCF.

Report the gross notional amount of off-balance sheet

items subject to a 100% credit conversion factor under

the standardized approach to credit risk. For advanced

approaches banking organizations, report the average

gross notional amount, using monthly data, of offbalance sheet items subject to a 100% credit conversion

factor under the standardized approach to credit risk.

This includes guarantees, credit-enhancing representations and warranties that are not securitization exposures,

financial standby letters of credit, and forward agreements. Do not include exposures associated with SFTs,

as these are already captured in item 2. For more

information on the treatment of off-balance sheet exposures under the standardized approach to credit risk, see

12 CFR 217.33.

Line Item 4(e) Credit exposure equivalent of other

off-balance sheet items.

The sum of 0.1 times item 4(a), 0.2 times item 4(b), 0.5

times item 4(c), and item 4(d). This total represents the

credit exposure equivalent of the other off-balance sheet

items, with the 0% credit conversion factor subject to a

10% floor.

This item is equivalent to Part 2, line 19 of the supplemental leverage ratio disclosure table (see 12 CFR

217.173, Table 13).

Line Item 5 Total exposures prior to regulatory

deductions.

The sum of items 1(h), 2(e), 3(a), and 4(e).

This item is equivalent to the sum of Part 2, lines 1 and

21 minus Part 2, line 3 of the supplemental leverage ratio

disclosure table (see 12 CFR 217.173, Table 13).

Line Item 6 Does item 5 represent an average

value over the reporting period?

Specify whether or not the holding company has reported

the subcomponents of item 5 using average values over

the reporting period. Advanced approaches banking organizations must report this data using averages. Respondents that are not advanced approaches banking organizations may choose to report the data using averages,

though they are not required to do so. Enter a ‘‘1’’ for

Yes; enter a ‘‘0’’ for No.

Memoranda

Line Item M1 Securities received as collateral in

securities lending.

Report the amount of securities included in item 3(a) that

have been received as collateral in principal securities

lending transactions but have not been rehypothecated or

sold. All respondents must provide a point-in-time value,

including advanced approaches banking organizations.

Schedule A

FR Y-15 A-5

Schedule A December 2015
Line Item M2 Cash collateral received in conduit

securities lending transactions.

Report the cash collateral received in conduit securities

lending transactions. In conduit securities lending transactions, a bank borrows securities from one party and

directly on-lends the identical securities to another party.

The bank acts as an intermediary between the security

owner and the ultimate borrower, essentially substituting

their own credit for that of the borrower. The securities in

question may not be part of a general inventory available

for onward lending. Instead, the bank will only obtain the

securities at such time as they can directly fulfil an

outstanding order from the ultimate borrower. Report the

collateral regardless of whether or not the transaction is

being indemnified by the bank. Include the collateral that

was received and then subsequently passed through to the

security owner. All respondents must provide a point-intime value, including advanced approaches banking organizations.

Line Item M3 Credit derivatives sold net of

related credit protection bought.

Report credit derivatives sold net of related credit protection bought. Only net out the protection bought if it is for

the same reference entity. If the protection bought for a

reference entity exceeds the amount sold, report a zero

for that particular reference entity. All respondents must

provide a point-in-time value, including advanced

approaches banking organizations.

Schedule A

A-6 FR Y-15

Schedule A December 2015
LINE ITEM INSTRUCTIONS FOR

Interconnectedness Indicators

Schedule B

General Instructions

For the purpose of the intra-financial system assets and

intra-financial system liabilities indicators, financial institutions are defined as depository institutions (as defined

in the FR Y-9C, Schedule HC-C, item 2), bank holding

companies, securities dealers, insurance companies,

mutual funds, hedge funds, pension funds, investment

banks, and central counterparties (CCPs) (as defined in

Schedule D, item 1). Central banks (e.g., the Federal

Reserve) and other public sector bodies (e.g., multilateral

development banks and the Federal Home Loan Banks)

are excluded, but state-owned commercial banks are

included. Stock exchanges are not included, though most

stock exchanges have subsidiaries that are considered

financial institutions (e.g., securities dealers and CCPs).

Include entities that are both securities brokers and

dealers, but exclude entities that are strictly securities

brokers. Note that the definition of financial institution

for purposes of this report differs from the definition used

in the FR Y-9C and the FFIEC 002, which, among other

things, includes finance companies.

In determining whether a transaction is with another

financial institution (i.e., a financial institution outside of

the consolidated holding company), do not adopt a

look-through approach. Instead, report figures based on

the immediate counterparty.

Intra-Financial System Assets

Line Item 1 Funds deposited with or lent to other

financial institutions.

Report all funds deposited with or lent to other financial

institutions (i.e., financial institutions outside of the

consolidated reporting group). Lending includes all forms

of term/revolving lending, federal funds sold, acceptances of other banks, and other extensions of credit to

financial institutions. Do not include commercial paper,

which is reported in item 3(d), and securities financing

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

exposures arising from unsettled transactions). Deposits

include balances due from financial institutions, and

currency and coin due from financial institutions (as

defined in the FR Y-9C, Schedule HC, item 1). Include

certificates of deposit but do not include margin accounts

and posted collateral.

Line Item 1(a) Certificates of deposit.

Report the total holdings of certificates of deposit due

from other financial institutions as included in item 1. For

more information on certificates of deposit, refer to the

Glossary entry for ‘‘certificate of deposit.’’

Line Item 2 Unused portion of committed lines

extended to other financial institutions.

Report the nominal value of the unused portion of all

committed lines extended to other financial institutions.

Include lines which are unconditionally cancellable. Do

not include letters of credit and unsettled securities

financing transactions (e.g., reverse repos). For more

information on commitments, see FR Y-9C, Schedule

HC-L, item 1.

Line Item 3 Holdings of securities issued by other

financial institutions.

This item reflects all holdings of securities issued by

other financial institutions. Report total holdings at fair

value (as defined in the FR Y-9C Glossary entry for ‘‘fair

value’’) in accordance with ASC Topic 820, Fair Value

Measurements (formerly FASB Statement No. 157, Fair

Value Measurements), for securities classified as trading

(including securities for which the fair value option

(FVO) is elected) and available-for-sale (AFS) securities;

report held-to-maturity (HTM) securities at amortized

cost in accordance with ASC 320, Investments − Debt

and Equity Securities (formerly FASB Statement No.

115, Accounting for Certain Investments in Debt and

FR Y-15 B-1

Schedule B December 2015
Equity Securities, as amended). Report the historical cost

of any equity securities without readily determinable fair

values (e.g., bankers’ bank stock) (see FR Y-9C, Schedule HC-F, item 4). Do not report products where the

issuing institution does not back the performance of the

asset (e.g., asset-backed securities). Include holdings of

securities issued by equity-accounted associates (i.e.,

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

for regulatory purposes. Do not include synthetic exposures related to derivatives transactions (e.g., when a

derivative references securities issued by other financial

institutions). Do not include loans, bond exchange traded

funds (ETFs), credit card receivables, letters of credit,

bond options, bond swaps, or bond swaps on ETFs.

Line Item 3(a) Secured debt securities.

Report the total holdings of secured debt securities (e.g.,

covered bonds). Note that this item is not designed to

capture collateralized trades. Instead, the item is capturing capital that has been raised through the issuance of

secured debt.

Line Item 3(b) Senior unsecured debt securities.

Report the total holdings of senior unsecured debt securities.

Line Item 3(c) Subordinated debt securities.

Report the total holdings of subordinated debt securities.

Line Item 3(d) Commercial paper.

Report the total holdings of commercial paper of other

financial institutions. For more information on commercial paper, refer to the Glossary entry for ‘‘commercial

paper.’’

Line Item 3(e) Equity securities.

Report the total holdings of equity securities, including

common and preferred shares, of other financial institutions. Include investments in mutual funds (e.g., equity,

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

for sale, and held to maturity. Report the entire mutual

fund investment (i.e., do not look through into the fund to

determine the underlying holdings).

Line Item 3(f) Offsetting short positions in relation

to the specific equity securities included in item 3(e).

Report the fair value of the banking organization’s

liabilities resulting from short positions held against the

stock holdings included in item 3(e). Include the short

legs of derivatives used to hedge the equity securities

reported in item 3(e) (e.g., total return swaps).1

Line Item 4 Net positive current exposure of

securities financing transactions (SFTs) with other

financial institutions.

This item includes the following:

(a) Net positive reverse repurchase agreement exposure,

where the value of the cash provided exceeds the fair

value of the securities received.

(b) Net positive repurchase agreement exposure, where

the fair value of the securities provided exceeds the

value of the cash received.

(c) Net positive securities lending exposure, where the

fair value of securities lent exceeds the value of cash

collateral received (or the fair value of non-cash

collateral received).

(d) Net positive securities borrowing exposure, where

the value of cash collateral provided (or the fair value

of non-cash collateral provided) exceeds the fair

value of securities borrowed.

The reported value is not intended to reflect amounts

recorded on the balance sheet. Rather, it represents the

single legally owed amount per netting set. Net multiple

transactions only when the transactions are covered by a

qualifying master netting agreement (see the definition of

‘‘qualifying master netting agreement’’ in 12 CFR 217.2).

