FDIC DFAST-14A Counterparty Credit Risk Template

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Overview

CCR Cover Sheet
CCR Instructions to firms
CCR Data dictionary
1a) CP CVA by top 200 CVA
1b) CP CVA by top 20 Stressed
1c) CP CVA by top 20 Net CE
1d) CP CVA by top 20 Gross CE
1e) Agg CVA by ratings
2a) EE profile by CP
2b) EE profile by ratings
3a) Credit quality by CP
3b) Credit quality by ratings
4) CVA sensitivities

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Sheet 1: CCR Cover Sheet

DFAST-14A Counterparty Credit Risk / CVA Data Schedule Cover Sheet
See tabs "CCR Data Dictionary" and "CCR Instructions to firms" for additional guidance on completing these worksheets.
Covered institutions should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars. Data should not be entered into grayed out cells.
Institution Name:
RSSD ID:
Submission Date (MM/DD/YYYY):
CERT:

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Sheet 2: CCR Instructions to firms

DFAST-14A: CCR data schedule - Instructions

Data format:

Provide the output that meets the criteria outlined below.

Future time buckets (tabs 2a and 2b): The level of granularity of future revaluation time buckets should be at the level used to calculate CVA at the covered institution, and should be as granular as available.

Data format: Provide the data in the format used in this schedule.

1) Readability. Data must be in machine readable format. Tabs 1a, 1b, 1c, and 1d provide data at the counterparty level (unit of observation = counterparty). Tab 2a provides all available data at the counterparty + tenor bucket level (unit of observation = counterparty + tenor bucket). Tab 3a provides data at the counterparty level for each date of market data inputs used.

2) Mergeability. Data analysts must be able to merge the data on each tab based on the counterparty identifiers provided. Unique identifiers must be consistent across tabs. In particular, it must be possible to merge tabs 1a, 2a, and 3a on the variables Counterparty Name, Counterparty ID, industry, country, internal rating, and external rating. If any netting set or sub-netting set IDs are provided on one tab, they must be provided on all tabs. If any counterparties are missing from tab 2a, provide an explanation.

Counterparty identification: All counterparties must have a unique counterparty identifier. In addition, the name of the counterparty should be provided. As discussed above, other unique identifiers may be required depending on the form of the data provided.

Tab Notes to the CCR Schedule

Use this tab(s) to submit voluntarily any additional information (e.g., data) that gives clarity on the portfolio. More than one additional tab may be provided.

If the covered institution elects to provide additional data, this should include an explanation of the additional data and why it is provided. If the data links to data in other tabs of the CCR schedule, then a clear data identifier must be provided such that tabs may be merged if necessary (see mergeability details above).

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Sheet 3: CCR Data dictionary

