Counter Party Risk Template

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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 Exposure
6) Derivs Exposure
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 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 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 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 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 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 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 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 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 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 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

Gross CE of which is to CCPs

Stressed Gross CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Gross CE of which is to CCPs OCC Scenario (Adverse)

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Net CE of which is to CCPs

Stressed Net CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Net CE of which is to CCPs OCC Scenario (Adverse)

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 Bank Scenario and Bank Specification

Single Name Credit Hedges

N/A

N/A

Additional/Offline CVA reserves

Ratings Category

Exposure Data

CVA Data

Credit Hedges

Internal Rating

External Rating

Gross CE

Gross CE of which is to CCPs

Stressed Gross CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Gross CE of which is to CCPs OCC Scenario (Adverse)

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Net CE of which is to CCPs

Stressed Net CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Net CE of which is to CCPs OCC Scenario (Adverse)

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 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

Gross CE of which is to CCPs

Stressed Gross CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Gross CE of which is to CCPs OCC Scenario (Adverse)

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Net CE of which is to CCPs

Stressed Net CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Net CE of which is to CCPs OCC Scenario (Adverse)

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 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

Gross CE of which is to CCPs

Stressed Gross CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Gross CE of which is to CCPs OCC Scenario (Adverse)

Stressed Gross CE OCC Scenario (Severely Adverse)

Stressed Gross CE OCC Scenario (Adverse)

Stressed Gross CE Bank scenario

Net CE

Net CE of which is to CCPs

Stressed Net CE of which is to CCPs OCC Scenario (Severely Adverse)

Stressed Net CE of which is to CCPs OCC Scenario (Adverse)

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 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)

Discount Factor

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

Stressed EE - OCC Scenario & OCC 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 Exposure

All CCPs and G7 sovereigns + Top 25 non-CCP/G7 SFT counterparties sorted and ranked by OCC stressed net current exposure [for 14A].

For the Y14A provide one table for each of the OCC stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.

Report each CP legal entity (within a parent/consolidated CP) and (close-out) netting agreement separately. If there is more than one business line, list each one separately. List all netting agreements with a given CP legal entity consecutively.

$ Millions

Sub-schedule L.5.1 - Aggregate SFT information by CP legal entity and master netting agreement

Counterparty, Netting Agreement identifiers

Master Netting Agreement

Exposure and Collateral MtM Values

Credit Quality

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Industry

Country

Internal rating

External rating

Agreement Type

Agreement Role

Agreement Detail

Netting Level

Netting Set Detail

Legal Enforceability

WWR position

Total Net Stressed CE OCC scenario (Severely Adverse)

Toal Net Stressed CE OCC scenario (Adverse)

Net Stressed CE OCC scenario (Severely Adverse)

Net Stressed CE OCC scenario (Adverse)

Stressed MtM Posted OCC scenario (Severely Adverse)

Stressed MtM Received OCC scenario (Severely Adverse)

Stressed MtM Posted OCC scenario (Adverse)

Stressed MtM Received OCC scenario (Adverse)

Net CE

MtM Posted

MtM Received

CP Credit Entity Type

CP Credit Spread (bp)

CP Legal Entity Identifier

CP Stressed Spread OCC scenario (Adverse)

CP Stressed Spread OCC scenario (Severely Adverse)

1

CPName1

CP1

CP1_Legal_Ent_1

NA1_1_1

Cross-product (combined)

Agent

Proprietary - MNA with SLA and MRA

CPEntity-Principal

Liquid

Y

None

2

CPName1

CP1

CP1_Legal_Ent_1

NA1_1_2

Cross-product (combined)

Agent

Proprietary - MNA with SLA and MRA

CPEntity-Principal

Less Liquid

Y

None

3

CPName2

CP2

CP2_Legal_Ent_1

NA2_1_1

Repo

Principal

GMRA (2011 version)

CPEntity-Principal

Liquid

Y

None

4

CPName3

CP3

CP3_Legal_Ent_1

NA3_1_1

Sec Lending

Agent

MSLA (2005 version) - Indemnified sec lending

Client

Liquid

Y

None

5

CPName3

CP3

CP3_Legal_Ent_2

NA3_2_1

Sec Lending

Agent

GMSLA (2010 version)

Client

Liquid

Y

None

6

CPName4

CP4

CP4_Legal_Ent_2

NA4_1_1

Sec Lending

Principal

MSLA (2005 version, modified)

CPEntity-Principal

Liquid

N

Specific

…

Report unstressed MtM values for each of the product categories below, for all of the CP legal entities and netting agreements listed in the table above.