For transactions that are not subject to a qualifying

master netting agreement, report the gross balance sheet

amount. Include transactions cleared through a CCP. Do

not include conduit lending transactions and do not apply

haircuts in assessing the gross fair value of non-cash

collateral. Include unsettled SFTs if the bank is using

trade-date accounting.

1. For example, Bank A holds 1,000 shares of Bank B at $10 per share

and has entered into an equity total return swap to short 1,000 Bank B

shares and thereby eliminate market risk. Bank A would report $10,000 for

item 3(e) and $10,000 for item 3(f).

Schedule B

B-2 FR Y-15

Schedule B December 2015
Line Item 5 Over-the-counter (OTC) derivative

contracts with other financial institutions that have

a net positive fair value:

Line Item 5(a) Net positive fair value.

Report the sum of net positive fair value OTC derivative

exposures netted in accordance with GAAP netting rules

(i.e., designated, legally enforceable, netting sets or

groups). Only netting sets with a positive value may be

included here. Netting sets where the net result is negative 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).

If applicable, net opposing collateral positions (e.g.,

initial margin posted with variation margin held). Deduct

the net collateral position from the underlying obligation

only if it reduces the overall exposure. If the net collateral

exceeds the payment obligation, record a fair value of

zero for the netting set. If a derivative contract with a

positive fair value is not covered under a qualifying

master netting agreement, the derivative exposure amount

should be included on a gross basis (see the definition of

‘‘qualifying master netting agreement’’ in 12 CFR 217.2).

For more information on netting, refer to ASC Subtopic

210-20, Balance Sheet − Offsetting, and the FR Y-9C

Glossary entry for ‘‘offsetting.’’

Do not include derivative contracts initiated via an

exchange such as ICE, CME, or Eurex (e.g., futures

contracts would not be included).

When acting as a financial intermediary (i.e., where the

banking organization is a counterparty to both the client

and the CCP), report exposures to the CCP. Report

exposures to clients if they fit the definition of financial

institution. In cases where a clearing member bank,

acting as an agent, guarantees the performance of a CCP

to a client, the associated exposure to the client must be

reported.

Line Item 5(b) Potential future exposure.

Report the amount of potential future exposure (PFE),

calculated using the current exposure method, for the

derivatives included in item 5(a). Include the PFE for any

netting sets with a fair value of zero. For more information on determining the PFE refer to 12 CFR 217.34(a).

Line Item 6 Total intra-financial system assets.

The sum of items 1, 2 through 3(e), 4, 5(a), and 5(b),

minus item 3(f).

Intra-Financial System Liabilities

Line Item 7 Deposits due to other financial

institutions:

This section captures information regarding the deposits

held by the banking organization. Do not include settlement balances (i.e., exposures arising from unsettled

transactions) and collected collateral. For more information on deposits, see the FR Y-9C Glossary entry for

‘‘deposits.’’

Line Item 7(a) Deposits due to depository

institutions.

Report total deposits due to depository institutions. Do

not include certificates of deposit, which are captured

separately in item 17.

Line Item 7(b) Deposits due to non-depository

financial institutions.

Report total deposits due to non-depository financial

institutions. Do not include certificates of deposit, which

are captured separately in item 17.

Line Item 8 Borrowings obtained from other

financial institutions.

Report the amount of outstanding loans obtained from

other financial institutions. Include both term loans and

revolving, open-end loans. Include acceptances sold and

federal funds purchased that are not part of a securities

financing transaction (as these are captured in item 10).

Do not include any of the outstanding securities captured

in item 20.

Line Item 9 Unused portion of committed lines

obtained from other financial institutions.

Report the nominal value of the unused portion of all

committed lines obtained from other financial institutions. Include lines which are unconditionally cancelable.

This item measures the amount of credit committed as of

the reporting date, irrespective of whether it may be

unconditionally cancelled the day after. Do not include

letters of credit and unsettled SFTs (e.g., repos). For

more information on commitments, see FR Y-9C, Schedule HC-L, item 1.

Schedule B

FR Y-15 B-3

Schedule B December 2015
Line Item 10 Net negative current exposure of

SFTs with other financial institutions.

This item includes the following:

(a) Net negative reverse repurchase agreement exposure,

where the fair value of securities received exceeds

the value of the cash provided.

(b) Net negative repurchase agreement exposure, where

the value of the cash received exceeds the fair value

of the securities provided.

(c) Net negative securities lending exposure, where the

value of cash collateral received (or the fair value of

non-cash collateral received) exceeds the fair value

of securities lent.

(d) Net negative securities borrowing exposure, where

the fair value of securities borrowed exceeds the

value of cash collateral provided (or the fair value of

non-cash collateral provided).

The reported value is not intended to reflect amounts

recorded on the balance sheet. Rather, it represents the

single legally owed amount per netting set. Net multiple

transactions only when the transactions are covered by a

qualifying master netting agreement (see the definition of

‘‘qualifying master netting agreement’’ in 12 CFR 217.2).

For transactions that are not subject to a qualifying

master netting agreement, report the gross balance sheet

amount. Include transactions cleared through a CCP. Do

not include conduit lending transactions and do not apply

haircuts in assessing the gross fair value of non-cash

collateral. Include unsettled SFTs if the bank is using

trade-date accounting. Report the final net negative exposure value as a positive number.

Line Item 11 OTC derivative contracts with other

financial institutions that have a net negative fair

value:

Line Item 11(a) Net negative fair value.

Report the sum of net fair value OTC derivative liabilities netted in accordance with GAAP netting rules (i.e.,

designated, legally enforceable, netting sets or groups).

Include only netting sets with a negative value. Report

netting sets where the net result is positive in item 5(a).

Include collateral provided only if it is within the master

netting agreement (i.e., pursuant to legally enforceable

credit support annexes). If applicable, net opposing collateral positions (e.g., initial margin held with variation

margin posted). Deduct the net collateral position from

the underlying obligation only if it reduces the overall

exposure. If the net collateral exceeds the payment

obligation, record a fair value of zero for the netting set.

If a derivative contract with a positive fair value is not

covered under a qualifying master netting agreement, the

derivative exposure amount should be included on a

gross basis (see the definition of ‘‘qualifying master

netting agreement’’ in 12 CFR 217.2). For more information on netting, refer to ASC Subtopic 210-20, Balance

Sheet − Offsetting, and the FR Y-9C Glossary entry for

‘‘offsetting.’’

Do not include derivative contracts initiated via an

exchange such as ICE, CME, or Eurex (e.g., futures

contracts would not be included).

When acting as a financial intermediary (i.e., where the

banking organization is a counterparty to both the client

and the CCP), report exposures to the CCP. Report

exposures to clients if they fit the definition of financial

institution. In cases where a clearing member bank,

acting as an agent, guarantees the performance of a CCP

to a client, the associated exposure to the client must be

reported.

Report the final net negative fair value as a positive

number. For example, a master netting agreement with a

net fair value of -$10 would be reported as +$10.

Line Item 11(b) Potential future exposure.

Report the amount of the PFE, calculated using the

current exposure method, for the derivatives included in

item 11(a). For more information on determining the PFE

refer to 12 CFR 217.34(a).

Line Item 12 Total intra-financial system

liabilities.

The sum of items 7(a) through 11(b).

Securities Outstanding

The values reported for items 13 through 19 should

reflect all of the outstanding securities of the banking

organization regardless of whether or not they are held by

another financial institution. Do not report products

where the reporting institution does not back the performance of the asset (e.g., asset-backed securities).

For items 13 through 17, provide the book value (i.e.,

carrying amount) of the securities. Note that this value

will depend on the applicable accounting classification

and measurement, and thus may reflect the amortized

Schedule B

B-4 FR Y-15

Schedule B December 2015
cost of the securities, the fair value of the securities, or a

mixture of the two.

Line Item 13 Secured debt securities.

Report the book value of all outstanding secured debt

securities (e.g., covered bonds and REIT preferred securities) issued by the banking organization. Do not include

standby letters of credit. Note that this item is not

designed to capture collateralized trades. Instead, the

item is capturing capital that has been raised through the

issuance of secured debt.

Line Item 14 Senior unsecured debt securities.

Report the book value of all outstanding senior unsecured

debt securities issued by the banking organization.

Line Item 15 Subordinated debt securities.

Report the book value of all outstanding subordinated

debt securities (as defined in the FR Y-9C, Schedule HC,

items 19(a) and 19(b)) issued by the banking organization.

Line Item 16 Commercial paper.

Report the book value of all outstanding commercial

paper issued by the banking organization. For more

information on commercial paper, refer to the Glossary

entry for ‘‘commercial paper.’’

Line Item 17 Certificates of deposit.

Report the book value of all outstanding certificates of

deposit issued by the banking organization. For more

information on certificates of deposit, refer to the Glossary entry for ‘‘certificate of deposit.’’

Line Item 18 Common equity.

Report the fair value of outstanding common equity. For

publicly traded shares, report the closing share price

multiplied by the number of shares outstanding. Do not

report non-publicly traded shares or any other shares for

which a market price is unavailable. Include shares

issued by consolidated subsidiaries to third parties. Do

not include certificates of mutual banks.

Line Item 19 Preferred shares and other forms of

subordinated funding not captured in item 15.

Report the fair value of outstanding preferred shares and

other forms of subordinated funding not captured in item

15 (e.g., savings shares and silent partnerships). For

publicly traded shares, report the closing share price

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 20 Total securities outstanding.