DFAST-14A:CCR data dictionary
TAB	DATA FIELD	DESCRIPTION / DEFINITION
All tabs: Counterparty identifiers	Counterparty	Generally speaking, a “counterparty” should be defined at the level at which the covered institution calculates credit valuation adjustment (CVA). For many counterparties, all netting sets within the parent company will be a single counterparty; however if there are different market spreads attached to different legal entities, those should be considered separate counterparties.
	Counterparty name	Counterparty name should be a recognizable name rather than a code.
	Counterparty ID	Counterparty identifier.
	Netting set ID (optional)	This field is optional. Netting sets should map to ISDA master agreements.
	Sub-netting set ID (optional)	This field is optional. Used if your covered institution calculates CVA below the netting set level.
	Industry	Use the industries that are provided in the drop down menu in each of the relevant tabs, which are broken down into the following categories: Banks, Financial guarantors / monolines, SPVs, Other financials, Non-financial corporates, Sovereigns, Local authorities, Other.
	Country	Country of domicile of the counterparty. See above for definition of a counterparty. Countries should be identified using the two-letter codes available at http://www.iso.org/iso/country_codes/iso_3166_code_lists/country_names_and_code_elements.htm.
	Internal rating	The covered institution's internal rating of the counterparty. If there are multiple ratings associated with the different netting sets of the counterparty, the mean or median internal rating should be used. Elaborate in the documentation the approach to selecting the internal rating for these types of counterparties. As a reminder, even if there are multiple internal ratings for a counterparty, there is always only one CDS for that counterparty. All data should be reported at the level at which CVA is calculated; thus every counterparty must have only one CDS spread associated with it. See above for definition of a counterparty.
	External rating	The external rating associated with the counterparty's internal rating, not the external rating associated with the specific counterparty. Provide an external rating from a Nationally Recognized Statistical Rating Organization (NRSRO).
1) CVA	Gross CE	Gross CE (sometimes referred to as the replacement cost or current credit exposure) is the fair value of a derivative contract when that fair value is positive. Gross CE is zero when the fair value is negative or zero. For purposes of this schedule, Gross CE to an individual counterparty should be derived as follows: Determine whether a legally enforceable bilateral netting agreement is in place between the covered institution and the counterparty. If such an agreement is in place, the fair values of all applicable derivative contracts with that counterparty that are included in the scope of the netting agreement are netted to a single amount, which may be positive, negative, or zero. Report Gross CE when the fair value is positive, report it as a zero when the fair value is negative or zero.
	Stressed Gross CE	The full revaluation of Gross CE under stressed conditions.
	Net CE	The sum of positive Gross CE netting agreements for a given counterparty less the value of collateral posted by the counterparty to secure those trades. Net CE should be reported after counterparty netting and after collateral. Net CE should reflect any excess collateral posted by the covered institution to the counterparty.
	Stressed Net CE	The full revaluation of Net CE under stressed conditions. Hold collateral constant; assume no additional collection of collateral.
	CVA	The balance of all credit valuation adjustments (CVA), gross of hedges, for asset-side, unilateral CVA. Report CVA as a positive value. CVA is an adjustment made to the market or fair value of derivatives receivables to take into account the credit risk of a counterparty. This is different from "Net CVA", which would be equivalent to CVA less debt valuation adjustment (DVA). Provide an explanation for counterparties where this does not hold (e.g., adjustments). By requiring unilateral CVA, the default risk of the counterparty should not be conditioned on the survival of the reporting institution.
	Stressed CVA	The full revaluation of asset-side CVA under stressed conditions. Stressed CVA should incorporate the full revaluation of exposure, probability of default (PD), and loss given default (LGD) under stressed conditions. Stressed CVA only needs to be calculated for the covered institution specification, under both the covered institution and FDIC scenarios.
	CSA in place?	Indication of whether at least one of the netting sets comprising this counterparty has a legally enforceable collateral agreement, for example, Credit Support Annex (CSA), in place. "Y" for yes, "N" for no.
	% Gross CE with CSAs	Percentage of Gross CE that is associated with netting sets that have a legally enforceable collateral agreement in place. For example, if there are two netting sets, one collateralized and one not, with equal Gross CEs in both netting sets, fill in 50%.