For the Y14A provide one table of unstressed and corresponding stressed MtM values for each of the OCC stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.

Report MtM values for both posted and received sides, irrespective of whether close-out netting is legally enforceable or not.

$ Millions

Sub-schedule L.5.2 - SFT exposure MtM values by CP legal entity and master netting agreement

Counterparty identifiers

Unstressed MtM (Posted)

Unstressed MtM (Received)

Stressed MtM (Posted)

Stressed MtM (Received)

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Central Debt MtM (Posted)

Equity MtM (Posted)

Corporate Bonds Advanced Economies MtM (Posted)

Corporate Bonds, Other Economies MtM (Posted)

ETF (Posted)

US Agency MBS/CMBS MtM (Posted)

Non-Agency RMBS/ABS/CMBS MtM (Posted)

Cash MtM (Posted)

Other MtM (Posted)

Central Debt MtM (Received)

Equity MtM (Received)

Corporate Bonds Advanced Economies MtM (Received)

Corporate Bonds, Other Economies MtM (Received)

ETF (Received)

US Agency MBS/CMBS MtM (Received)

Non-Agency RMBS/ABS/CMBS MtM (Received)

Cash MtM (Received)

Other MtM (Received)

Central Debt MtM (Posted)

Equity MtM (Posted)

Corporate Bonds Advanced Economies MtM (Posted)

Corporate Bonds, Other Economies MtM (Posted)

ETF (Posted)

US Agency MBS/CMBS MtM (Posted)

Non-Agency RMBS/ABS/CMBS MtM (Posted)

Cash MtM (Posted)

Other MtM (Posted)

Central Debt MtM (Received)

Equity MtM (Received)

Corporate Bonds Advanced Economies MtM (Received)

Corporate Bonds, Other Economies MtM (Received)

ETF (Received)

US Agency MBS/CMBS MtM (Received)

Non-Agency RMBS/ABS/CMBS MtM (Received)

Cash MtM (Received)

Other MtM (Received)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

1

2

…

25

Sub-schedule L.5.3 - 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

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 BHC 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

Posted

Received

Sub-schedule L.5.1.a - Aggregate SFT information by CP legal entity and master netting agreement (as ranked by Stressed Net CE OCC scenario (Adverse))

Counterparty, Netting Agreement identifiers

Master Netting Agreement

Exposure and Collateral MtM Values

Credit Quality

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Industry

Country

Internal rating

External rating

Author: The "cross-product (combined)" agreement allows netting across repo/rev repo and securities lending/borrowing positions. Agreement

Agreement Type

Agreement Detail

Netting Level

Netting Set Detail

Specify if close-out netting is legally enforceable, per the CP's jurisdiction. Legal Enforceability

Author: Choose "None" only if none of the trades under the netting set are WWR positions. WWR position

Total Net Stressed CE OCC scenario (Severely Adverse)

Toal Net Stressed CE OCC scenario (Adverse)

Stressed Net CE OCC scenario (Severely Adverse)

Stressed Net CE OCC scenario (Adverse)

Stressed MtM Posted OCC scenario (Severely Adverse)

Stressed MtM Received OCC scenario (Severely Adverse)

Stressed MtM Posted OCC scenario (Adverse)

Stressed MtM Received OCC scenario (Adverse)

Unstressed Net CE

Unstressed MtM Posted

Unstressed MtM Received

CP Credit Entity Type

CP Credit Spread (bp)

CP Credit Recovery

CP Legal Entity Identifier

CP Stressed Spread OCC scenario (Adverse)

CP Stressed Spread OCC scenario (Severely Adverse)

1

CPName1

CP1

CP1_Legal_Ent_1

NA1_1_1

Cross-product (combined)

Agent

Proprietary - MNA with SLA and MRA

CPEntity-Principal

Liquid

Y

None

2

CPName1

CP1

CP1_Legal_Ent_1

NA1_1_2

Cross-product (combined)

Agent

Proprietary - MNA with SLA and MRA

CPEntity-Principal

Less Liquid

Y

None

3

CPName2

CP2

CP2_Legal_Ent_1

NA2_1_1

Repo

Principal

GMRA (2011 version)

