Report of Institution-to-Aggregate Granular Data on Assets and Liabilities on an Immediate Counterparty Basis

Board of Governors of the Federal Reserve System

Instructions for the Preparation of

Report of Institution-to-Aggregate Granular Data on Assets
and Liabilities on an Immediate Counterparty Basis
Reporting Form FR 2510
Effective March 2020

Contents

General Instructions for Preparation of the Institution-to-Aggregate Data on Assets
and Liabilities on an Immediate Counterparty Basis

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Where to Submit the Reports .............................................................................................................. GEN-1
When to Submit the Reports .............................................................................................................. GEN-1
How to Prepare the Data Set .............................................................................................................. GEN-1
Summary Description of this Data Collection ..................................................................................... GEN-2
Who Must Report

Line Item Instructions for the Institution-to-Aggregate Data on Assets and Liabilities
on an Immediate Counterparty Basis

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The Financial Derivatives Schedule—The Financial Derivatives Schedule ................................................ FD-1
The Foreign Exchange Derivatives Schedule—The Foreign Exchange Derivatives Schedule ....................... FX-1
Counterparty (I-A IC) Schedule—The Institution-to-Aggregate Data: Immediate

Glossary

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Affiliates
Allowances
Associated company
Banking office
Banks, deposit-taking corporations
Branch
Carrying amount
Cash collateral
Central banks
Central counter parties (CCPs)
Corporate joint venture
Credit commitments
Credit derivatives contract
Cross currency swaps
Currency swaps
Debt securities
Derivative instrument
Equity securities
Face value

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Fair value
Foreign currency
Guarantees Extended
Home country
Insurance companies
Interbank positions
International organization
Joint venture
Loan
Loans secured by real estate
Local currency
Local positions in foreign currencies
Long-term
Negotiable security
Netting agreement
Netting set
Nominal value
Non-Bank Financial Institutions (NBFI)
Non-Financial Corporations (NFC)
Notional amount
On demand
Open position
Parent country
Provisions
Reporting banking organization
Repurchase/resale agreements
Securities borrowing / lending
Separate accounts
Short position
Short sales / short selling
Short-term
Subsidiary

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FR 2510

INSTRUCTIONS FOR PREPARATION OF

The Institution-to-Aggregate Data on
Assets and Liabilities on an Immediate
Counterparty Basis
FR 2510

General Instructions

Who Must Report
A. Reporting Criteria
The I-A data are to be provided by any Bank Holding
Company (BHC) organization under the laws of the
U.S. or any of the states therein that is identified as a
global systemically important bank (G-SIB). For a list
of G-SIBS, refer to the Financial Stability Board’s
updated list at http://www.financialstabilityboard.org/
2015/11/fsb-publishes-the-2015-update-of-the-g-sib-list/.

B. Consolidation
The information should be reported on a fully consolidated basis in accordance with the principles set forth
in the instructions for the preparation of the Consolidated Financial Statements for Holding Companies
(FR Y-9C). As part of the consolidation process, assets
and liabilities between offices, subsidiaries, and other
entities (e.g., Trusts and Variable Interest Entities)
included in the scope of the consolidated BHC are to
be eliminated in the consolidation and excluded from
the report. In addition, custody accounts should also
be excluded from the report, consistent with the
FR Y-9C instructions.

Where to Submit the Reports
Electronic Submission
All banking organizations must submit their completed reports electronically. Banking organizations
should contact their district Federal Reserve Bank or
go to www.frbservices.org/central-bank/reportingcentral/index.html for procedures for electronic
submission.

When to Submit the Reports
The FR 2510 is required to be submitted quarterly, as
of the last calendar day of March, June, September,
and December. The submission date is 50 calendar
days after the March, June, and September as-of-dates,
and 65 calendar days after the December as-of-date.
The term “submission date” is the defined as the date
by which the Federal Reserve must receive the data set.
If the submission deadline falls on a weekend or holiday, the data set must be received on the first business
day after the Saturday, Sunday, or holiday. Earlier submission aids the Federal Reserve in reviewing and procession the reports and is encouraged.
The reports are due by the end of the reporting day on
the submission date (5:00 P.M.). Each reporter should
keep a copy of each report. This copy should be signed
and certified by an Executive Officer (as defined in
12 CFR 215.2(e)(1)) of the bank holding company.

How to Prepare the Data Set
A. Applicability of U.S. GAAP
Banking organizations are required to prepare and file
the FR 2510 report in accordance with U.S. Generally
Accepted Accounting Principles (U.S. GAAP) and
these instructions. All financial assets and liabilities
should be reported gross unless netting is permitted by
U.S. GAAP, except on the Financial Derivatives
Schedule and Foreign Exchange Derivatives Schedule
where all positions should be reported gross regardless
if netting is permitted by U.S. GAAP. Netting of long
and short positions of trading assets is not permitted.
However, as with the Country Exposure Report
(FFIEC 009), CUSIP netting is allowed for the
FR 2510 report when the office(s) of the reporter with
the long and short positions, and the country of the
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General Instructions

issuer of the underlying security are located in the
same country.

reports at the same level of consolidation as is required
for the FR 2510, the duplicate data items will be populated automatically.

B. Report Form Captions and Instruction Detail

If the banking organization files the FR Y-9C for the
same reporting period, then the following data item
will be populated automatically:

Enter an amount or a zero for all items except for items
where reporting is not required.
Questions and requests for interpretations of matters
appearing in any part of these instructions should be
addressed to the appropriate Federal Reserve Bank
(that is, the Federal Reserve Bank in the district where
the banking organization submits this report.).

C. Accounting Issues
All amounts should be reported in U.S. dollars regardless of the currencies in which the balances are denominated. The translation should be made on the same
basis used to prepare the FR Y-9C.
All reported values should be rounded to the nearest
million USD.

D. Negative Entries
Negative entries are not reportable on this form. Assets
with credit balances must be reported in liability items
and liabilities with debt balances must be reported in
asset items, as appropriate.

E. Amended Reports
When the Federal Reserve’s interpretation of how
U.S. GAAP or these instructions should be applied to
a specified event or transaction (or series of related
events or transactions) differs from the reporter’s interpretation, the Federal Reserve may require the reporter
to reflect the event(s) or transaction(s) in its I-A data in
accordance with the Federal Reserve’s interpretation
and to amend previous submitted reports.
The Federal Reserve may require the filing of an
amended FR 2510 if the report as previous submitted
contains significant errors.