The sum of items 13 through 19.

Memoranda

Line Item M1 Standby letters of credit extended

to other financial institutions.

Report the amount of financial and performance standby

letters of credit extended to other financial institutions. A

financial standby letter of credit irrevocably obligates the

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

irrevocably obligates the banking organization to pay a

third-party beneficiary when a customer fails to perform

some contractual non-financial obligation. For more

information, refer to FR Y-9C, Schedule HC-L, items 2

and 3.

Schedule B

FR Y-15 B-5

Schedule B December 2015
LINE ITEM INSTRUCTIONS FOR

Substitutability Indicators

Schedule C

Payments Activity

Line Item 1 Payments made in the last four

quarters.

Report the total gross value of all cash payments sent by

the banking organization via large-value payment systems,1 along with the gross value of all cash payments

sent through an agent or correspondent bank (e.g., using a

correspondent or nostro account), in the last twelve

months for each indicated currency. Include the amount

of payments made into Continuous Linked Settlement

(CLS). All payments sent via an agent bank should be

reported, regardless of how the agent bank actually

settles the transaction. Payments may be recorded using

either the trade date or the settlement date as long as the

reporting remains consistent between periods. If both are

readily available, the settlement date should be used.

Report payments regardless of purpose, location, or

settlement method. This includes, but is not limited to,

cash payments associated with derivatives, securities

financing transactions, and foreign exchange transactions. Do not include the value of any non-cash items

settled in connection with these transactions. Include

cash payments made on behalf of the reporting entity as

well as those made on behalf of customers (including

financial institutions, other commercial customers, and

retail customers). However, do not include internal payments (i.e., book transfers) or any other intra-group

transactions (i.e., transactions made within or between

entities within the reporting group), even if the transactions were initiated through an external agent (e.g., when

a payment is sent to a subsidiary through an external

institution). Do not include payments made through retail

payment systems. Do not report payment facilitation (i.e.,

when the bank acts as a payment service provider) where

the customer is a direct member of the large value

payment system and uses their own BIC code to complete the transaction. Only include savings account payments if they are made via a large value payment system

or through an agent.

Only include outgoing payments (i.e., exclude payments

received). Except for those payments sent via CLS, do

not net any outgoing wholesale payment values, even if

the transaction was settled on a net basis.2 Retail payments sent via a large-value payment system or through a

correspondent may be reported net only if they were

settled on a net basis.

Though payment totals are not rounded, the level of

expected accuracy depends on the magnitude of the

reported value. The leading two digits must be accurate3

(within rounding) for payment totals at or above $10

trillion, while only the leading digit must be accurate for

payment totals below $10 trillion. If precise totals are

unavailable, known overestimates may be reported.

Convert the aggregate payments in items 1(a) through

1(k) to U.S. dollars using average exchange rates for the

last four quarters. These average exchange rates must be

constructed using a consistent series of exchange rate

quotations. The method used must be reasonable, consistent, and reproducible. Documentation concerning the

method employed to calculate the average exchange rates

1. For examples of large-value payment systems, refer to Payment,

clearing and settlement systems in the CPSS countries, published by the

Committee on Payment and Settlement Systems (CPSS). The November

2012 release is available at www.bis.org/cpmi/publ/d105.htm.

2. Wholesale payments are payments, generally involving very large

values, which are mainly exchanged between banks or other participants in

the financial markets and often require urgent and timely settlement. In

contrast, retail payments are payments, generally involving low values,

which are mainly made on behalf of customers and often involve a low

degree of urgency (e.g., personal checks, credit card transactions, direct

debits, direct deposits, and ATM withdrawals).

3. As an example, a figure between 100,000 and 999,999 would need to

be correct to the nearest 100,000 for the leading digit to be considered

accurate. The figure would need to be correct to the nearest 10,000 for the

two leading digits to be considered accurate.

FR Y-15 C-1

Schedule C December 2015
must be maintained and made available to supervisors

upon request.

Line Item 1(a) Australian dollars (AUD).

Report the U.S. dollar equivalent amount of all payments

made in Australian dollars (AUD) in the last four quarters.

Line Item 1(b) Brazilian real (BRL).

Report the U.S. dollar equivalent amount of all payments

made in Brazilian real (BRL) in the last four quarters.

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

Report the U.S. dollar equivalent amount of all payments

made in Canadian dollars (CAD) in the last four quarters.

Line Item 1(d) Swiss francs (CHF).

Report the U.S. dollar equivalent amount of all payments

made in Swiss francs (CHF) in the last four quarters.

Line Item 1(e) Chinese yuan (CNY).

Report the U.S. dollar equivalent amount of all payments

made in Chinese yuan (CNY) in the last four quarters.

Line Item 1(f) Euros (EUR).

Report the U.S. dollar equivalent amount of all payments

made in euros (EUR) in the last four quarters.

Line Item 1(g) British pounds (GBP).

Report the U.S. dollar equivalent amount of all payments

made in British pound sterling (GBP) in the last four

quarters.

Line Item 1(h) Hong Kong dollars (HKD).

Report the U.S. dollar equivalent amount of all payments

made in Hong Kong dollars (HKD) in the last four

quarters.

Line Item 1(i) Indian rupee (INR).

Report the U.S. dollar equivalent amount of all payments

made in Indian rupee (INR) in the last four quarters.

Line Item 1(j) Japanese yen (JPY).

Report the U.S. dollar equivalent amount of all payments

made in Japanese yen (JPY) in the last four quarters.

Line Item 1(k) Swedish krona (SEK).

Report the U.S. dollar equivalent amount of all payments

made in Swedish krona (SEK) in the last four quarters.

Line Item 1(l) United States dollars (USD).

Report the total value of all payments made in United

States dollars (USD) in the last four quarters.

Line Item 2 Payments activity.

The sum of items 1(a) through 1(l).

Assets Under Custody

Line Item 3 Assets held as a custodian on behalf

of customers.

Report the value of all assets, including cross-border

assets, that the banking organization holds as a custodian

on behalf of customers, including other financial firms

(i.e., financial institutions other than the reporting group).

Include such assets even if they are being held by

unaffiliated institutions (e.g., central securities depositories, payment systems, central banks, and subcustodians).4

In the case where assets are held by a

sub-custodian, both the primary custodian and the subcustodian must report the assets. Do not include any

assets under management or assets under administration

which are not also classified as assets under custody. The

value of the assets should reflect the accounting method

required by the respective clients. Thus, the reported total

will likely involve a mixture of both book and market

values. Custodial accounts held in all legal entities of the

holding company must be reported.

Include cash that is being held in custody accounts. Note

that assets held as collateral are not generally considered

assets under custody. Report only the assets for which the

banking organization provides custody and safekeeping

services. For more information, see the Glossary entries

for ‘‘assets under management,’’ ‘‘assets under administration,’’ ‘‘assets under custody,’’ and ‘‘custodian.’’ For a

description of custody and safekeeping accounts, refer to

the instructions for the Consolidated Reports of Condition and Income (FFIEC 031 and 041) Schedule RC-T,

item 11.

4. A sub-custodian is an institution that provides custody services on

behalf of another custodian.

Schedule C

C-2 FR Y-15

Schedule C December 2015
Underwritten Transactions in Debt and

Equity Markets

Include all underwriting (public and private) over the last

four quarters where the banking organization was obligated to purchase unsold securities. When the underwriting is on a best-efforts basis (i.e., the banking organization is not obligated to purchase the remaining inventory),

only include the securities that were actually sold. For

transactions underwritten by multiple institutions, only

include the portion attributable to the reporting group.

These portions should be reported regardless of whether

or not the bank is acting as the lead underwriter.

Line Item 4 Equity underwriting activity.

Report the total value of all types of equity instruments

underwritten during the last twelve months, excluding

transactions with subsidiaries and/or affiliates and selfled transactions. This includes all types of equity market

transactions such as initial public offerings, additional

offerings of common stocks, units, depositary receipts

(e.g., American depositary receipts (ADRs) and Global

depositary receipts (GDRs)), and rights offerings. Also

include equity-linked transactions such as convertible

bonds, convertible preferred bonds, and exchangeable

bonds. Include all types of transactions at all maturities.

Do not differentiate transactions between front-end, backend, and best-effort transactions. Do not differentiate

with regard to maturity, currency, or market of issuance.

Include equity securities with embedded derivatives, but

exclude stand-alone derivatives underwriting. With

regards to the delineation between securities with embedded derivatives and stand-alone derivatives, use the

existing definitions in GAAP.

The accounting and reporting standards for derivative

instruments, including certain derivative instruments

embedded in other contracts, and for hedging activities

are set forth in ASC Topic 815, Derivatives and Hedging

(formerly FASB Statement No. 133, Accounting for

Derivative Instruments and Hedging Activities, as

amended), which banking organizations must follow for

purposes of this report. ASC Topic 815 requires all

derivatives to be recognized on the balance sheet as

either assets or liabilities at their fair value. See ASC

Topic 815 for the definition of derivatives.

Contracts that do not in their entirety meet the definition

of a derivative instrument, such as bonds, insurance

policies, and leases, may contain ’’embedded’’ derivative

instruments. Embedded derivatives are implicit or explicit

terms within a contract that affect some or all of the cash

flows or the value of other exchanges required by the

contract in a manner similar to a derivative instrument.