CPEntity-Principal

Liquid

Y

None

4

CPName3

CP3

CP3_Legal_Ent_1

NA3_1_1

Sec Lending

Agent

MSLA (2005 version) - Indemnified sec lending

Client

Liquid

Y

None

5

CPName3

CP3

CP3_Legal_Ent_2

NA3_2_1

Sec Lending

Agent

GMSLA (2010 version)

Client

Liquid

Y

None

6

CPName4

CP4

CP4_Legal_Ent_2

NA4_1_1

Sec Lending

Principal

MSLA (2005 version, modified)

CPEntity-Principal

Liquid

N

Specific

…

Report unstressed MtM values for each of the product categories below, for all of the CP legal entities and netting agreements listed in the table above.

For the Y14A provide one table of unstressed and corresponding stressed MtM values for each of the OCC stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.

Report MtM values for both posted and received sides, irrespective of whether close-out netting is legally enforceable or not.

$ Millions

Sub-schedule L.5.2.a - SFT exposure MtM values by CP legal entity and master netting agreement (as ranked by Stressed Net CE OCC scenario (Adverse))

Counterparty identifiers

Unstressed MtM (Posted)

Unstressed MtM (Received)

Stressed MtM (Posted)

Stressed MtM (Received)

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Central Debt MtM (Posted)

Equity MtM (Posted)

Corporate Bonds Advanced Economies MtM (Posted)

Corporate Bonds, Other Economies MtM (Posted)

ETF (Posted)

US Agency MBS/CMBS MtM (Posted)

Non-Agency RMBS/ABS/CMBS MtM (Posted)

Cash MtM (Posted)

Other MtM (Posted)

Central Debt MtM (Received)

Equity MtM (Received)

Corporate Bonds Advanced Economies MtM (Received)

Corporate Bonds, Other Economies MtM (Received)

ETF (Received)

US Agency MBS/CMBS MtM (Received)

Non-Agency RMBS/ABS/CMBS MtM (Received)

Cash MtM (Received)

Other MtM (Received)

Central Debt MtM (Posted)

Equity MtM (Posted)

Corporate Bonds Advanced Economies MtM (Posted)

Corporate Bonds, Other Economies MtM (Posted)

ETF (Posted)

US Agency MBS/CMBS MtM (Posted)

Non-Agency RMBS/ABS/CMBS MtM (Posted)

Cash MtM (Posted)

Other MtM (Posted)

Central Debt MtM (Received)

Equity MtM (Received)

Corporate Bonds Advanced Economies MtM (Received)

Corporate Bonds, Other Economies MtM (Received)

ETF (Received)

US Agency MBS/CMBS MtM (Received)

Non-Agency RMBS/ABS/CMBS MtM (Received)

Cash MtM (Received)

Other MtM (Received)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

USD

Germany

UK/France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Other Economies (specify)

IG

Sub-IG

IG

Sub-IG

Equity

Fixed Income

Pass-Throughs

Other (specify)

Investment Grade

Non-Investment Grade

USD

EUR

GBP

JPY

Other

Inflation-indexed securities

Commercial paper

Municipals

Other (specify)

1

2

…

25

---

Sheet 11: 6) Derivs Exposure

All CCPs and G7 Sovereigns + Top 25 non-CCP/G7 Derivatives counterparties sorted and ranked by OCC stressed net current exposure [for 14A]. Rank CCPs by initial margin posted + default fund contribution.

For the Y14A provide one table for each of the OCC stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.

Report each CP legal entity (within a parent/consolidated CP) and (close-out) netting agreement separately. If there is more than one business line, list each one separately. List all netting agreements with a given CP legal entity consecutively.