F. Data Items Automatically Retrieved from
Other Reports
Certain data collected on the FR 2510 may also be collected in other reports submitted to the Federal
Reserve. If the banking organization files the other

(1) The I-A Immediate Counterparty (I-A IC) Schedule: Liabilities item 13, “Total Equity” (FR Y-9C,
Schedule HC, item 28)

Summary Description of this Data
Collection
The FR 2510 report consists of three components: The
Main schedule, the Financial Derivatives schedule, and
the Foreign Exchange Derivatives schedule.
The Main schedule is divided into two tables that provide granular breakdowns of the reporter’s consolidated balance sheet assets and liabilities and off balance sheet contingent liabilities. Unless otherwise
stated, assets, liabilities, currency, remaining maturity,
counterparty country, and counterparty sector are to
be broken down by combination of five dimensions by
instrument, currency, remaining maturity, counterparty country, and counterparty sector across Tables 1
and 2. In order to achieve a balanced approach
between analytical value for authorities and operational burden to reporting banking organizations, not
all the dimensions are required for some parts of the
schedule.
The Financial Derivatives schedule displays general
information about the reporter’s financial derivatives
positions. Gross fair values and notional amounts are
requested to facilitate cross-country comparisons and
overcome substantial different offsetting requirements
for derivatives between accounting standards applied
by reporting banking organizations.
The Foreign Exchange Derivatives schedule shows more
detailed information about the reporter’s foreign
exchange (FX) derivative positions to uncover “open
currency positions.” Gross notional currency derivative positions (separate into short and long positions)
are required for a limited number of foreign exchange
derivatives, without the breakdown by counterparty
country and sector, but with details on remaining
maturity and currency.

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The Institution-to-Aggregate Data:
Immediate
Counterparty (I-A IC) Schedule

General Balance Sheet Information

Total Positions

The I-A IC schedule is designed according to a full
balance sheet approach in order to capture information
on asset positions, liability positions, and contingent
liabilities on a combination of five dimensions:
(1) instrument; (2) currency; (3) remaining maturity;
(4) counterparty country; and (5) counterparty sector.

The reporter should report in Table 1, its total consolidated balance sheet positions for each instrument type.
Crossings by counterparty country and sector are not
required in Table 1. Total positions should only be
reported in USD and should be omitted for the other
currencies.

Positions are to be allocated to the country and sector
where the immediate counterparty resides and not on
an ultimate counterparty basis. Immediate counterparty follows the definition in the instructions for
preparation of the Country Exposure Report
(FFIEC 009). The obligor on an immediatecounterparty basis is the entity that issued the security
or otherwise incurred the liability.
Positions are reportable in Table 1 by instrument, currency, and remaining maturity. Positions are reportable
in Table 2 by counterparty country, instrument, and
counterparty sector. All instruments listed are reportable in Tables 1 and 2, unless otherwise noted in these
instructions.
All financial assets and liabilities are to be reported
gross unless netting is permitted by GAAP, except on
the Financial Derivatives Schedule and Foreign
Exchange Derivatives Schedule where all positions
should be reported gross regardless if netting is permitted by U.S. GAAP.

Table 1 – Full Balance Sheet
Table 1 covers the full balance sheet (financial assets
and liabilities) with a complete crossing by instrument,
currency, and remaining maturity. The reporter should
file a separate Table 1 for each currency and provide
the remaining maturity crossings for positions denominated in that currency.

Currency
For each instrument type, report the total amount of
positions by remaining maturity denominated in the
following currencies using the standard three character
currency ISO (International Organization for Standardization) codes:
• USD: United States Dollar;
• EUR: Euro;
• JPY: Japanese Yen;
• GBP: British Pound;
• CHF: Swiss Franc;
• CNY: Yuan Renminbi (includes CNY, Chinese Yuan
Onshore, and CNH, Chinese Yuan Offshore);
• OTH: The sum of all other currencies not specified
above

Remaining maturity
Remaining maturity is the amount of time remaining
from the report date until the final contractual maturity of the instrument without regard to the instrument’s repayment schedule, if any (using the same
definition of “remaining maturity” as used in the
FR Y9-C). The next repricing date may also be used
where applicable.
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For each instrument and currency break, report positions into the following remaining maturity buckets,
unless otherwise noted in these instructions:
• Non-maturity instruments (including on demand
and open positions) as defined in the Complex Institution Liquidity Monitoring Report (FR 2052a).
• Overnight and less than 3 months.
• 3 months and less than 1 year.
• 1 year and over.
Marketable equity investments, both trading and
available-for-sale, should be reported as maturing in
less than one year.

Table 2 – Country Level Data
Table 2 provides additional granularity to a select set of
instruments captured in Table 1, as well as instruments
that are only captured in Table 2 (asset and liability
memorandum items and contingent liabilities). The
reporter should file a separate Table 2 for each country
ranked in the top 35 countries where its exposure
amounts to a minimum $2 billion. For each country,
the reporting institution should report the specified
instrument by immediate counterparty sector and
remaining maturity, unless otherwise noted.

Country Reporting
In order to balance value and burden to report granular data for all countries, the maximum number of
counterparty countries for which granular crossing are
requested is limited to the top 35 countries (including
the home country of the reporter) by total exposure for
each reporting institution subject to a materiality
threshold of $2 billion over the previous four quarters.
Reporting banking organizations may report less than
35 countries if the materiality threshold of $2 billion is
not met.
When carrying out the country ranking and determining the materiality threshold, the reporter should determine the maximum amount of claims (excluding financial derivatives) by the respective country as the basis
of their assessment. Reporting institutions are permitted to use the data submitted in the FFIEC 009 as the
basis for these materiality assessments. Exposures to

countries other than the top 35 countries are not
required to be reported.
To limit the volatility in a banking organization’s country submission list over time a country must be ranked
in the top 35 for four consecutive quarters, subject to
the minimum $2 billion cut-off, in order to be added to
the list. Conversely, if a country were not in the top 35,
or fell below the $2 billion threshold during the previous four quarters, the reporter should drop the country
from the list of top 35 countries and, if applicable, add
a country that is now ranked in the top 35 and above
the $2 billion threshold. For example, if a reporting
institution is reporting exposures to the U.K and total
exposures to the U.K. fall below the $2 billion threshold for four consecutive quarters, the reporter should
drop the U.K. from its data set and add the next highest ranked country within the top 35 countries whose
total exposures have been above $2 billion for four consecutive quarters, if applicable. Furthermore, if the
U.K. exposures remained above $2 billion but a new
country, which was previously ranked outside the top
35 countries, has a higher exposure amount over the
past four quarters than the U.K., the reporter should
remove the U.K. from reporting and add the new country. Reporting institutions should consult with the
appropriate Federal Reserve Bank when organization
or business strategy (e.g., mergers and acquisitions)
changes impact the list of the top 35 prior to adding or
removing a country.
Reporters should be able to add additional countries
by request from regulators (e.g., to capture adverse
development in these countries) within two weeks of
the request (and not as part of the regular quarterly
process).