The effect of embedding a derivative instrument in

another type of contract (‘‘the host contract’’) is that

some or all of the cash flows or other exchanges that

otherwise would be required by the host contract, whether

unconditional or contingent upon the occurrence of a

specified event, will be modified based on one or more of

the underlyings.

Line Item 5 Debt underwriting activity.

Report the total value of all types of debt instruments

underwritten during the last twelve months, excluding

intra-group or self-led transactions. This includes all

types of underwriting transactions relating to debt securities. Include both secured debt instruments (e.g., covered

bonds, asset-backed security (ABS) transactions, etc.)

and unsecured debt instruments. Include all types of

transactions at all maturities. Do not differentiate transactions between front-end, back-end, and best-effort or

‘‘soft’’ transactions. Do not differentiate with regard to

maturity, currency, or market of issuance. Do not differentiate between sovereign and corporate debt. Do not

include loan underwriting.

Also include debt securities with embedded derivatives.

For more detail on embedded derivatives, refer to the

instructions for item 4.

Line Item 6 Total underwriting activity.

The sum of items 4 and 5.

Memoranda

For items M1 through M2, refer to the general instructions provided for item 1.

Line Item M1 Mexican pesos (MXN).

Report the U.S. dollar equivalent amount of all payments

made in Mexican pesos (MXN) in the last four quarters.

Line Item M2 New Zealand dollars (NZD).

Report the U.S. dollar equivalent amount of all payments

made in New Zealand dollars (NZD) in the last four

quarters.

Schedule C

FR Y-15 C-3

Schedule C December 2015
Line Item M3 Russian rubles (RUB).

Report the U.S. dollar equivalent amount of all payments

made in Russian rubles (RUB) in the last four quarters.

Line Item M4 Payments made in the last four

quarters in all other currencies.

Report the U.S. dollar equivalent amount of all payments

made in the last four quarters using currencies not listed

in items 1(a) through 1(l) or M1 through M3. Convert the

yearly aggregates to U.S. dollars using the average

exchange rate for the last four quarters. These average

exchange rates must be constructed using a consistent

series of exchange rate quotations. The method used

must be reasonable, consistent, and reproducible. Documentation concerning the method employed to calculate

the average exchange rates must be maintained and made

available to supervisors upon request.

Line Item M5 Unsecured settlement/clearing lines

provided.

Report the total amount of committed, unsecured intraday credit lines extended to the banking organization’s

customers. This includes, but is not limited to, lines

extended for cash overdrafts, securities clearing, and

transaction lines (e.g., FX settlement limits). Unsecured

lines that are extended at will to the client (i.e., on a

case-by-case basis and at the full discretion of the

banking organization), should not be reported.

Schedule C

C-4 FR Y-15

Schedule C December 2015
LINE ITEM INSTRUCTIONS FOR

Complexity Indicators

Schedule D

Notional Amount of Over-the-Counter (OTC)

Derivative Contracts

For items 1 and 2, do not include derivative contracts

initiated via an exchange such as ICE, CME, or Eurex.

For example, futures contracts would not be included.

Line Item 1 OTC derivative contracts cleared

through a central counterparty.

Report the notional amount outstanding of OTC derivative positions which will be settled through a central

counterparty (CCP). Include all types of risk categories

and instruments (e.g., foreign exchange, interest rate,

equity, commodities, and credit default swaps (CDS)).

Report transactions regardless of whether they are part of

a master netting agreement. For more information, see

the Glossary entry for ‘‘central counterparty.’’ For more

information on derivatives, refer to ASC Topic 815,

Derivatives and Hedging, and the FR Y-9C Glossary

entry for ‘‘derivative contracts.’’

Do not include cleared derivative transactions (i.e., transactions where the bank provides clearing services for

clients executing trades via an exchange or with a CCP)

where the bank is not a direct counterparty in the

contract. When acting as a financial intermediary (i.e.,

where the banking organization is a counterparty to both

the client and the CCP), report the notional amounts

associated with each contract (i.e., the contract with the

CCP and the contract with the client). In cases where a

clearing member banking organization, acting as an

agent, guarantees the performance of a CCP to a client,

the associated notional amounts must be reported.

Line Item 2 OTC derivative contracts settled

bilaterally.

Report the notional amount outstanding of OTC derivative positions which will be settled bilaterally (i.e.,

without the use of a central counterparty). Include all

types of risk categories and instruments (e.g., foreign

exchange, interest rate, equity, commodities, and CDS).

Report transactions regardless of whether they are part of

a master netting agreement. For more information on

derivatives, refer to ASC Topic 815, Derivatives and

Hedging, and the FR Y-9C Glossary entry for ‘‘derivative contracts.’’

Line Item 3 Total notional amount of OTC

derivative contracts.

The sum of items 1 and 2.

Trading and Available-for-Sale (AFS)

Securities

Line Item 4 Trading securities

Report the fair value of all securities classified as trading.

Securities that are intended to be held principally for the

purpose of selling them in the near term are classified as

trading assets. Trading activity includes active and frequent buying and selling of securities for the purpose of

generating profits on short-term fluctuations in price.

Securities held for trading purposes must be reported at

fair value. Do not include loans, derivatives, and nontradable assets (e.g., receivables).

Report values on a gross long basis (i.e., do not net short

positions against long positions). For long and short

positions in the same CUSIP, report the long position

prior to any CUSIP netting. For more information on

trading securities, refer to ASC Topic 320, Investments −

Debt and Equity Securities, and the FR Y-9C Glossary

entry for ‘‘securities activities.’’

Line Item 5 AFS securities.

Report the fair value of all securities classified as AFS (as

defined in the FR Y-9C, Schedule HC, item 2(b)). All

securities not categorized as trading securities or held-tomaturity (HTM) must be reported as AFS. Do not include

FR Y-15 D-1

Schedule D December 2015
loans, derivatives and non-tradable assets (e.g., receivables).

Report values on a gross long basis (i.e., do not net short

positions against long positions). For long and short

positions in the same CUSIP, report the long position

prior to any CUSIP netting. For more information on

AFS securities, refer to ASC Topic 320, Investments −

Debt and Equity Securities, and the FR Y-9C Glossary

entry for ‘‘securities activities.’’

Line Item 6 Total trading and AFS securities.

The sum of items 4 and 5.

Line Item 7 Trading and AFS securities that meet

the definition of level 1 liquid assets.

Report the gross fair value of all trading and AFS

securities captured in item 6 that qualify as level 1 liquid

assets as set forth in the liquidity coverage ratio (LCR)

(see 12 CFR 249.20(a)). Include qualifying securities

even if they are not eligible high-quality liquid assets

(HQLA) according to 12 CFR 249.22.

Line Item 8 Trading and AFS securities that meet

the definition of level 2 liquid assets, with haircuts.

Report the gross fair value, after applying haircuts, of all

trading and AFS securities captured in item 6 that qualify

as level 2A or level 2B liquid assets as set forth in the

LCR (see 12 CFR 249.20(b)-(c)). Include qualifying

securities even if they are not eligible HQLA according

to 12 CFR 249.22. Report level 2A and level 2B liquid

assets with haircuts of 15% and 50%, respectively (see 12

CFR 249.21(b)). Do not apply the caps outlined in 12

CFR 249.21(c)-(i).

Line Item 9 Total adjusted trading and AFS

securities.

Item 6 minus the sum of items 7 and 8.

Level 3 Assets

Line Item 10 Assets valued for accounting

purposes using Level 3 measurement inputs.

Report the gross fair value of all assets that are priced on

a recurring basis using Level 3 measurement inputs. ASC

Topic 820, Fair Value Measurement, established a threelevel fair value hierarchy that prioritizes inputs used to

measure fair value based on observability. Level 3 fair

value measurement inputs, while not readily observable

in the market, are used to develop an exit price for the

asset (or liability) from the perspective of a market

participant. Therefore, Level 3 fair value measurement

inputs reflect the banking organization’s own assumptions about the assumptions that a market participant

would use in pricing an asset (or liability) and should be

based on the best information available under the given

circumstances.

The level in the fair value hierarchy within which the fair

value measurement is categorized is determined on the

basis of the lowest level input that is significant to the fair

value measurement in its entirety. If a fair value measurement uses observable inputs that require significant

adjustment based on unobservable inputs, then this is

considered a Level 3 measurement. For more information, refer to the FR Y-9C Glossary entry for ‘‘fair

value.’’

Memoranda

Line Item M1 Held-to-maturity securities.

Report the amortized cost of all securities classified as

held-to-maturity (HTM) (as defined in the FR Y-9C,

Schedule HC, item 2(a)). This item includes all debt

securities that an institution has the positive intent and

ability to hold to maturity. For more information on HTM

securities, refer to ASC Topic 320, Investments − Debt

and Equity Securities, and the FR Y-9C Glossary entry

for ‘‘securities activities.’’

Schedule D

D-2 FR Y-15

Schedule D December 2015
LINE ITEM INSTRUCTIONS FOR

Cross-Jurisdictional Activity Indicators

Schedule E

Cross-Jurisdictional Claims

Line Item 1 Foreign claims on an ultimate-risk

basis.