$ Millions

Sub-schedule L.6.1 - Aggregate derivative information by counterparty legal entity and master netting agreement

Counterparty, Netting Agreement identifiers

Master Netting Agreement

Stressed Current Exposure

Exposure MtM Values

Collateral MtM Values

Credit Quality and CDS Hedges

Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Industry

Country

Rating

CSA Type

Independent Amount (non CCP) or Initial Margin (CCP)

Non-cash collateral type

Excess Variation Margin (for CCPs)

Default Fund (for CCPs)

Threshold CP

Threshold BHC

Minimum Transfer Amount CP

Minimum Transfer Amount BHC

Margining frequency

CSA contractual features (non-vanilla)

WWR position

Total Net Stressed CE OCC Scenario (Severely Adverse)

Total Net Stressed CE OCC Scenario (Adverse)

Net Stressed CE OCC Scenario (Severely Adverse)

Net Stressed CE OCC Scenario (Adverse)

Unstressed MtM Exposure

Stressed Exposure MtM OCC scenario (Severely Adverse)

Stressed Exposure MtM OCC scenario (Adverse)

Total Unstressed MtM Cash Collateral (non CCPs)

USD

EUR

GBP

JPY

Other

Total Unstressed MtM Collateral (non CCPs)

Stressed Cash Collateral MtM OCC scenario (Severely Adverse)

Stressed Cash Collateral MtM OCC scenario (Adverse)

Stressed Total Collateral MtM OCC scenario (Severely Adverse)

Stressed Total Collateral MtM OCC scenario (Adverse)

CDS Reference Entity Type

5Y CDS Spread (bp)

CDS Recovery

CP Legal Entity Identifier

WWR hedge?

CDS Hedge Notional

CDS Hedge CR01

5Y CDS Stressed Spread OCC scenario (Adverse)

5Y CDS Stressed Spread OCC scenario (Severely Adverse)

CDS Stressed CR01 OCC scenario (Adverse)

CDS Hedge Stressed CR01

Stressed CVA OCC scenario (Adverse)

Stressed CVA OCC scenario (Severely Adverse)

1

CPName1

CP1

CP1_Legal_Ent_1

NS1_1_1

None

2

CPName2

CP2

CP2_Legal_Ent_1

NS2_1_1

None

3

CPName2

CP2

CP2_Legal_Ent_1

NS2_1_2

None

4

CPName2

CP2

CP2_Legal_Ent_2

NS2_2_1

None

5

CPName3

CP3

CP3_Legal_Ent_1

NS3_1_1

None

6

CPName4

CP4

CP4_Legal_Ent_1

NS4_1_1

Specific

7

CPName5

CP5

CP5_Legal_Ent_1

NS5_1_1

General

…

Report unstressed MtM values for each of the product categories below, for all of the CP legal entities and netting agreements listed in the table above.

For the Y14A provide one table of unstressed and corresponding stressed MtM values for each of the OCC stress scenarios ranked by the corresponding stressed net CE of the parent/consolidated CP.

$ Millions

Sub-schedule L.6.2 - Derivative exposure MtM values by CP legal entity and master netting agreement

Counterparty identifiers

Unstressed Exposure MtM by Asset category

Stressed Exposure MtM by Asset category

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Vanilla Interest Rate Derivatives, MTM

Vanilla FX Derivatives, MtM

Vanilla Commodity (Cash) Derivatives MtM

Vanilla Credit Derivatives, MtM

Vanilla Equity Derivatives, MtM

Structured Interest Rate Derivatives, MTM

Flow Exotic and Structured FX Derivatives, MtM

Other Cash + Physical Commodity Derivatives MtM

Other (single name) Credit Derivatives, MtM

Structured (Multi-name) Credit Derivatives, MtM

Exotic Equity Derivatives, MtM

Hybrids MtM

Structued Products (MBS, ABS)

Other MtM (provide details, breakdown)

Vanilla Interest Rate Derivatives, MTM

Vanilla FX Derivatives, MtM

Vanilla Commodity (Cash) Derivatives MtM

Vanilla Credit Derivatives, MtM

Vanilla Equity Derivatives, MtM

Structured Interest Rate Derivatives, MTM

Flow Exotic and Structured FX Derivatives, MtM

Other Cash + Physical Commodity Derivatives MtM

Other (single name) Credit Derivatives, MtM

Structured (Multi-name) Credit Derivatives, MtM

Exotic Equity Derivatives, MtM

Hybrids MtM

Structued Products (MBS, ABS)

Other MtM (provide details, breakdown)

1

2

3

4

5

…

Sub-schedule L.6.1.a - Aggregate derivative information by counterparty legal entity and master netting agreement (as ranked by Stressed Net CE OCC Scenario (Adverse))

Counterparty, Netting Agreement identifiers

Master Netting Agreement

Stressed Current Exposure

Exposure MtM Values

Collateral MtM Values

Credit Quality and CDS Hedges

Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Industry

Country

Rating

CSA Type

Independent Amount (non CCP) or Initial Margin (CCP)