Determining Residency
Counterparty residency is determined by the country
where the counterparty legally resides (e.g. country of
incorporation, or, for a bank or company branch,
country of license). For example, a claim on the Chinese branch of a UK bank is reported as a claim on the
banking sector in China.
The location of a counterparty that is an individual or
household is reported based on the country in which
the counterparty is domiciled.

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Since international organizations are residents of the
international areas they serve, the international organizations are excluded from country dimension of the list
of the top 35 countries in Table 2. Therefore, positions
with International Organizations should be excluded
from Table 2. The ECB and the BIS should be included
as part of Germany and Switzerland, respectively.

Sector Definitions
Reporting sectors are determined based on the legal
entity of the immediate or direct counterparty. The
following sector definitions are used for all columns of
this report that require sector distinctions:
• Sector Total: Includes all positions across all counterparty sectors for a given country. For instruments
where a more detailed counterparty sector is not
required, this item provides the total position for a
given country.
• Banks: Financial institutions whose business it is to
receive deposits or close substitutes for deposits and
to grant credits or invest securities in their own
account. Banks include commercial banks, savings
banks, discount houses, and other similar depository
institutions. The definition of banks is consistent
with “Banks, U.S. and Foreign” in the FR Y-9C.
• Central banks: Banks, reserve banks, or monetary
authorities responsible for overseeing the monetary
system for a nation or group of nations. Positions
with central banks are reported in Table 1 as part of
the reporting bank’s total positions by instrument
type. Liabilities to central banks are excluded from
Table 2. Claims on central banks are reported by
instrument type in the unallocated sector in Table 2.
• Non-bank financial institutions (NBFIs): Businesses
and institutions that are primarily engaged in proprietary investments in the provision of financial services to other organizations and households as
defined in the FFIEC 009. This sector excludes federal, state and local governments; however, it
includes agencies and instrumentalities of governments such as pension funds and insurance companies that provide nonbank financial services that are
not directly governmental in nature.
• Non-financial corporations (NFCs): Any organization, including non-profits that are principally

engaged in producing goods or non-financial services as defined in the FFIEC 009. This sector
excludes federal, state and local governments; however it includes agencies and instrumentalities of
governments such as utilities that produce goods or
non-financial services that are not strictly governmental in nature.
• Households: This sector includes positions with
households, families, and individuals as defined in
the FR Y-9C, Schedule HC-C, item 6, “Loans to
individuals for household, family, and other personal
expenditures.”
• Government: The definition of the government is
consistent with the definition of “Foreign Governments and Official Institutions” in the FR Y-9C and
includes U.S. federal, state and municipal government entities, and U.S. government agencies, but
excludes positions with central banks, other monetary authorities (reported in Unallocated by sector)
and public corporations (reported in NFCs). Claims
and liabilities with U.S. government-sponsored
enterprises which are not explicitly guaranteed by the
full faith and credit of the U.S. government, should
be reported under the “Banks,” “Non-bank financial
institutions,” or “Non-financial corporations” sector
depending on the primary activity of the enterprise.
• Unallocated by sector: Any positions for which the
sector of the counterparty is unknown or the sector
information does not need to be reported. The item
includes claims on central banks as noted above.

Positions by Remaining Maturity
The remaining maturity crossing is only required to be
completed for the Memorandum Items, Total Financial Assets by Position Type (Items 1.a, 1.b, 1.c, and
1.d) and Total Financial Liabilities by Position Type
(Items 2.a, 2.b, 2.c, and 2.d). Positions are to be
reported into the following remaining maturity
buckets:
• Non-maturity instruments (including on-demand
and open positions, as defined in FR 2052a);
• Less than 1 year (includes “Overnight and Less than
3 months” and “3 months and less than 1 Year”
remaining maturity breaks from Table 1);
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• 1 year and over (includes “1 Year and over” from
Table 1).

Instruments
Reporting banking organizations report total consolidated positions in the balance sheet and contingent
liability instruments listed below. All the instruments
listed below, unless otherwise noted, are reported in
Table 1 and Table 2. The table reporting requirements
for each instrument item is provided in parenthesis.

Assets
This section is to be prepared in accordance with the
U.S. Generally Accepted Accounting Principles
(U.S. GAAP). The term ‘assets’ follows the definition
for assets in the instructions for preparation of the
Consolidated Reports of Condition and Income for a
Bank with Domestic and Foreign Offices
(FFIEC 031) and FR Y-9C and includes the following
types of assets:
Line Item 1 Cash and Balances Due From Banks
Report all funds deposited with depository institutions. This includes all interest bearing and
noninterest-bearing balances due from depository
institutions in the form of demand, savings, or time
deposit balances; currency and coin, cash items in the
process of collection, cash collateral placed, and negotiable and non-negotiable certificates of deposits
(CDs) unless held for trading. Balances due from central banks are reported in the “Unallocated by Sector”
in Table 2. (Table 1) (Table 2, Total, Bank, and Unallocated Sectors only).
Exclude currency and coin in transit (report in “Other
Financial Advances and Instruments,” Item 81).

netted against securities sold under agreements to
repurchase, except to the extent permitted under U.S.
GAAP through master netting agreements. Under
master netting agreements, the net claims should be
reported based on the country and sector of the top
tier counterparty of the agreement. Include the fair
value of securities purchased under agreement to resell
that are accounted for at fair value under a fair value
option (Table 1) (Table 2 except for Households
sector).
Exclude fed funds sold (report in “Other Loans,”
Item 4.3).
For further information, see the FR Y-9C Glossary
entry for “Repurchase/Resale Agreements.”
Line Item 3 Securities Borrowings
Report the outstanding amount of all securities borrowings where the reporter has borrowed securities
from the counterparty and posted collateral, in
exchange for cash and the reporter is the principal to
the transaction, and is not acting as an agent on behalf
of another firm. Exclude collateral-for-collateral transactions. (Table 1) (Table 2, except for Households
sector).
For further information, see the FR Y-9C Glossary
entry for “Securities Borrowing/Lending Transactions.”
Line Item 4 Loans gross of allowances for credit losses
Report the sum of 4.a through 4.c. Report total outstanding loans and leases issued or purchased by the
reporter regardless of the accounting portfolio the
loans and leases are held (held for trading, held for sale,
or investment purposes). Loans amounts should be
reported net of unearned income and loan fees. All
loans are classified according to collateral or purpose.
(Table 1) (Table2).