	Downgrade trigger modeled?	For the covered institution specification, indication of whether at least one of the netting sets comprising this counterparty has an Expected Exposure (EE) profile where a downgrade trigger is modeled. "Y" for yes, "N" for no.
	Single name credit hedges	The net notional amount of single name credit hedges on the default of the counterparty. Only a single name CDS hedge of the counterparty should be reported. Report net bought positions as positive.
	Aggregate CVA and stressed CVA	The difference between Aggregate Stressed CVA and Aggregate CVA should equal the CVA losses reported in the SUMMARY_SCHEDULE (Item 2 on the Counterparty Risk Worksheet). If this is not the case for your covered institution, provide a rationale in the methodology documentation.
	Additional/ offline CVA reserves	Additional or offline CVA reserves are reported here. If there is a Gross CE or a Net CE figure associated with these reserves, those should be reported as well. If not, enter "0". Accompanying documentation should elaborate about the nature of these reserves.
	Collateralized counterparty	A collateralized counterparty is a counterparty with at least one netting set with a legally enforceable collateral agreement in place.
	Collateralized netting set	Netting sets with a CSA agreement in place.
2) EE profile	Tenor bucket in years	The time provided should be as granular as possible. Use years as the unit. For example, if the time is 6 months, the covered institution should report “0.5” not “6”. Tenor buckets are defined as the time between time t and time t-1. Therefore if the value provided is one year, and the previous time provided is 6 months, the tenor bucket over which marginal (forward) probabilities of default is calculated would be from 6 months to one year. Typically expected exposure (EE) will be calculated at time t (the endpoint of the tenor bucket). If not, clarify if the value provided corresponds to a midpoint during the tenor bucket, an average, or some other value. The level of granularity of future revaluation time buckets should be at the level used to calculate CVA at the covered institution, and the data provided should be as granular as available.
	EE - Covered institution specification	The (unstressed) Expected Exposure (EE) metric used to calculate CVA for each tenor bucket. Along each simulation path, the exposure at time t used to estimate EE(t) should be non-negative; if any exposures along a simulation path calculated at time t are negative, these should be set to 0 before calculating the expected value. The EE reference point refers to the end-point of the time bucket between time t and t-1. A time bucket is considered the time between time t and time t-1. Indicate in separate methodology notes if another approach is used (e.g., average over time bucket, mid- point). EE (unstressed) calculated using the covered institution's own specification.
	Marginal PD	Value provided should be the interpolated unilateral marginal PD for each time bucket between time t and t-1. For most covered institutions, marginal PD will reflect default probability over tenor bucket and be equivalent to the difference between the cumulative PD at the beginning and the end of the tenor bucket. If not, provide additional explanation. PDs should not be conditioned on the survival of the covered institution.
	LGD (CVA)	Loss Given Default (1-Recovery Rate) used to calculate CVA.
	LGD (PD)	Loss Given Default (1-Recovery Rate) used to calculate PDs from spreads. If the LGDs used to calculate PDs are different from the LGDs used to calculate CVA, provide a rationale in the methodology documentation as requested in the Summary Instructions.
	Discount factor	The discount factor should be roughly equal to e-zt or (1+z)-t, where z is the value of the zero curve at time t for the LIBOR or some other "risk free" rate.
	Stressed EE - FDIC scenario & FDIC specification	Stressed EE calculated under the FDIC shock scenario using the FDIC specification. Calculate the EE under the FDIC specification with a 10 day margin period of risk (MPOR) for all counterparties, and exclude the collection of additional collateral due to downgrade of a counterparty (i.e., downgrade triggers).
	Stressed EE - FDIC scenario & Coverd institution specification	Stressed EE calculated under the FDIC shock scenario using the covered institution's own specification. If MPOR and downgrade trigger assumptions are the same as in the FDIC specification, this field may be populated with N/A.
	Stressed EE - Covered institution scenario & Covered institution specification	Stressed EE calculated under the covered institution shock scenario using the covered institution's own specification.
	Stressed marginal PD	The (unilateral) marginal PD associated with the counterparty's stressed spread. PDs should not be conditioned on the survival of the covered institution.
	Stressed LGD (CVA)	LGD used to calculate CVA in the stressed scenario.
	Stressed LGD (PD)	LGD used to calculate PD in the stressed scenario.
	EE (by ratings)	The sum of the EEs for the aggregate CVA by internal ratings category.
	Marginal PD and Stressed marginal PD (Avg.) (by ratings)	Value provided should be the average marginal PD expected exposure-weighted across all counterparties by internal ratings category for each time bucket between time t and t-1. Stressed marginal PDs should be weighted by stressed expected exposures. All PDs should be unilateral (i.e., PDs should not be conditioned on the survival of the reporting covered institution.)