Non-cash collateral type

Excess Variation Margin (for CCPs)

Default Fund (for CCPs)

Threshold CP

Threshold BHC

Minimum Transfer Amount

Minimum Transfer Amount BHC

Margining frequency

CSA contractual features (non-vanilla)

WWR position

Total Net Stressed CE OCC Scenario (Severely Adverse)

Total Net Stressed CE OCC Scenario (Adverse)

Net Stressed CE OCC Scenario (Severely Adverse)

Net Stressed CE OCC Scenario (Adverse)

Unstressed MtM Exposure

Stressed Exposure MtM OCC scenario (Severely Adverse)

Stressed Exposure MtM OCC scenario (Adverse)

Total Unstressed MtM Cash Collateral (non CCPs)

USD

EUR

GBP

JPY

Other

Total Unstressed MtM Collateral (non CCPs)

Stressed Cash Collateral MtM OCC scenario (Severely Adverse)

Stressed Cash Collateral MtM OCC scenario (Adverse)

Stressed Total Collateral MtM OCC scenario (Severely Adverse)

Stressed Total Collateral MtM OCC scenario (Adverse)

CDS Reference Entity Type

5Y CDS Spread (bp)

CDS Recovery

CP Legal Entity Identifier

WWR hedge?

CDS Hedge Notional

CDS Hedge CR01

5Y CDS Stressed Spread OCC scenario (Adverse)

5Y CDS Stressed Spread OCC scenario (Severely Adverse)

CDS Stressed CR01 OCC scenario (Adverse)

CDS Hedge Stressed CR01

Stressed CVA OCC scenario (Adverse)

Stressed CVA OCC scenario (Severely Adverse)

1

CPName1

CP1

CP1_Legal_Ent_1

NS1_1_1

None

2

CPName2

CP2

CP2_Legal_Ent_1

NS2_1_1

None

3

CPName2

CP2

CP2_Legal_Ent_1

NS2_1_2

None

4

CPName2

CP2

CP2_Legal_Ent_2

NS2_2_1

None

5

CPName3

CP3

CP3_Legal_Ent_1

NS3_1_1

None

6

CPName4

CP4

CP4_Legal_Ent_1

NS4_1_1

Specific

7

CPName5

CP5

CP5_Legal_Ent_1

NS5_1_1

General

…

Sub-schedule L.6.2.a - Derivative exposure MtM values by CP legal entity and master netting agreement (as ranked by Stressed Net CE OCC Scenario (Adverse))

Counterparty identifiers

Unstressed Exposure MtM by Asset category

Stressed Exposure MtM by Asset category

Rank

CP Name (parent/consolidated)

Parent/Consolidated Entity CP ID

CP Legal Entity Name

Legal Entity ID

Netting Agreement ID

Vanilla Interest Rate Derivatives, MTM

Vanilla FX Derivatives, MtM

Vanilla Commodity (Cash) Derivatives MtM

Vanilla Credit Derivatives, MtM

Vanilla Equity Derivatives, MtM

Structured Interest Rate Derivatives, MTM

Flow Exotic and Structured FX Derivatives, MtM

Other Cash + Physical Commodity Derivatives MtM

Other (single name) Credit Derivatives, MtM

Structured (Multi-name) Credit Derivatives, MtM

Exotic Equity Derivatives, MtM

Hybrids MtM

Structued Products (MBS, ABS)

Other MtM (provide details, breakdown)

Vanilla Interest Rate Derivatives, MTM

Vanilla FX Derivatives, MtM

Vanilla Commodity (Cash) Derivatives MtM

Vanilla Credit Derivatives, MtM

Vanilla Equity Derivatives, MtM

Structured Interest Rate Derivatives, MTM

Flow Exotic and Structured FX Derivatives, MtM

Other Cash + Physical Commodity Derivatives MtM

Other (single name) Credit Derivatives, MtM

Structured (Multi-name) Credit Derivatives, MtM

Exotic Equity Derivatives, MtM

Hybrids MtM

Structued Products (MBS, ABS)

Other MtM (provide details, breakdown)

1

2

3

4

5

…

---

Sheet 12: Notes to the CCR Schedule

Notes to the CCR Schedule