For further information, see the FR Y-9C Schedule HC, line 1, “Cash and Balances due from Depository
Institutions.”

For further information, see the FR Y-9C Glossary
entry for “Loans” and “Lease Accounting.”

Line Item 2 Resale Agreements
Report the outstanding amount of securities purchased under agreements to resell on a gross basis, not

Line Item 4.a Residential Real Estate (RRE) Loans
Report loans secured by residential property (including
financial leasing on a residential real estate), revolving,
open-end loans secured by 1-4 family residential properties and closed-end loans secured by 1-4 family residential properties (secured by first and junior liens).
(Table 1) (Table 2, Sector Total only).

1. Currency in vault is only included in the remaining maturity
bucket “Non-maturity instrument (including on demand and open
positions)” and is reported under “unallocated” by sector.

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For further information, see the FR Y-9C Glossary
entry for “Loan Secured by Real Estate.”
Line Item 4.b Commercial Real Estate (CRE) Loans
Report loans secured by commercial real estate (including financial leasing on a commercial real estate).
Report in this item 1-4 family residential construction
loans, other construction loans and all land development and other land loans, loans secured by multifamily (5 or more) residential properties, and loans secured
by other nonfarm non-residential properties. Loans to
finance CRE but not secured by CRE are excluded
from this item and reported as “Other loans.” (Table 1)
(Table 2, Sector Total only).
Line Item 4.c Other Loans
Report all other loans not included in the above categories for loans, including loans secured by farm land,
conventional loans, credit card loans, federal funds
sold, financial leases, obligations of states and political
subdivisions, overnight loans of immediately available
funds to commercial and industrial counterparties, and
factoring, and exclude those loans that have become
negotiable de facto (as long as these loans are classified
as debt securities under the applicable accounting standards). (Table 1) (Table 2, Sector Total only).
Line Item 4.d Allowances for Credit Losses on Loans
Report the allowance for credit losses on loans as
determined in accordance with U.S. GAAP and FASB
Accounting Standards Update No. 2016-13 (ASU
2016-13), which governs the accounting for credit
losses. Allowances for credit losses on loans includes:
specific allowances for loans individually and collectively estimated and collective allowances for incurred
but not reported losses on loans. (Table 1, Total Positions only) (Table 2, Sector Total only).

trading, held-to-maturity, or available-for-sale
(Table 1) (Table 2, except for Households sector)2.
Line Item 5.a Asset-Backed Securities (ABS)
Report the fair value or amortized cost of all asset
backed securities and all residential and commercial
mortgage backed securities. Securities reported in this
line item include (but are not limited to) mortgagebacked securities (MBS), collateralized mortgage obligations (CMOs), collateralized loan obligations
(CLOs), collateralized debt obligations (CDOs),
stripped asset-backed securities and other synthetic ABS.
Exclude from this line item ABS (including MBS)
issued or guaranteed by government agencies or sponsored agencies (Table 1) (Table 2, Sector Total only).
For further information, see the FR Y-9C Schedule HC-B, line 4, “Mortgage-backed securities (MBS)”
and line 5.a, “Asset-backed securities.”
Line Item 5.b Other Secured Debt Securities
Report the fair value or amortized cost of all debt securities issued or guaranteed by a corporate or a government authority or collateralized by collateral, for which
the holder of the security does not have a claim of the
cash flows generated by the collateral. Include any
other secured debt that cannot properly be reported in
Line 5.a above. This instrument includes among others
covered bonds, mortgage bonds or agency bonds
(Table 1) (Table 2, Sector Total only).
Exclude from this line item debt securities issued or
guaranteed by government sponsored entities that are
not secured by collateral. Debt securities issued or
guaranteed by government sponsored entities that are
not secured by collateral are reportable on line 5.c,
“Unsecured Debt Securities.”

For further information, see the FR Y-9C Schedule HC, line 4.c, “Allowance for loan and lease losses.”

Line Item 5.c Unsecured Debt Securities
Report all other debt securities that are not reportable
in the security categories listed above and that are not

Line Item 5 Debt Securities Holdings Gross of
Allowances for Credit Losses
Report the sum of 5.a through 5.c. Report fair value or
amortized cost of all debt securities held by the
reporter regardless if the securities are held-for-

2. Consistent with ASC Topic 320, Investments- Debt and Equity
Securities, Held-to-maturity securities are generally reported at amortized cost, Securities held for trading purposes must be reported at fair
value, with unrealized gains and losses recognized in current earnings
and available-for-sale securities must be reported at fair value on the
balance sheet, with unrealized gains and losses reported in a component
of equity capital (i.e., in Line Item 13 ‘‘Total Equity’’.

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secured by collateral. If applicable, this item may
include among others negotiable CDs held for trading
(Table 1) (Table 2, Sector Total only). For example,
unsecured debt securities should include securities
issued by government sponsored entities that are not
secured by collateral.
Line Item 6 Financial Derivatives
Report the positive fair value of financial instruments
classified as derivatives following U.S. GAAP that are
held-for-trading and hedging purpose.
The reporter reports the fair value of its interest rate,
foreign exchange rate, commodity, equity, and credit
derivative contracts. A position with a positive fair
value is reported on the asset side of the balance sheet.
Reporters are permitted to offset positive and negative
fair values of derivative contracts executed with the
same counterparty that meet the criteria for a valid
right of set-off contained in ASC Subtopic 210-20,
Balance Sheet – Offsetting (formerly FASB Interpretation No. 39, Offsetting of Amounts Related to Certain
Contracts) (Table 1, Total Positions only).
For further information, see the FR Y-9C Glossary
entry for “Derivative Contracts’’ and “Offsetting.”
Line Item 7 Equity Instruments
Report the fair value holdings of all investments in
mutual funds and other equity securities (as defined in
ASC Topic 320, Investments-Debt and Equity Securities (formerly FASB Statement No. 115, Accounting
for Certain Investments in Debt and Equity Securities)
with readily determinable fair values. Ownership of
equity is usually evidenced by shares, stocks, participations, or similar documents. It also includes preferred
stocks or shares that provide for participation in the
residual value on dissolution of an incorporated
enterprise.
Shares of subsidiaries included in the consolidated
perimeter of the banking group are excluded and are
netted against the book values of subsidiaries’ equities
(Table 1, to be reported with remaining maturity =
“non-maturity”) (Table 2, except for Households and
Government sectors).
Line Item 8 Other Financial Advances and Instruments
Report all other financial assets that cannot be classified under loans, deposits, debt securities or financial