Report the value of all claims over all sectors that, on an

ultimate-risk basis, are cross-border claims on non-local

residents or foreign-office claims on local residents (see

FFIEC 009, Schedule C, Part II, Columns 1 through 10,

Total Foreign Countries). Do not include claims from

positions in derivative contracts (see FFIEC 009, Schedule D). For definitions, refer to the instructions for

preparation of the FFIEC 009.

Cross-Jurisdictional Liabilities

Line Item 2 Foreign liabilities (excluding local

liabilities in local currency).

Report the sum of all foreign-office liabilities in nonlocal currency, all U.S. dollar liabilities to foreign residents, and all foreign currency liabilities to foreigners

(see FFIEC 009, Schedule L, Column 1; TIC BL-1,

Column 7; and, TIC BQ-2, Columns 1 and 2). Do not

include liabilities from positions in derivative contracts.

For definitions, refer to the instructions for preparation of

the FFIEC 009 and the Treasury International Capital

(TIC) B Reports.

Line Item 2(a) Any foreign liabilities to related

offices included in item 2.

Report the value of any intercompany liabilities included

in item 2 (i.e., liabilities that are to the banking organization’s own foreign offices) (see TIC BL-1, Column 8, and

the liabilities to related offices reported as part of TIC

BQ-2, Columns 1 and 2). For definitions, refer to the

instructions for preparation of the TIC B Reports.

Line Item 3 Local liabilities in local currency.

Report the value of all foreign-office liabilities in local

currency (see FFIEC 009, Schedule L, Column 2). Do not

include liabilities from positions in derivative contracts.

For definitions, refer to the instructions for the preparation of the FFIEC 009.

Line Item 4 Total cross-jurisdictional liabilities.

The sum of items 2 and 3 minus item 2(a).

FR Y-15 E-1

Schedule E December 2015
LINE ITEM INSTRUCTIONS FOR

Ancillary Indicators

Schedule F

Ancillary Indicators

Line Item 1 Total liabilities.

Report total liabilities (as defined in the FR Y-9C,

Schedule HC, item 21).

Line Item 2 Retail funding.

Report total deposits less the sum of deposits from

depository institutions, deposits from central banks, and

any other deposits (including certificates of deposit) not

held by retail customers or small businesses. Small

business customers are those customers with less than $1

million in consolidated deposits that are managed as

retail customers and are generally considered as having

similar liquidity risk characteristics to retail accounts.

For more information on deposits, see the FR Y-9C

Glossary entry for ‘‘deposits.’’

Line Item 3 Total gross revenue.

Report total gross revenue, which is defined as interest

income plus noninterest income (FR Y-9C, Schedule HI,

item 1(h) plus item 5(m)).

Line Item 4 Total net revenue.

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

item 2(f)).

Line Item 5 Foreign net revenue.

Report the net revenue, defined as interest income plus

noninterest income minus interest expense, from all

foreign offices. For purposes of this report, a foreign

office of a reporting banking organization is a branch or

consolidated subsidiary located outside of the organization’s home country (i.e., the country where the banking

organization is headquartered); an Edge or Agreement

subsidiary, including both its U.S. and its foreign offices;

or an International Banking Facility (IBF). Branches or

consolidated subsidiaries located in territories or possessions of the home country are considered foreign offices.

Branches of bank subsidiaries located on military facilities belonging to the home country, wherever located, are

not considered foreign offices. For more information on

Edge or Agreement subsidiaries and on IBFs, refer to the

FR Y-9C Glossary entries for ‘‘Edge and Agreement

corporation’’ and ‘‘International Banking Facility (IBF),’’

respectively.

Line Item 6 Gross value of cash provided and

gross fair value of securities provided in securities

financing transactions (SFTs).

Report the gross value of all cash provided and the gross

fair value of all securities provided in the outgoing legs

of securities financing transactions. Only include transactions completed by the banking organization on its own

behalf. Include variation margin provided, but do not

include any counterparty netting. Include the outgoing

legs associated with repurchase and reverse repurchase

agreements, and securities lending and borrowing. Do

not include outgoing legs associated with conduit lending

and margin lending transactions.

Line Item 7 Gross value of cash received and

gross fair value of securities received in SFTs.

Report the gross value of all cash received and the gross

fair value of all securities received in the incoming legs

of securities financing transactions. Only include transactions completed by the banking organization on its own

behalf. Include variation margin received, but do not

include any counterparty netting. Include the incoming

legs associated with repurchase and reverse repurchase

agreements, and securities lending and borrowing. Do

not include incoming legs associated with conduit lending and margin lending transactions.

FR Y-15 F-1

Schedule F December 2015
Line Item 8 Gross positive fair value of

over-the-counter (OTC) derivative contracts.

Report the gross positive fair value of all OTC derivative

contracts (i.e., contracts not initiated via an exchange).

Do not include any counterparty netting.

Line Item 9 Gross negative fair value of OTC

derivative contracts.

Report the gross negative fair value of all OTC derivative

contracts not initiated via an exchange. Do not include

any counterparty netting.

Line Item 10 Number of jurisdictions.

Report the number of countries, including the home

jurisdiction, where the banking organization has a branch,

a subsidiary, or other entity that is consolidated under

GAAP. Determine the jurisdiction using the physical

address of the branch, subsidiary, or other consolidated

entity.

Schedule F

F-2 FR Y-15

Schedule F December 2015
LINE ITEM INSTRUCTIONS FOR

Short-Term Wholesale Funding Indicator

Schedule G

General Instructions

This schedule must be reported starting with the December 31, 2016 as-of date. Unless otherwise specified in the

line item instructions, for the items in Schedule G, report

the average value calculated over the last twelve months

(e.g., data reported as-of March would include observations made from April 1 of the previous year through

March 31 of the current year). Banking organizations that

have reported the Complex Institution Liquidity Monitoring Report (FR 2052a) daily for the last twelve months

must report the average value using daily data. All other

respondents must report the average value using monthly

data (i.e., provide the average of the twelve month-end

balances within the last four quarters).

Note that the values associated with each item are

divided into four maturity buckets. Report funding with a

remaining maturity of 30 days or less, along with funding

with no maturity date, in column A. Report funding with

a remaining maturity of 31 to 90 days in column B.

Report funding with a remaining maturity of 91 to 180

days in column C. Finally, report funding with a remaining maturity of 181 to 365 days in column D.

Short-Term Wholesale Funding

Line Item 1 First tier:

Line Item 1(a) Funding secured by level 1 liquid

assets.

Report the value of secured funding transactions secured

by level 1 liquid assets. For more information, see the

Glossary entry for ‘‘secured funding transaction.’’ For the

definition of level 1 liquid assets, see 12 CFR 249.20.

Line Item 1(b) Retail brokered deposits and

sweeps.

Report the value of brokered deposits and sweeps provided by retail customers or counterparties. For more

information, see the Glossary entries for ‘‘brokered

deposits’’ and ‘‘brokered sweep deposits.’’

Line Item 1(c) Unsecured wholesale funding

obtained outside of the financial sector.

Report the value of unsecured wholesale funding where

the customer or counterparty is not a financial sector

entity or a consolidated subsidiary of a financial sector

entity (as defined in 12 CFR 249.3). For more information, see the Glossary entry for ‘‘unsecured wholesale

funding.’’

Line Item 1(d) Firm short positions involving

level 2B liquid assets or non-HQLA.

Report the value of firm short positions involving level

2B liquid assets or assets that do not qualify as highquality liquid assets (HQLA). For the list of assets that

are level 2B liquid assets and a definition of HQLA, see

12 CFR 249.20 and 249.3, respectively.

Line Item 1(e) Total first tier short-term

wholesale funding.

The sum of items 1(a) through 1(d).

Line Item 2 Second tier:

Line Item 2(a) Funding secured by level 2A liquid

assets.

Report the value of secured funding transactions secured

by level 2A liquid assets. For more information, see the

Glossary entry for ‘‘secured funding transaction.’’ For the

list of assets that are level 2A liquid assets, see 12 CFR

249.20.

Line Item 2(b) Covered asset exchanges (level 1

to level 2A).

Report the value of covered asset exchanges where a

level 1 liquid asset will be exchanged for a level 2A

FR Y-15 G-1

Schedule G December 2015
liquid asset. For more information, see the Glossary entry

for ‘‘covered asset exchanges.’’ For the list of assets that

are level 1 and level 2A liquid assets, see 12 CFR 249.20.

Line Item 2(c) Total second tier short-term

wholesale funding.

The sum of items 2(a) and 2(b).

Line Item 3 Third tier:

Line Item 3(a) Funding secured by level 2B liquid

assets.

Report the value of secured funding transactions secured

by level 2B liquid assets. For more information, see the

Glossary entry for ‘‘secured funding transaction.’’ For the

list of assets that are level 2B liquid assets, see 12 CFR

249.20.

Line Item 3(b) Other covered asset exchanges.

Report the value of covered asset exchanges not already

captured in item 2(b). For more information, see the

Glossary entry for ‘‘covered asset exchanges.’’

Line Item 3(c) Unsecured wholesale funding

obtained within the financial sector.

Report the value of unsecured wholesale funding where

the customer or counterparty is a financial sector entity or

a consolidated subsidiary of a financial sector entity (as

defined in 12 CFR 249.3). For more information, see the

Glossary entry for ‘‘unsecured wholesale funding.’’