	LGD and Stressed LGD (Avg.) (by ratings)	Average Loss Given Default (1-Recovery Rate) weighted by marginal PD and expected exposure for each time bucket between time t and t-1, across all counterparties within each internal ratings category. Stressed LGDs should be weighted by stressed marginal PDs and stressed expected exposures.
	Stressed EE (by ratings)	The sum of the full revaluation of the EE profile under stressed conditions by internal ratings category.
3) Credit Quality	Time period	The date for which the CDS (or other input) applies. For a one year CDS spread, enter "1". For grid pricing, do not enter the interpolated CDS spreads. Enter only the dates for which market data was available.
	Market spread (bps)	Enter the market value. If this value comes from a proxy grid, enter the value from the grid. The whole grid is not necessary. For example, if the grid is computed based on 1, 3, 5, and 10 years spreads, enter only 1, 3, 5, and 10 year data. All spread data should be reported as the all-in-cost spread, with any upfront costs incorporated into the current all-in spread.
	Spread adjustment (bps)	Provide the amount and operator (e.g., "*" and "+") of adjustments (in bps), if any, applied to the market spread. This may be zero or blank if no add-on is used.
	Spread (bps) used in CVA calculation	Enter the value used in the CVA calculation. This may be left blank if the market spread of the single name or proxy is used without any adjustment.
	Stressed spreads	The stressed values of CDS spreads used in the stressed CVA calculation.
	Mapping approach	Use the drop-down menu to indicate the type of proxy mapping approach used. Fill in this field with either Single name own or Proxy. Single name own means that the single name reference entity is the same as the counterparty name. Proxy means that the counterparty's own spread was not used; rather, a proxy spread was used.
	Proxy mapping approach	Use the drop-down menu to indicate the type of proxy mapping approach used. Single name - related party, Industry (indicate the type of industry), Ratings class (indicate the rating; e.g., AAA, AA), Industry-rating, Industry-rating-geography, and Other. This field may be left blank when mapping approach is Single name own.
	Proxy name	Identify the specific proxy used.
	Market input type	Select from the options provided (e.g., CDS spreads, Bond Spread, EDF).
	Ticker / identifier	Where applicable, enter the ticker number used (e.g., CDX IG AA, single name ticker).
	Report date	Enter the date of the market data.
	Source	Enter the source of the market data (e.g., Bloomberg, Markit).
	Comments	Enter any relevant comments.
	Average spread (bps) used in CVA calculation (by ratings)	Enter the average (exposure-weighted) value used in the CVA calculation across all counterparties by internal ratings category.
	Stressed spreads (by ratings)	Enter the average (exposure-weighted) value used in the CVA calculation across all counterparties by internal ratings category for each time period.
4) CVA sensitivities	Aggregate CVA sensitivities and slides	Change in aggregate asset-side CVA for a given change in the underlying risk factor. A sensitivity refers to a 1 unit change in the risk factor, and a slide refers to a larger change in the risk factor. Report an increase in CVA as a positive figure. Reported figures should be gross of CVA hedges. The covered institution may provide their own values for slides (e.g., +20bps instead of +10bps). However, if a covered institution chooses to report slides other than those listed, at least one slide must be consistent with the size of the shock to that risk factor under the FDIC scenario. All slides should be reported only if they are based on a full revaluation of the portfolio given the change in the risk factor; slides should not be reported if they are simple linear scaling of the associated sensitivity. At a minimum there should be slides that represent a significant positive and negative move for that risk factor. For credit, when a basis point move is requested, this refers to an absolute move in the risk factor, and when a percentage move is requested, this refers to the relative move in the risk factor.
	Sensitivities for top 10 counterparties (ranked by CVA)	Change in CVA of each counterparty for a given change in the underlying risk factor. Report an increase in CVA as a positive figure. Reported sensitivities should be gross of CVA hedges.
	Other material sensitivities	Material sensitivities are other large and/or important risk factors for the covered institution. Add the relevant risk factors for the covered institution. Make sure that the label clearly identifies the risk factor. If an additional risk factor is provided that is not listed in the template, provide a description of this sensitivity in the tab Notes to the CCR Schedule. For example, for equity indices, include a reference to the country or region to which index corresponds.
Notes to the CCR Schedule		Use this tab(s) to voluntarily submit additional information to give clarity on the portfolio.