derivatives. This item includes among others, gross
amounts of trade receivables, funds held in margin
accounts, and cash collateral placed at non-depository
institutions (Table 1, Total Positions only).
Line Item 9.a Total Financial Assets (Excluding
Derivatives and Other Financial Advances – Gross of
Allowances for Credit Losses)
Report on line 9.a, total financial assets, excluding
derivatives and other financial advances – gross of
allowances for all credit losses. Report the sum of items
1 through 5 and 7 (Table 1) (Table 2).
Line Item 9.b Total Financial Assets (Excluding
Derivatives and Other Financial Advances – Net of
Allowances for Credit Losses)
Report on line 9.b, total financial assets (excluding
derivatives and other financial advances – net of allowances for credit losses on loans). Report the amount
derived by subtracting item 4.d from Line 9.a above
(Table 1) (Table 2, Sector Total only).
Line Item 10 Tangible / Fixed Assets
Report the amount of tangible and fixed assets. Tangible and fixed assets may include (1) land, dwellings,
other buildings and structures, machinery and equipment, (2) inventories (materials and supplies, work-inprogress, finished goods, and goods for resale),
(3) valuables (assets that are acquired and held primarily as stores of value; literary or artistic originals, etc.).
The assets are shown net of accumulated depreciation
(Table 1, Total Positions only).
For further information, see the FR Y-9C Schedule HC, line 6, “Premises and fixed assets (including
capitalized leases).”
Line Item 11 Intangible Assets
Report the amount of intangible assets (other than
financial assets) that arise from business combinations
and acquisitions of portions or segments of another
institution’s business, such as patents, mortgage servicing assets, purchased credit card relationships and nonmortgage servicing assets, and goodwill. The assets are
shown net of accumulated depreciation (Table 1, Total
Positions only).
For further information, see the FR Y-9C Schedule HC, line 10, “Intangible Assets.”

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Line Item 12 Tax Assets
Report the amount of taxes currently receivable for the
year and the amount of deferred tax assets. Report the
net amount after offsetting deferred tax assets (net of
valuation allowance) and deferred tax liabilities measured at the report date for a particular tax jurisdiction
if the net result is a debit balance. If the result for a
particular tax jurisdiction is a net credit balance, report
the amount in ‘‘Tax liabilities’’ (item 12) (Table 1, Total
Positions only).
For further information, see the FR Y-9C Glossary
entry for “Income Taxes.”
Line Item 13 Other Assets
Report assets not included in any of the categories in
1 to 12. Assets that are not financial assets and that due
to their nature could not be classified in specific balance sheet items are reported in “other assets” and may
include gold, silver and other inventories. In addition,
prepaid and deferred expenses, other real estate owned
(OREO), direct investments in real estate ventures,
reinsurance recoverables, separate account assets of
insurance underwriting subsidiaries, accrued income,
suspense and amounts due from agents, not related
with financial instruments, are reported in this item
(Table 1, Total Positions only).
Report the amount of the reporter’s investment in the
stock of all subsidiaries that have not been consolidated, associated companies, corporate joint ventures,
unincorporated joint ventures, and general partnerships which the reporter exercises significant influence;
and non-controlling investments in certain limited
liability partnerships and limited liability companies.
Include in this line item, reinsurance recoverables which
are due from insurance companies for paid and unpaid
insurance claims, claims settlement expenses, and other
policy benefits.
For further information, see the FR Y-9C Schedule HC-F, “Other Assets.” This line item excludes
financial derivatives held for trading and hedging purposes, which should be reported in Line Item 6,
“Financial Derivatives.”
Line Item 14 Total Assets
Report the sum of items 6, 8, 9.b, 10, 11, 12, and 13
(Table 1, Total Positions only).

Liabilities
This section is to be prepared in accordance with U.S.
Generally Accepted Accounting Principles (U.S.
GAAP). The term “liabilities” follows the definition in
the instructions for the FR Y-9C and include, but are
not limited to, the following types of liabilities:
Line Item 15 Deposits
Report the total of all deposits, interest and noninterest bearing, including fixed term deposit accounts,
non-negotiable and negotiable CDs and cash collateral
held on deposits, booked at the domestic and foreign
offices of depository institutions that are consolidated
subsidiaries of the reporting BHC (Table 1) (Table 2).
For further information, see the FR Y-9C Glossary
entry for “Deposits.”
Line Item 16 Repurchase Agreements
Report the outstanding amount of securities sold
under agreements to repurchase on a gross basis, not
netted against securities purchased under agreements
to resell, except to the extent permitted under U.S.
GAAP. If netting is permitted under U.S. GAAP, the
net liabilities should be reported based on the country
and sector of the top tier counterparty.(Table 1)
(Table 2 excluding repurchase agreements with the
Households sector).
For further information, see the FR Y-9C, Schedule HC, item 14(b), “Securities sold under agreements
to repurchase”
Line Item 17 Securities Lending
Report the outstanding amount of all securities lent
where the reporter has lent securities to a counterparty
and received securities as collateral, where the reporter
is the principal to the transaction and is not acting as
an agent on behalf of another firm. Exclude collateralfor-collateral transactions. Collateral-for-cash transactions should be reported as “Repurchase Agreements,”
Item 16 (Table 1) (Table 2 excluding securities lent with
the Households sector).
Line Item 18 Other Borrowings
Report other obligations for the purpose of borrowing
money that is not reported elsewhere. Include advances
received, mortgage indebtedness, obligations under
capitalized leases, federal funds purchased and overIC-7

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drawn “due from” balances with banks (Table 1)
(Table 2).
Line Item 19.a Debt Securities Issued
Report the sum of items 19.a.(1) through 19.a.(7). See
definition from the asset section.
Line Item 19.a.(1) Asset-Backed-Securities (ABS)
Report Asset-Backed-Securities. See definition from
the asset section (Table 1).
Line Item 19.a.(2) Covered bonds
Report the amount of bonds issued and owned by a
bank or mortgage institution that are subject by law to
special public supervision designed to protect bond
holders. In particular, amounts deriving from the issue
of those bonds shall be invested in accordance with the
law in assets which, during the whole period of the
validity of the bonds, are capable of covering claims
attached to the bonds and, in the event of the failure of
the issuer, would be used on a priority basis for the
reimbursement of the principal and payment of the
accrued interest (Table 1).
Line Item 19.a.(3) Commercial Paper
Report the amount of all outstanding commercial
paper issued by the banking organization (Table 1).
For further information, refer to the FR Y-9C Glossary entry for “Commercial Paper.”
Line Item 19.a.(4) Senior Unsecured Long-Term Debts
Report the amount of all outstanding senior unsecured
long term and medium term debt securities issued by
the banking organization, that is debt securities that
take precedence over other unsecured or “junior” notes
in the event of bankruptcy; unlike secured debt, senior
unsecured noted are backed by assets (Table 1).