Line Item 3(d) Total third tier short-term

wholesale funding.

The sum of items 3(a) through 3(c).

Line Item 4 All other components of short-term

wholesale funding.

Report the value of secured funding transactions secured

by assets that do not qualify as HQLA. For more

information, see the Glossary entry for ‘‘secured funding

transaction.’’ For the definition of HQLA, see 12 CFR

249.3.

Line Item 5 Total short-term wholesale funding,

by maturity.

Column A: The sum of 0.25 times item 1(e), 0.5 times

item 2(c), 0.75 times item 3(d), and item 4.

Column B: The sum of 0.1 times item 1(e), 0.25 times

item 2(c), 0.5 times item 3(d), and 0.75 times item 4.

Column C: The sum of zero times item 1(e), 0.1 times

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

item 2(c), 0.1 times item 3(d), and 0.25 times item 4.

Line Item 6 Total short-term wholesale funding.

The sum of item 5, Columns A through D.

Line Item 7 Average risk-weighted assets.

Report the average total risk-weighted assets value over

the previous four quarters, using quarterly data. For each

quarter, use the total risk-weighted assets amount associated with the lower of the two risk-based capital ratios in

that quarter. For more information, see FR Y-9C, Schedule HC-R, items 40a and 40b.

Line Item 8 Short-term wholesale funding metric.

Item 6 divided by item 7.

Schedule G

G-2 FR Y-15

Schedule G December 2015
LINE ITEM INSTRUCTIONS FOR

Optional Narrative Statement

Line Item 1 Narrative statement.

The management of the reporting banking organization

has the option to submit a public statement regarding the

values reported on the FR Y-15. The statement must not

contain any confidential information that would compromise customer privacy or that the respondent is not

willing to have made public. Furthermore, the information in the narrative statement must be accurate and must

not be misleading.

The statement may not exceed 750 characters, including

punctuation, indentation, and standard spacing between

words and sentences. Statements exceeding this limit will

be truncated at 750 characters with no notice to the

respondent. Other than the truncation of statements

exceeding the character limit, the statement will appear

on agency computerized records and in releases to the

public exactly as submitted. Public disclosure of the

statement shall not signify that a federal supervisory

agency has verified the accuracy or relevance of the

information contained therein.

If the respondent elects not to make a statement, the item

should be left blank (i.e., do not enter phrases such as

‘‘No statement,’’ ‘‘Not applicable,’’ ‘‘N/A,’’ ‘‘No comment,’’ or ‘‘None’’).

FR Y-15 ONS-1

Optional Narrative Statement December 2015
Glossary

The definitions in this Glossary apply to the Banking

Organization Systemic Risk Report (FR Y-15) and are not

necessarily applicable for other regulatory or legal purposes. Any accounting discussions in this glossary are

relevant to the preparation of this report and are not

intended to constitute a comprehensive presentation on

bank accounting or on generally accepted accounting

principles. For purposes of this glossary, the FASB

Accounting Standards Codification is referred to as

‘‘ASC.’’

Assets under Management: Assets under management

are securities or other assets that are managed by a

banking organization or subsidiary of the banking organization on behalf of a customer for which the reporting

banking organization or the subsidiary acts as investment

adviser. For more information, see FR Y-9C, Schedule

HC-M, item 16.

Assets under Administration: Assets under administration are securities or other assets for which a banking

organization or subsidiary of the banking organization is

contractually obligated to provide an administration service (e.g., back office administration and recordkeeping

services).

Assets under Custody: Assets under custody are securities or other assets that are held by a banking organization or subsidiary of the banking organization on behalf

of a customer under a safekeeping arrangement. For

additional information see the FR Y-9C glossary entry

for ‘‘Custody Account.’’

Brokered Deposit: Brokered deposit is defined in 12

CFR 249.3.

Brokered Sweep Deposit: A brokered sweep deposit is a

deposit held at a banking organization by a customer or

counterparty through a contractual feature that automatically transfers to the banking organization from another

regulated financial company at the close of each business

day amounts identified under the agreement governing

the account from which the amount is being transferred.

Central Counterparty: Central counterparties are entities (e.g., a clearing house) that facilitate trades between

counterparties in one or more financial markets by either

guaranteeing trades or novating contracts.

Certificate of Deposit: Certificates of deposit are time

deposits where the bank issues a receipt for the funds

specifying that they are payable on a specific date seven

or more days in the future. For additional information,

refer to the FR Y-9C Glossary entry for ‘‘deposits.’’

Commercial Paper: Commercial paper consists of shortterm negotiable promissory notes that mature in 270 days

or less. Commercial paper may be backed by a standby

letter of credit from a bank, as in the case of documented

discounted notes.

Consolidated Subsidiary: A consolidated subsidiary is a

company that is consolidated on the balance sheet of a

banking organization or other company under GAAP.

Covered Asset Exchange: A covered asset exchange is a

transaction in which a banking organization has provided

assets of a given liquidity category to a counterparty in

exchange for assets of a higher liquidity category, and the

banking organization and the counterparty agreed to

return such assets to each other at a future date. Categories of assets, in descending order of liquidity, are level 1

liquid assets, level 2A liquid assets, level 2B liquid

assets, and assets that are not high-quality liquid assets

(HQLA). Covered asset exchanges do not include secured

funding transactions. For the list of assets that are level 1,

level 2A, and level 2B liquid assets and a definition of

HQLA, see 12 CFR 249.20 and 249.3, respectively.

Custodian: For the purposes of the FR Y-15, a custodian

is defined as a bank or other organization (e.g., securities

firms and trust companies) that manages or administers

the custody or safekeeping of stock certificates, debt

FR Y–15 GL-1

Glossary December 2015
securities, cash, or other assets for institutional and

private investors.

Qualifying Cash Variation Margin: Qualifying cash

variation margin is cash variation margin (i.e., the cash

collateral recognized to reduce the mark-to-fair value of

derivative contracts) that satisfies all of the following

conditions:

(1) For derivative contracts that are not cleared through a

qualifying central counterparty (QCCP), the cash

collateral received by the recipient counterparty is

not segregated;

(2) Variation margin is calculated and transferred on a

daily basis based on the mark-to-fair value of the

derivative contract;

(3) The variation margin transferred under the derivative

contract or the governing rules for a cleared transaction is the full amount that is necessary to fully

extinguish the current credit exposure amount to the

counterparty of the derivative contract, subject to the

threshold and minimum transfer amounts applicable

to the counterparty under the terms of the derivative

contract or the governing rules for a cleared transaction;

(4) The variation margin is in the form of cash in the

same currency as the currency of settlement set forth

in the derivative contract, provided that, for purposes

of this paragraph, currency of settlement means any

currency for settlement specified in the qualifying

master netting agreement, the credit support annex to

the qualifying master netting agreement, or in the

governing rules for a cleared transaction; and

(5) The derivative contract and the variation margin are

governed by a qualifying master netting agreement

between the legal entities that are the counterparties

to the derivative contract or by the governing rules

for a cleared transaction. The qualifying master

netting agreement or the governing rules for a cleared

transaction must explicitly stipulate that the counterparties agree to settle any payment obligations on a

net basis, taking into account any variation margin

received or provided under the contract if a credit

event involving either counterparty occurs.

Secured Funding Transaction: Secured funding transaction is defined in 12 CFR 249.3.

Short Position: A short position is a transaction in which

a banking organization has borrowed or otherwise

obtained a security from a counterparty, which was then

sold to another counterparty, and the banking organization must return the security to the initial counterparty in

the future.

Unsecured Wholesale Funding: Unsecured wholesale

funding is defined in 12 CFR 249.3.

Wholesale Customer or Counterparty: Wholesale customer or counterparty means a customer or counterparty

that is not a retail customer or counterparty (as defined in

12 CFR 249.3).

Glossary

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

Start Date

Effective EndDate

EditChange

Schedule Edit Type Edit

Number

TargetItem MDRM

Number

Edit Test Alg Edit Test

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 nullFRY15 20141231 99991231 No change Page 1 Validity 0110 CONTACTN RISK8901 CONTACTN must not be null. RISK8901 ne nul

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

not be null

For institutions t

ne null

FRY15 20151231 99991231 Revised A Validity 0135 A‐Mem1 RISKM335 A‐Mem1 must not be null. riskm335 ne nul

FRY15 20151231 99991231 Revised A Validity 0140 A‐Mem2 RISKM336 A‐Mem2 must not be null. riskm336 ne nul

FRY15 20160930 99991231 Revised A Validity 0145 A1a RISKM337 For institutions that are not advanced approaches, A1a must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0148 A1c RISKY822 For institutions that are not advanced approaches, A1c must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0152 A1e RISKY823 For institutions that are not advanced approaches, A1e must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0153 A1f RISKY824 For institutions that are not advanced approaches, A1f must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0154 A1g RISKY825 For institutions that are not advanced approaches, A1g must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0155 A2b RISKN507 For institutions that are not advanced approaches, A2b must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0157 A2c RISKY827 For institutions that are not advanced approaches, A2c must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0158 A2d RISKY828 For institutions that are not advanced approach, A2d must

not be null

For institutions t

ne null

FRY15 20160930 99991231 Revised A Validity 0160 A1b RISKM339 For institutions that are not advanced approaches, A1b must

not be null

For institutions t

ne null

FRY15 20151231 99991231 No change A Validity 0165 A‐Mem3 RISKM341 A‐Mem3 must not be null. riskm341 ne nul

