Counterparty Credit Risk/CVA Data Schedule Cover Sheet

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Overview

Cover
1a) Top CPs 95% of Firm CVA
1b) Top 20 CPs by Stressed CVA
1c) Top 20 CPs by Net CE
1d) Top 20 Coll CPs by Gross CE
1e) Agg CVA by ratings and coll
2) EE profile by CP
3) Credit quality by CP
4) CVA sensitivities and slides
5) SFT by Top 20 CP and Agg
Notes to the CCR Schedule

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Sheet 1: Cover

DFAST-14A Counterparty Credit Risk / CVA Data Schedule Cover Sheet
See Counterparty Schedule instructions for guidance on completing this schedule.
Covered institutions should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.
Institution Name:
RSSD ID:
Submission Date (MM/DD/YYYY):
OCC Charter ID:
1d) Top 20 collateralized counterparties ranked by OCC Severely Adverse Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)
1d) Top 20 collateralized counterparties ranked by Bank Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)

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Sheet 2: 1a) Top CPs 95% of Firm CVA

1a) Top counterparties comprising 95% of firm CVA, 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank specification

CSA in place?

% Gross CE with CSAs

Downgrade trigger modeled?

Single Name Credit Hedges

1d) Top 20 collateralized counterparties ranked by Bank Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)

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Sheet 3: 1b) Top 20 CPs by Stressed CVA

1b) Top 20 counterparties ranked by OCC Severely Adverse 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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 Bank 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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 4: 1c) Top 20 CPs by 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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

1c) Top 20 counterparties ranked by OCC Severely Adverse 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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

1c) Top 20 counterparties ranked by Bank 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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 5: 1d) Top 20 Coll CPs by 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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 OCC Severely Adverse 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank Scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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 Bank 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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank Scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank 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: 1e) Agg CVA by ratings and coll

1e) Aggregate CVA by ratings and collateralization

$ Millions

Aggregate CVA

Ratings Category

Exposure Data

CVA Data

Credit Hedges

Internal Rating

External Rating

Gross CE

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank Scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank Specification

Single Name Credit Hedges

N/A

N/A

0

0

0

0

0

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 OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank Scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank Specification

Single Name Credit Hedges

N/A

N/A

Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating

Ratings Category

Exposure Data

CVA Data

Credit Hedges

Internal Rating

External Rating

Gross CE

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank Scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank Specification

Single Name Credit Hedges

Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating

1d) Top 20 collateralized counterparties ranked by OCC Severely Adverse Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)

Exposure Data

CVA Data

Credit Hedges

Internal rating

External rating

Gross CE

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Stressed Net CE OCC Scenario (Severely Adverse)

Stressed Net CE OCC Scenario (Adverse)

Stressed Net CE Bank Scenario

CVA

Stressed CVA OCC Scenario and OCC Specification (Severely Adverse)

Stressed CVA OCC Scenario and OCC Specification (Adverse)

Stressed CVA OCC Scenario and Bank Specification (Severely Adverse)

Stressed CVA OCC Scenario and Bank Specification (Adverse)

Stressed CVA Bank Scenario and Bank Specification

Single Name Credit Hedges

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Sheet 7: 2) EE profile by CP

2) EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA

$ Millions

Counterparty Identifiers

CVA Inputs

Stressed CVA Inputs

Rank

Counterparty name

Counterparty ID

Netting set ID (optional)

Sub-netting set ID (optional)

Industry

Country

Internal Rating

External Rating

Tenor Bucket in Years

EE - Bank Specification

Marginal PD

LGD (CVA)

LGD (PD)

Discount Factor

Stressed EE - OCC Scenario & OCC Specification (Severely Adverse)

Stressed EE - OCC Scenario & OCC Specification (Adverse)

Stressed EE - OCC Scenario & Bank Specification (Severely Adverse)

Stressed EE - OCC Scenario & Bank Specification (Adverse)

Stressed EE - Bank Scenario & Bank Specification

Stressed Marginal PD OCC Scenario (Severely Adverse)

Stressed Marginal PD OCC Scenario (Adverse)

Stressed Marginal PD Bank Scenario

Stressed LGD (CVA) OCC Scenario (Severely Adverse)

Stressed LGD (CVA) OCC Scenario (Adverse)

Stressed LGD (CVA) Bank Scenario

Stressed LGD (PD) OCC Scenario (Severely Adverse)

Stressed LGD (PD) OCC Scenario (Adverse)

Stressed LGD (PD) Bank Scenario

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Sheet 8: 3) Credit quality by CP

3) Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA

Counterparty and Time Identifiers

Data Inputs

Type of Credit Quality Input

Rank

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) OCC Scenario (Severely Adverse)

Stressed spreads (bps) OCC Scenario (Adverse)

Stressed spreads (bps) Bank Scenario

Mapping approach

Proxy mapping approach

Proxy name

Market input type

Ticker / identifier

Report date

Source (Bloomberg, Markit, KMV, etc.)

Comments

1d) Top 20 collateralized counterparties ranked by OCC Severely Adverse Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)

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Sheet 9: 4) CVA sensitivities and slides

4) CVA sensitivities and slides: Change to asset-side CVA for a given change in the underlying, gross of any hedges

$ Millions, Increase in CVA reported as positive figure

Aggregate CVA sensitivities and slides

Sensitivities for Top 10 Counterparties, ranked by 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>>

---

Sheet 10: 5) SFT by Top 20 CP and Agg

5) Securities Financing Transactions (SFT) Profile by Counterparty (Top 20) and Aggregate

$ Millions

Top 20 SFT Counterparties by Cash Posted

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

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

Counterparty identifiers

Credit Quality Data

Exposure Data

US Treasury

Agency MBS

Equities

Corporate Bonds

Non-Agency (ABS, RMBS)

Sovereigns

Other

Cash (+/-)

US Treasury

Agency MBS

Equities

Corporate Bonds

Non-Agency (ABS, RMBS)

Sovereigns

Other

Cash (+/-)

Rank

Counterparty name

Counterparty ID

Netting set ID (optional)

Sub-netting set ID (optional)

Industry

Country

Internal rating

External rating

Net CE

Stressed Net CE Bank scenario

Stressed Net CE OCC scenario

Indemnified Securities Lent (Notional Balance)

Indemnified Cash Collateral Reinvestment (Notional Balance)

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

1

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

Aggregate SFTs by Internal Rating

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

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

Ratings Category

Exposure Data

US Treasury

Agency MBS

Equities

Corporate Bonds

Non-Agency (ABS, RMBS)

Sovereigns

Other

Cash (+/-)

US Treasury

Agency MBS

Equities

Corporate Bonds

Non-Agency (ABS, RMBS)

Sovereigns

Other

Cash (+/-)

Internal rating

External rating

Net CE

Stressed Net CE Bank scenario

Stressed Net CE OCC scenario

Indeminified Securities Lent (Notional Balance)

Indeminified Cash Collateral Reinvestment (Notional Balance)

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

Posted

Received

---

Sheet 11: Notes to the CCR Schedule

Notes to the CCR Schedule