swap, a total return swap, or another arrangement in
which the counterparty agrees upon specific contractual covenants to cover a predetermined amount of
losses in the loan pool. Report the amount of structured financial products that are hybrid instruments. A
hybrid instrument is a single financial security that
combines two or more different financial instruments
(Table 1).
For further information, see FR Y-9C, Schedule HC-B, item 5(b), “Structured Financial Products.”
Line Item 19.a.(6) Other Debt Securities Issued
Convertible
Report the amount of convertible compound financial
instruments not recorded in the previous lines. A compound instrument contains both a liability and an
equity component (e.g., a debt instrument with an
embedded conversion option, such as a bond convertible into ordinary shares of the issuer) without any
other embedded derivative features. The issuer of such
a financial instrument is required to present separately
the component that (1) creates a financial liability and
(2) grants an option to the holder of the instrument to
convert it into an equity instrument (Table 1).
Line Item 19.a.(7) Other Debt Securities
Report all other debt securities not reportable in the
previous line items. Include private placements
(Table 1).

For further information, see FR Y-15, Schedule B,
item 14, “Senior Unsecured Debt Securities.”

Line Item 19.a.(8) Of Which: Subordinated Debt
Securities
Report the amount of all outstanding subordinated
debt securities, as defined in the FR Y-9C Schedule HC, items 19(a) and 19(b), issued by the banking
organization (Table 1). Subordinated debt securities
are also reported in items 19.a.(1) to 19.a.(7) by the
type of debt securities.

Line Item 19.a.(5) Hybrid Contracts
Report instruments that are a mix of cash and synthetic instruments. A synthetic instrument means that
the investors do not have a claim against a reference
pool of assets; rather, the originating holding company
merely transfers the inherent credit risk of the reference pool of assets by such means as a credit default

Line Item 20 Financial Derivatives
Report the negative fair value of derivative contracts
that are held for trading and hedging purposes. See
definition from the asset section. Positions that have a
negative fair value are reported on the liability side of
the balance sheet (Table 1).

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Line Item 21 Other Financial Payables
Report the amount of financial liabilities that cannot
be classified under borrowings, deposits, debt securities, derivatives, or short sales. This line item includes
but is not limited to, dividends to be paid and amounts
payable in respect of future settlements of transactions
in securities or foreign exchange transactions (payables
for transactions recognised before the payment date).
If applicable, also include separate account liabilities of
the reporter’s consolidated insurance underwriting
subsidiaries (Table1, Total Positions only).
For short sales, report the total fair value of liabilities
resulting from sales of assets that the reporter does not
own. The immediate counterparty country and sector
for short sale contracts are those of the issuer of the
financial asset short sold rather than the counterparty
to whom the non-owned financial instrument has been
sold (Table 1, Total Positions only).
For further information, see the FR Y-9C Glossary
entry for “Short Position.”
Line Item 22 Total Financial Liabilities
Report the sum of items 15 through 18 (Table 1).
Exclude financial derivatives, debt securities, short
sales, and other financial payables.
Line Item 23 Allowance for Credit Losses on
Off-Balance Sheet Exposures
Report the amount of any allowance for credit losses
on off-balance sheet exposures established in accordance with U.S. GAAP and ASU 2016-13 (Table 1,
Total Positions only).
Line Item 24 Tax Liabilities
Report current and deferred tax liabilities. See definition from the asset section (Table 1, Total Positions
only).
Line Item 25 Other Liabilities
Report all liabilities not included in line items 15
through 24. Liabilities that are not financial liabilities
and that due to their nature could not be classified in
specific balance sheet items should be reported. This
includes, accrued expenses, deferred income, servicing
liabilities, the negative fair value of unused loan commitments reported under the Fair Value Option, and
suspense balances (Table 1, Total Positions).

Include in this line item, any technical reserves which
are due to policyholders for unpaid insurance claims or
prepaid insurance premiums. These technical reserves
quantify the outstanding loss liabilities for insurance
claims which have been reported and not paid or which
have been incurred but not reported (IBNR).
Include the amount of all other provisions not captured by specific and general allowances for credit
losses on loans (item 4.d on the asset side). This may
include allowances for credit losses under ASU 2016-13
for assets other than loans, provisions for pensions and
similar obligations, provisions for taxes, provisions for
litigation risks and funds for general banking risks
when they are not recognized as equity (Table 1, Total
Positions only).
Line Item 26 Total Liabilities
Report the sum of items 19 through 25 (Table 1, Total
Positions only).
Line Item 27 Total Equity
This line item will be fetched from the FR Y-9C,
Schedule HC, item 28, “Total Equity Capital.”
Line Item 28 Total Liabilities and Equity
Report the sum of items 26 and 27 (Table 1, Total Positions only).

Contingent Liabilities
Off balance sheet positions which arise from contingent liabilities are reported on a consolidated basis by
instrument, counterparty country, and sector. The
reporter is required to report the notional amount of
guarantees and commitments provided (or sold) since
those off-balance sheet positions are subject to credit
risk when the reporter is the “providing party.” When
the reporter is providing a guarantee or credit protection via a Credit Default Swap (CDS), the immediate
counterparty is the entity in which the reporter would
incur a liability to if the underlying reference entity
defaults (Table 2).
Line Item 29 Financial Guarantees Given
Report the sum of items 29.a and 29.b. Financial
instruments, which meet the definition of financial
guarantees under U.S. GAAP (Table 2):
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Line Item 29.a CDS and Other Credit Derivatives
(Protection Sold)
Report the notional amount of credit derivatives that
allow one party (the “protection purchaser” or “beneficiary”) to transfer the credit risk or a reference asset
to another party (the “protection seller” or “guarantor”). This includes derivatives with inherent credit risk
transfer (e.g. CDS, TRS, CLN) (Table 2).
Line Item 29.b Guarantees Extended
Report guarantees extended. Guarantees are legally
binding commitments which require the issuer to make
specific payments to reimburse a specific creditor for a
loss due to a failure of a specified debtor to make payments when due in accordance with the original or
modified terms of a debt instrument, or to a failure of
a specified client to fulfill their contract obligations.
Guarantees include financial and performance standby
letters of credit and acceptances (for the amount of the
participation sold). Documents that do not establish
legal obligations, such as “comfort” letters, letters of
awareness, or letters of intent, are not guarantees
(Table 2).
For further information, see FR Y-9C, Schedule HC-L, item 2, “Financial standby letters of credit
and foreign office guarantees.”
Line Item 30 Credit Commitments Given
Report the sum of 30.a and 30.b. Report credit commitments given. This includes only the unused portions
of commitments which are legally binding and enforceable (e.g. not unconditionally cancellable) (Table 2).
For further information, see FR Y-9C, Schedule HC-L, item 1, “Unused Commitments.”
Line Item 30.a Loan Commitments Given
Report the unused portions of committed lines
extended by the reporter to provide credit, that when
funded, would be reported as a loan (Table 2).
Line Item 30.b Other Commitments Given
Report the unused portions of all other committed
lines extended by the reporter that are not reported as
loan commitments above. Including, but not limited to,
underwriting facilities to extend credit in the form of
the purchase of loans, securities or other assets, such as
note issuance facilities (NIFs) and revolving under-