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

not be null

For institutions t

ne null

FRY15 20151231 99991231 No change A Validity 0190 A4b RISKM718 A4b must not be null. riskm718 ne nulFRY15 20151231 99991231 No change A Validity 0195 A4c RISKM346 A4c must not be null. riskm346 ne nulFRY15 20151231 99991231 No change A Validity 0200 A4d RISKM347 A4d must not be null. riskm347 ne nulFRY15 20160930 99991231 Revised A Validity 0205 A3b RISKM349 For institutions that are not advanced approaches, A3b must

not be null

For institutions t

ne null

FRY15 20141231 99991231 No change B Validity 0210 B1 RISKM351 B1 must not be null. riskm351 ne null

September 2016 
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

Start Date

Effective EndDate

EditChange

Schedule Edit Type Edit

Number

TargetItem MDRM

Number

Edit Test Alg Edit Test

FRY15 20141231 99991231 No change B Validity 0215 B1a RISKM355 B1a must not be null. riskm355 ne nullFRY15 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 nullFRY15 20141231 99991231 No change B Validity 0230 B3b RISKM353 B3b must not be null. riskm353 ne nullFRY15 20141231 99991231 No change B Validity 0235 B3c RISKM354 B3c must not be null. riskm354 ne nullFRY15 20141231 99991231 No change B Validity 0240 B3d RISKM345 B3d must not be null. riskm345 ne nullFRY15 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 nul

FRY15 20141231 99991231 No change B Validity 0260 B5a RISKM359 B5a must not be null. riskm359 ne nulFRY15 20141231 99991231 No change B Validity 0265 B5b RISKM360 B5b must not be null. riskm360 ne nulFRY15 20141231 99991231 No change B Validity 0270 B7a RISKM363 B7a must not be null. riskm363 ne nulFRY15 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 nul

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

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

FRY15 20151231 99991231 No change B Validity 0295 B11b RISKM368 B11b must not be null. riskm368 ne nulFRY15 20151231 99991231 No change B Validity 0300 B13 RISKM371 B13 must not be null. riskm371 ne nul

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 nul

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 nullFRY15 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 
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

Start Date

Effective EndDate

EditChange

Schedule Edit Type Edit

Number

TargetItem MDRM

Number

Edit Test Alg Edit Test

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 nullFRY15 20141231 99991231 No change C Validity 0355 C1g RISKM383 C1g must not be null. riskm383 ne nullFRY15 20141231 99991231 No change C Validity 0360 C1h RISKM384 C1h must not be null. riskm384 ne nul

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

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 nullFRY15 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 nullFRY15 20141231 99991231 No change C Validity 0400 C5 RISKM407 C5 must not be null. riskm407 ne nullFRY15 20141231 99991231 No change D Validity 0405 D1 RISKM409 D1 must not be null. riskm409 ne nullFRY15 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 nullFRY15 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 nullFRY15 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 
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

Start Date

Effective EndDate

EditChange

Schedule Edit Type Edit

Number

TargetItem MDRM

Number

Edit Test Alg Edit Test

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 nul

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

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 

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

not be null

For institutions t

ne null

September 2016 
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 

FRY15 20151231 99991231 No change A Interseries 3000 F1 RISK2948 F1 should be less than HC‐12. risk294

FRY15 20151231 99991231 No change A Interseries 3010 B6 RISKM362 B6 should be less than HC‐12. riskm36

FRY15 20151231 99991231 No change A Interseries 3020 B12 RISKM370 B12 should be less than HC‐12. riskm37

FRY15 20151231 99991231 Revised A Interseries 3030 A2a RISKM334 If A6 equals zero, then A2a should be greater than

or equal to HC‐3b.

if riskfc

FRY15 20151231 99991231 No change A Quality 9000 A1a RISKM337 A1a should not be negative. riskm33FRY15 20151231 99991231 No change A Quality 9000 A1b RISKM339 A1b should not be negative. riskm33FRY15 20151231 99991231 No change A Quality 9000 A1c RISKY822 A1c should not be negative. RISKY82FRY15 20151231 99991231 No change A Quality 9000 A1e RISKY823 A1e should not be negative. RISKY82

FRY15 20151231 99991231 No change A Quality 9000 A1f RISKY824 A1f should not be negative. RISKY82

FRY15 20151231 99991231 No change A Quality 9000 A1g RISKY825 A1g should not be negative. RISKY82

FRY15 20151231 99991231 No change A Quality 9000 A2a RISKM334 A2a should not be negative. riskm33FRY15 20151231 99991231 No change A Quality 9000 A2b RISKN507 A2b should not be negative. riskn50

FRY15 20151231 99991231 No change A Quality 9000 A2c RISKY827 A2c should not be negative. RISKY82

FRY15 20151231 99991231 No change A Quality 9000 A2d RISKY828 A2d should not be negative. RISKY82

FRY15 20151231 99991231 No change A Quality 9000 A3a RISKY830 A3a should not be negative. RISKY83FRY15 20151231 99991231 No change A Quality 9000 A4a RISKM342 A4a should not be negative. riskm34

FRY15 20151231 99991231 No change A Quality 9000 A4b RISKM718 A4b should not be negative. riskm71

FRY15 20151231 99991231 No change A Quality 9000 A4c RISKM346 A4c should not be negative. riskm34FRY15 20151231 99991231 No change A Quality 9000 A4d RISKM347 A4d should not be negative. riskm34FRY15 20151231 99991231 No change A Quality 9000 A‐Mem1 RISKM335 A‐Mem1 should not be negative. riskm33FRY15 20151231 99991231 No change A Quality 9000 A‐Mem2 RISKM336 A‐Mem2 should not be negative. riskm33FRY15 20151231 99991231 No change A Quality 9000 A‐Mem3 RISKM341 A‐Mem3 should not be negative. riskm34

FRY15 20151231 99991231 No change A Quality 3055 D6 RISKM414 D6 should be less than A5. riskm41FRY15 20141231 99991231 No change B Quality 9020 B1 RISKM351 B1 should not be negative. riskm35FRY15 20141231 99991231 No change B Quality 9020 B1a RISKM355 B1a should not be negative. riskm35FRY15 20141231 99991231 No change B Quality 9020 B2 RISKJ458 B2 should not be negative. riskj458 FRY15 20141231 99991231 No change B Quality 9020 B3a RISKM352 B3a should not be negative. riskm35FRY15 20141231 99991231 No change B Quality 9020 B3b RISKM353 B3b should not be negative. riskm35

FRY15 20141231 99991231 No change B Quality 9020 B3c RISKM354 B3c should not be negative. riskm35FRY15 20141231 99991231 No change B Quality 9020 B3d RISKM345 B3d should not be negative. riskm34

FRY15 20141231 99991231 No change B Quality 9020 B3e RISKM356 B3e should not be negative. riskm35

FRY15 20131231 99991231 No change B Quality 3060 B3e RISKM356 B3f should be less than or equal to B3e riskm35

FRY15 20141231 99991231 No change B Quality 9020 B3f RISKM357 B3f should not be negative. riskm35FRY15 20141231 99991231 No change B Quality 9020 B4 RISKM358 B4 should not be negative. riskm35

FRY15 20151231 99991231 No change F Quality 3063 F6 RISKM432 F6 should be greater than or equal to B4 riskm43FRY15 20141231 99991231 No change B Quality 9020 B5a RISKM359 B5a should not be negative. riskm35FRY15 20141231 99991231 No change B Quality 9020 B5b RISKM360 B5b should not be negative. riskm36FRY15 20141231 99991231 No change B Quality 9020 B7a RISKM363 B7a should not be negative. riskm36FRY15 20141231 99991231 No change B Quality 9020 B7b RISKM364 B7b should not be negative. riskm36

FRY15 20151231 99991231 No change B Quality 9020 B8 RISKY833 B8 should not be negative. RISKY83

FRY15 20151231 99991231 No change B Quality 9020 B9 RISKM365 B9 should not be negative. riskm36FRY15 20151231 99991231 No change B Quality 9020 B10 RISKM366 B10 should not be negative. riskm36FRY15 20151231 99991231 No change F Quality 3067 F7 RISKM433 F7 should be greater than or equal to B10 riskm43FRY15 20151231 99991231 No change B Quality 9020 B11a RISKM367 B11a should not be negative. riskm36FRY15 20151231 99991231 No change B Quality 9020 B11b RISKM368 B11b should not be negative. riskm36

FRY15 20151231 99991231 No change F Quality 3070 F1 RISK2948 F1 should be greater than or equal to B12. risk294FRY15 20151231 99991231 No change B Quality 9020 B13 RISKM371 B13 should not be negative. riskm37FRY15 20151231 99991231 No change B Quality 9020 B14 RISKM372 B14 should not be negative. riskm37FRY15 20151231 99991231 No change B Quality 9020 B17 RISKM374 B17 should not be negative. riskm37FRY15 20151231 99991231 No change B Quality 9020 B18 RISKM375 B18 should not be negative. riskm37