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Sheet 4: 1a) CP CVA by top 200 CVA

	1a) Top 200 counterparties ranked by CVA
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
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3
4
5
6
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10
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14
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200

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Sheet 5: 1b) CP CVA by top 20 Stressed

	1b) Top 20 counterparties ranked by FDIC Scenario Stressed CVA
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	1b) Top 20 counterparties ranked by Covered Institution Scenario Stressed CVA
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

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Sheet 6: 1c) CP CVA by top 20 Net CE

	1c) Top 20 counterparties ranked by Net CE
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
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15
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17
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19
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	1c) Top 20 counterparties ranked by FDIC Scenario Stressed Net CE
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
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15
16
17
18
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	1c) Top 20 counterparties ranked by Covered Institution Scenario Stressed Net CE
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

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Sheet 7: 1d) CP CVA by top 20 Gross CE

	1d) Top 20 collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	1d) Top 20 collateralized counterparties ranked by FDIC Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
	1d) Top 20 collateralized counterparties ranked by Covered Institution Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)
	$ Millions
	Counterparty identifiers						Credit Quality Data		Exposure Data						CVA Data			Credit mitigants			Credit Hedges
Rank	Counterparty name	Counterparty ID	Netting set ID (optional)	Sub-netting set ID (optional)	Industry	Country	Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	CSA in place?	% Gross CE with CSAs	Downgrade trigger modeled?	Single Name Credit Hedges
1
2
3
4
5
6
7
8
9
10
11
12
13
14
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16
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19
20

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Sheet 8: 1e) Agg CVA by ratings

1e) Aggregate CVA by ratings and collateralization
$ Millions
Aggregate
Ratings Category		Exposure Data						CVA Data			Credit Hedges
Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	Single Name Credit Hedges
N/A	N/A	0	0	0	0	0	0	0	0	0	0
Additional/ offline CVA reserves
Ratings Category		Exposure Data						CVA Data			Credit Hedges
Internal Rating	External Rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	Single Name Credit Hedges
N/A	N/A
Collateralized netting sets (netting sets with a CSA agreement in place)
Ratings Category		Exposure Data						CVA Data			Credit Hedges
Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	Single Name Credit Hedges
Uncollateralized netting sets (netting sets without a CSA agreement in place)
Ratings Category		Exposure Data						CVA Data			Credit Hedges
Internal rating	External rating	Gross CE	Stressed Gross CE FDIC scenario	Stressed Gross CE Covered Institution scenario	Net CE	Stressed Net CE FDIC scenario	Stressed Net CE Covered Institution scenario	CVA	Stressed CVA FDIC scenario and Covered Institution specification	Stressed CVA Covered Institution scenario and Covered Institution specification	Single Name Credit Hedges

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Sheet 9: 2a) EE profile by CP

2a) EE profile by counterparty, top 200 counterparties

$ Millions

Counterparty identifiers

CVA Inputs

Stressed CVA Inputs

Counterparty name

Counterparty ID

Netting set ID (optional)

Sub-netting set ID (optional)

Industry

Country

Internal rating

External rating

Tenor bucket in years

EE - Covered Institution specification

Marginal PD

LGD (CVA)

LGD (PD)

Discount factor

Stressed EE - FDIC scenario & FDIC specification

Stressed EE - FDIC scenario & Covered Institution specification

Stressed EE - Covered Institution scenario & Covered Institution specification

Stressed marginal PD FDIC scenario

Stressed marginal PD Covered Institution Scenario

Stressed LGD (CVA) FDIC scenario

Stressed LGD (CVA) Covered Institution Scenario

Stressed LGD (PD) FDIC scenario

Stressed LGD (PD) Covered Institution Scenario

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Sheet 10: 2b) EE profile by ratings

2b) EE profile by ratings, aggregate data

$ Millions

Ratings Category

CVA Inputs

Stressed CVA Inputs

Internal rating

External rating

Tenor bucket in years

EE - Covered Institution specification

Marginal PD (Avg.)

LGD (CVA) (Avg.)