writing facilities (RUFs), letters of credit (excluding
standby letters of credit), financial asset forward purchase commitments, and regular way financial asset
purchase contracts (Table 2). Exclude commitments
that meet the definition of a derivative and must be
accounted for in accordance with ASC Topic 815,
Derivatives and Hedging (Table 2).

Memoranda (Table 2)
Line Item M.1 Total Financial Assets by Position Type
(Excluding Derivatives and Other Financial Advances –
Gross Of Allowances)
Report the amount of “Total Financial Assets excluding derivatives and other financial advances - gross of
allowances for credit losses” (item 9.a) that represent
cross border positions and local positions of the
reporter. In these guidelines, cross-border positions
refer to assets or liabilities of the reporter’s foreign
affiliates (branches or subsidiaries) with residents of
other countries (i.e., countries other than the country
in which the office is located, including the home country of the reporter). Cross-border positions also refer
to assets or liabilities of the reporter’s United States
offices with residents of other countries.
Local positions refer to assets or liabilities of reporter’
foreign affiliates (branches or subsidiaries) with residents of the host country in which the affiliate is
located. Local positions also include domestic positions of the reporter and its home country subsidiaries
with residents of the United States. So, a claim or
liability is reported as “local” when the office booking
the claim or liability is located in the same country as
the country of residence of the borrower or creditor
(Table 2).
Line Item M1.a Cross-Border Positions in FX
Report cross-border positions that are denominated in
foreign currency. Foreign currency is any currency
other than the local currency of the country in which
the counterparty resides (Table 2).
Line Item M1.a.(1) Of Which in USD
(Table 2, Total sector only).
Line Item M1.a.(2) Of Which in EUR
(Table 2, Total sector only).

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Line Item M1.b Cross-Border Positions in Local
Currency
Report cross-border positions that are denominated in
the local currency of the country in which the counterparty resides (Table 2).

other than the local currency of the country in which
the counterparty resides (Table 2).

Line Item M1.c Local Positions in FX
Report local positions that are denominated in foreign
currency. Foreign currency is any currency other than
the local currency of the country in which the counterparty resides (Table 2).

Line Item M2.a.(2) Of Which in EUR
(Table 2, Sector Total only).

Line Item M1.c.(1) Of Which in USD
(Table 2, Total sector only).
Line Item M1.c.(2) Of Which in EUR
(Table 2, Total sector only).
Line Item M1.d Local Positions in Local Currency
Report local positions that are denominated in the
local currency of the country in which the counterparty resides (Table 2).
Line Item M2 Total Financial Liabilities by
Position Type
Report total financial liabilities by position type. See
definition on the asset side, item 15 for cross border
and local position (Table 2). Refer to line item 22
“Total Financial Liabilities.”
Line Item M2.a Cross-Border Positions in FX
Report cross-border positions that are denominated in
foreign currency. Foreign currency is any currency

Line Item M2.a.(1) Of Which in USD
(Table 2, Sector Total only).

Line Item M2.b Cross-Border Positions in Local
Currency
Report cross-border positions that are denominated in
the local currency of the country in which the counterparty resides. A currency is considered to be a local
currency of a country only if the country, directly or
through a currency union, has the authority to issue
that currency (Table 2).
Line Item M2.c Local Positions in FX
Report local positions that are denominated in foreign
currency. Foreign currency is any currency other than
the local currency of the country in which the counterparty resides (Table 2).
Line Item M2.c.(1) Of Which in USD
(Table 2, Sector Total only).
Line Item M2.c.(2) Of Which in EUR
(Table 2, Sector Total only).
Line Item M2.d Local Positions in Local Currency
Report local positions that are denominated in the
local currency of the country in which the counterparty resides (Table 2).

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Examples
Main-Schedule – Table 1
(1) Remaining Maturity
At the end of March, a reporting banking organization has the following reverse repo positions:
• $100 million denominated in EUR of which
$75 million with a remaining maturity of
4 months and $25 million due on demand;
• $250 million denominated in JPY with a
remaining maturity of 3 years; and
• $100 million denominated in GBP with an
overnight maturity
• Entries would be:

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Main-Schedule – Table 2
(1) Positions with Central Banks
U.S. reporting banking organization places
$250 million on deposit at its respective central
bank:
Entry would be:

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(2) Cross-Border Assets
The German branch of a Japanese reporting
banking organization:
• Issues a $100 million loan (denominated in
USD, matures in 5 years) to a UK insurance
company;
• Holds $400 million unsecured debt securities
by UK banks (denominated in EUR, matures
in 9 months); and
• Holds $300 million ABS securities issued by
UK broker dealers (denominated in GBP,
matures in 3 years).
Entries would be:

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Main-Schedule – Table 2
(1) Liabilities in FX / Local Currency
The German branch of a U.S. reporter accepts
• A $500 mil deposit (denominated in Yen;
matures in 2 years) placed by a German resident law firm;
• A $50 mil deposit (denominated in EUR;
matures in 3 years) by a German resident high
wealth individual client.
Entries would be:

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Main-schedule – Table 2
(1) Financial Guarantees Given
A reporting banking organization is selling protection to a pension fund incorporated in the
Cayman Islands that pays out the loss given
default times the nominal amount of a Swiss
bank if the Swiss bank defaults. The notional
amount is 100 million EUR, worth $135 million
as of the report date.
Entries would be:

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What to Report
The Financial Derivatives Schedule is designed to collect the gross fair value and notional amount of the
reporter’s consolidated holdings of derivative contracts held for the reporter’s own account. Derivative
contracts held for the accounts of the reporter’s customers should be excluded from this schedule. Include
all types of risk categories and instruments (e.g., foreign exchange, interest rate, equity, commodities, and
credit default swaps (CDS)). No crossings are required
for financial derivatives and its subcategories.
For further information on derivatives, refer to ASC
Topic 815, Derivatives and Hedging, and the FR Y-9C
Glossary entry for “derivative contracts.”