September 2016 
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 FRY15 20151231 99991231 No change B Quality 9020 B19 RISKN509 B19 should not be negative. riskn50

FRY15 20151231 99991231 No change B Quality 9020 B‐Mem1 RISKY834 B‐Mem1 should not be negative. RISKY83

FRY15 20141231 99991231 No change C Quality 9030 C1a RISKM377 C1a should not be negative. riskm37

FRY15 20141231 99991231 No change C Quality 9030 C1b RISKM378 C1b should not be negative. riskm37FRY15 20141231 99991231 No change C Quality 9030 C1c RISKM379 C1c should not be negative. riskm37FRY15 20141231 99991231 No change C Quality 9030 C1d RISKM380 C1d should not be negative. riskm38FRY15 20141231 99991231 No change C Quality 9030 C1e RISKM381 C1e should not be negative. riskm38

FRY15 20141231 99991231 No change C Quality 9030 C1f RISKM382 C1f should not be negative. riskm38FRY15 20141231 99991231 No change C Quality 9030 C1g RISKM383 C1g should not be negative. riskm38FRY15 20141231 99991231 No change C Quality 9030 C1h RISKM384 C1h should not be negative. riskm38FRY15 20141231 99991231 No change C Quality 9030 C1i RISKM385 C1i should not be negative. riskm38FRY15 20141231 99991231 No change C Quality 9030 C1j RISKM386 C1j should not be negative. riskm38

FRY15 20141231 99991231 No change C Quality 9030 C1k RISKM387 C1k should not be negative. riskm38

FRY15 20141231 99991231 No change C Quality 9030 C1l RISKM388 C1l should not be negative. riskm38

FRY15 20151231 99991231 No change C Quality 9030 C‐Mem4 RISKM389 C‐Mem4 should not be negative. riskm38FRY15 20141231 99991231 No change C Quality 9030 C3 RISKM405 C3 should not be negative. riskm40FRY15 20141231 99991231 No change C Quality 9030 C4 RISKM406 C4 should not be negative. riskm40

FRY15 20141231 99991231 No change C Quality 9030 C5 RISKM407 C5 should not be negative. riskm40

FRY15 20151231 99991231 No change C Quality 9030 C‐Mem1 RISKY835 C‐Mem1 should not be negative. RISKY83

FRY15 20151231 99991231 No change C Quality 9030 C‐Mem2 RISKY836 C‐Mem2 should not be negative. RISKY83FRY15 20151231 99991231 No change C Quality 9030 C‐Mem3 RISKY837 C‐Mem3 should not be negative. RISKY83FRY15 20141231 99991231 No change D Quality 9040 D1 RISKM409 D1 should not be negative. riskm40FRY15 20141231 99991231 No change D Quality 9040 D2 RISKM410 D2 should not be negative. riskm41FRY15 20141231 99991231 No change D Quality 9040 D4 RISKM412 D4 should not be negative. riskm41FRY15 20131231 99991231 No change D Quality 3095 D6 RISKM414 Sum of D7 and D8 should be less than or equal to D6 (riskn51

FRY15 20141231 99991231 No change D Quality 9040 D7 RISKN510 D7 should not be negative. riskn51

FRY15 20141231 99991231 No change D Quality 9040 D8 RISKN511 D8 should not be negative. riskn51

FRY15 20151231 99991231 No change E Quality 9050 E1 RISKM422 E1 should not be negative. RISKM4FRY15 20141231 99991231 No change E Quality 9050 E2 RISKM423 E2 should not be negative. riskm42

FRY15 20141231 99991231 No change E Quality 3140 E2 RISKM423 E2a should be less than or equal to E2. riskm42

FRY15 20141231 99991231 No change E Quality 9050 E2a RISKM424 E2a should not be negative. riskm42FRY15 20141231 99991231 No change E Quality 9050 E3 RISKM425 E3 should not be negative. riskm42FRY15 20141231 99991231 No change F Quality 9060 F2 RISKM427 F2 should not be negative. riskm42FRY15 20151231 99991231 No change F Quality 3150 F4 RISKM428 F4 should be less than 100 trillion. riskm42

FRY15 20151231 99991231 No change F Quality 3160 F5 RISKM429 F5 should be less than or equal to F4. riskm42FRY15 20151231 99991231 No change F Quality 3170 F3 RISKM430 F3 should be greater than F4. riskm43

FRY15 20151231 99991231 No change F Quality 3180 F5 RISKM429 F5 should be less than 100 trillion. riskm42

FRY15 20151231 99991231 No change F Quality 9060 F6 RISKM432 F6 should not be negative. riskm43FRY15 20151231 99991231 No change F Quality 9060 F7 RISKM433 F7 should not be negative. riskm43FRY15 20151231 99991231 No change F Quality 9060 F8 RISKM434 F8 should not be negative. riskm43

FRY15 20151231 99991231 No change F Quality 9060 F9 RISKM435 F9 should not be negative. riskm43

FRY15 20151231 99991231 No change C Quality 9060 C‐Mem5 RISKM436 C‐Mem5 should not be negative. riskm43FRY15 20151231 99991231 No change F Quality 9060 F10 RISKM437 F10 should not be negative. riskm43FRY15 20161231 99991231 Added G Quality 9070 G1aA RISKY838 G1aA should not be null riskY83FRY15 20161231 99991231 Added G Quality 9070 G1aB RISKY839 G1aB should not be null riskY83

FRY15 20161231 99991231 Added G Quality 9070 G1aC RISKY840 G1aC should not be null riskY84FRY15 20161231 99991231 Added G Quality 9070 G1aD RISKY841 G1aD should not be null risky84

FRY15 20161231 99991231 Added G Quality 9070 G1bA RISKY842 G1bA should not be null riskY84

FRY15 20161231 99991231 Added G Quality 9070 G1bB RISKY843 G1bB should not be null risky84

FRY15 20161231 99991231 Added G Quality 9070 G1bC RISKY844 G1bC should not be null risky84

September 2016 
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 FRY15 20161231 99991231 Added G Quality 9070 G1bD RISKY845 G1bD should not be null risky84

FRY15 20161231 99991231 Added G Quality 9070 G1cA RISKY846 G1cA should not be null risky84

FRY15 20161231 99991231 Added G Quality 9070 G1cB RISKY847 G1cB should not be null risky84FRY15 20161231 99991231 Added G Quality 9070 G1cC RISKY848 G1cC should not be null risky84

FRY15 20161231 99991231 Added G Quality 9070 G1cD RISKY849 G1cD should not be null risky84

FRY15 20161231 99991231 Added G Quality 9070 G1dA RISKY850 G1dA should not be null risky85FRY15 20161231 99991231 Added G Quality 9070 G1dB RISKY851 G1dB should not be null risky85

FRY15 20161231 99991231 Added G Quality 9070 G1dC RISKY852 G1dC should not be null risky85FRY15 20161231 99991231 Added G Quality 9070 G1dD RISKY853 G1dD should not be null risky85

FRY15 20161231 99991231 Added G Quality 9070 G2aA RISKY858 G2aA should not be null risky85

FRY15 20161231 99991231 Added G Quality 9070 G2aB RISKY859 G2aB should not be null risky85FRY15 20161231 99991231 Added G Quality 9070 G2aC RISKY860 G2aC should not be null risky86

FRY15 20161231 99991231 Added G Quality 9070 G2aD RISKY861 G2aD should not be null risky86

FRY15 20161231 99991231 Added G Quality 9070 G2bA RISKY862 G2bA should not be null risky86FRY15 20161231 99991231 Added G Quality 9070 G2bB RISKY863 G2bB should not be null risky86

FRY15 20161231 99991231 Added G Quality 9070 G2bC RISKY864 G2bC should not be null risky86FRY15 20161231 99991231 Added G Quality 9070 G2bD RISKY865 G2bD should not be null risky86

FRY15 20161231 99991231 Added G Quality 9070 G3aA RISKY870 G3aA should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3aB RISKY871 G3aB should not be null risky87FRY15 20161231 99991231 Added G Quality 9070 G3aC RISKY872 G3aC should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3aD RISKY873 G3aD should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3bA RISKY874 G3bA should not be null risky87FRY15 20161231 99991231 Added G Quality 9070 G3bB RISKY875 G3bB should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3bC RISKY876 G3bC should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3bD RISKY877 G3bD should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3cA RISKY878 G3cA should not be null risky87

FRY15 20161231 99991231 Added G Quality 9070 G3cB RISKY879 G3cB should not be null risky87FRY15 20161231 99991231 Added G Quality 9070 G3cC RISKY880 G3cC should not be null risky88

FRY15 20161231 99991231 Added G Quality 9070 G3cD RISKY881 G3cD should not be null risky88

FRY15 20161231 99991231 Added G Quality 9070 G4A RISKY886 G4A should not be null risky88

FRY15 20161231 99991231 Added G Quality 9070 G4B RISKY887 G4B should not be null risky88FRY15 20161231 99991231 Added G Quality 9070 G4C RISKY888 G4C should not be null risky88

FRY15 20161231 99991231 Added G Quality 9070 G4D RISKY889 G4D should not be null risky88

FRY15 20161231 99991231 Added G Quality 9070 G7 RISKY895 G7 should not be null risky89

September 2016