LGD (PD) (Avg.)

Discount factor (Avg.)

Stressed EE - FDIC scenario & FDIC specification

Stressed EE - FDIC scenario & Covered Institution specification

Stressed EE - Covered Institution scenario & Covered Institution specification

Stressed Marginal PD FDIC scenario

Stressed Marginal PD Covered Institution Scenario

Stressed LGD (CVA) FDIC scenario

Stressed LGD (CVA) Covered Institution Scenario

Stressed LGD (PD) FDIC scenario

Stressed LGD (PD) Covered Institution Scenario

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Sheet 11: 3a) Credit quality by CP

3a) Credit quality by counterparty

Counterparty and time identifiers

Data inputs

Type of credit quality input

Counterparty name

Counterparty ID

Netting set ID (optional)

Sub-netting set ID (optional)

Industry

Country

Internal rating

External rating

Time period (years)

Market spread (bps)

Spread adjustment (bps)

Spread (bps) used in CVA calculation

Stressed spreads (bps) FDIC scenario

Stressed spreads (bps) Covered Institution Scenario

Mapping approach

Proxy mapping approach

Proxy name

Market input type

Ticker / identifier

Report date

Source (Bloomberg, Markit, KMV, etc.)

Comments

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Sheet 12: 3b) Credit quality by ratings

3b) Credit quality by ratings
Ratings categories and time identifiers			Data inputs
Internal rating	External rating	Time period (years)	Average spread (bps) used in CVA calculation	Stressed spreads (bps) FDIC scenario	Stressed spreads (bps) Covered Institution scenario	Comments

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Sheet 13: 4) CVA sensitivities

4) CVA sensitivities and slides

$ Millions

Change to asset-side CVA for a given change in the underlying, gross of any hedges (an increase in CVA should be reported as a positive figure)

Notes:

Blank cells below will be interpreted as a zero; if a data point is not available, insert "N/A"

Cells shaded gray do not need to be filled in

Aggregate CVA sensitivities and slides

Sensitivities for top 10 counterparties (ranked by unstressed CVA)

Top 1 Cpty

Top 2 Cpty

Top 3 Cpty

Top 4 Cpty

Top 5 Cpty

Top 6 Cpty

Top 7 Cpty

Top 8 Cpty

Top 9 Cpty

Top 10 Cpty

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert name>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

<<insert Cpty ID>>

Credit Spreads

-50%

-10%

+1bp

+10%

+100%

+300%

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

Counterparty Spread

Aggregate

Aggregate by rating:

AAA

AA

A

BBB

BB

B

CCC

CC

C

NR

Reference Spread

Aggregate

Aggregate by rating:

AAA

AA

A

BBB

BB

B

CCC

CC

C

NR

Interest Rates (bps)

-100bps

-10bps

+1bp

+10bps

+100bps

+300bps

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

1bp

EUR

<=1Y

1-5Y

>=5-10Y

>=10Y

All Maturities

GBP

<=1Y

1-5Y

>=5-10Y

>=10Y

All Maturities

USD

<=1Y

1-5Y

>=5-10Y

>=10Y

All maturities

Other material IR sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

FX (%)

-50%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

EUR

GBP

Other material FX sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

Equity (%)

-50%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

US <<Define>>

Europe <<Define>>

Other <<Define>>

Other material equity sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

<<Insert name/ definition>>

Commodities (%)

-50%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

Oil & Oil Products

Natural Gas

Power

Coal & Freight

Softs & Ags

Precious Metals

Base Metals

Other material commodity sensitivities

<<Insert name/ definition>>

<<Insert name/ definition>>

Other material sensitivities

-50

-10

+1

+10

+100

+300

+1

+1

+1

+1

+1

+1

+1

+1

+1

+1

<<Insert name/ definition/units>>

<<Insert name/ definition/units>>

<<Insert name/ definition/units>>

-50%

-10%

+1%

+10%

+100%

+300%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

<<Insert name/ definition/units>>

<<Insert name/ definition/units>>

<<Insert name/ definition/units>>