Valuation
The gross fair value and notional amount are reported
for total financial derivatives. The gross positive and
gross negative fair values, as well as the gross notional
amounts are reported for the Financial Derivatives
Schedule. The definition of gross fair value and
notional amount is consistent with the definitions used
on the FR 2436. Derivative contracts should be
reported gross, regardless if netting is permitted by
U.S. GAAP.

Types of Reportable Derivatives
Financial derivatives are to be reported in the following
three subcategories:
Line Item 1 Exchange-Traded Derivatives
Report on line 1 in Columns 1, 2 and 3, the gross positive fair value, gross negative fair value, and the
notional amount of all futures and options contracts
executed on organized exchanges, as well as swaps con-

tracts executed on a swap execution facility (SEF) in
the U.S. or multilateral trading facility (MTF) in
Europe. This data should be consistent with the
exchange-traded derivatives reported on Schedule L of
the FR Y-9C. Exclude any derivative contracts cleared
centrally at a central counterparty (CCP).
Line Item 2 Centrally Cleared Over-the-Counter
Derivatives
Report on line 2 in Columns 1 2, and 3 the gross positive fair value,gross negative fair value, and notional
amount of outstanding OTC derivative positions
which will be settled through a central counterparty
(CCP). Central counterparties are entities (e.g., a clearing house) that facilitate trades between counterparties
in one or more financial markets by either guaranteeing trades or novating contracts, in which one contract
with the direct counterparty is replaced by two contracts with the CCP.
When acting as a financial intermediary (i.e., where the
banking organization is a counterparty to both the
client and the CCP), report the notional and fair value
amounts associated with each contract (i.e., the contract with the CCP and the contract with the client).
Do not include cleared derivative transactions (i.e.,
transactions where the banking organization provides
clearing services for clients executing trades via an
exchange or with a CCP) where the banking organization is not a direct counterparty in the contract.
Line Item 3 Bilateral/Uncleared OTC Derivatives
Report on line 3 in Columns 1, 2,and 3 the gross positive fair value, gross negative fair value, and notional
amount of outstanding OTC derivative positions
which will be settled bilaterally (i.e., without the use of
a central counterparty). Include all types of risk categories and instruments (e.g., foreign exchange, interest rate, equity, commodities, and CDS).
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Instruments
Financial derivatives are to be reported according to
the predominant risk characteristic in the following
subcategories:
Line Items 1.a, 2.a, 3.a Equity Derivatives
Equity derivative contracts are contracts that have a
return, or a portion of their return, linked to the price
of a particular equity or to an index of equity prices, as
defined in the FR Y-9C.
Line Items 1.b, 2.b, 3.b Interest Rate Derivatives
Interest rate contracts are contracts related to an interest bearing financial instrument or whose cash flows
are determined by referencing interest rates or another
interest rate contract, as defined in the FR Y-9C. These
include single currency interest rate swaps, basis swaps,
forward rate agreements, and interest rate options,
including caps, floors, collars, and corridors.
Line Item 1.c, 2.c, 3.c Foreign Exchange Derivatives
Foreign exchange contracts are contracts to purchase
foreign (non-U.S.) currencies and U.S. dollar exchange
in the forward market, as defined in the FR Y-9C. A
purchase of U.S. dollar exchange is equivalent to a sale
of foreign currency. Foreign exchange contracts
include outright forwards and foreign exchange swaps,
currency swaps, cross-currency swaps, and options, and
excludes spot trades. Only the purchase side of a foreign currency transaction is to be reported. However,
in those transactions where foreign (non-U.S.) curren-

cies are bought or sold against U.S. dollars, report only
that side of the transaction that involves the foreign
(non-U.S.) currency.
Line Item 1.d, 2.d, 3.d Credit Derivatives
Credit derivative contracts are arrangements that allow
one party (the “protection purchaser” or “beneficiary”) to transfer the credit risk of a “reference asset”
or “reference entity” to another party (the “protection
seller” or “guarantor’’), as defined in the FR Y-9C.
These include basket swaps, credit forwards, credit
spread options, credit default options, credit default
swaps, first-to-default swaps and total return swaps.
Line Item 1.e, 2.e, 3.e Commodity Derivatives
Commodity contracts are contracts that have a return,
or a portion of their return, linked to the price of or to
an index of precious metals (including gold), petroleum, lumber, agricultural products, etc., as defined in
the FR Y-9C. A commodity contract can be structured
as a future, forward, option, or swap contract.
Line Items 1.f, 2.f, 3.f Other Derivatives
Other contracts include any derivative contract that is
not reportable as equity derivative, interest rate, foreign
exchange, credit derivative, or commodity contracts.
These can include derivatives baskets and structured
derivatives.
Contracts with multiple risk characteristics should be
classified based upon the predominant risk characteristics at the origination of the derivative.

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Schedule

What to Report
The Foreign Exchange Derivatives Schedule is
designed to collect, by currency and remaining maturity, the gross notional amount of the reporter’s consolidated holdings of foreign exchange derivative contracts excluding gold held for its own account
(reported as a commodity contract in the Financial
Derivatives Schedule). All contracts should be
reported gross, regardless if netting is permitted by
U.S. GAAP. Inter-desk trades are excluded from this
schedule. Report both sides of foreign exchange transactions involving the specified currencies listed below.

Types of Reportable Derivatives
Report all deals involving an exchange of more than
one currency or with exposure to an exchange rate.
These include currency forwards, FX swaps, currency
swaps, and cross currency interest rate swaps, and
excludes spot trades.
The instrument breakdown in the schedule is reported
as follows:
Line Item 1 Currency Forwards
Report the notional amount of all currency forward
contracts and FX swaps.
Line Item 2 Currency Swaps
Report the sum of items 2.a and 2.b. Report all currency swaps including cross currency interest rate
swaps based on whether principles are exchanged at
maturity or only the exchange of interest occurs.
Line Item 2.a Exchange of Notional
Include all currency swap contracts where the notional
amounts are exchanged, or both the notional and
interest are exchanged.

Line Item 2.b Only Exchange of Interest
Include all currency swap contracts where only the
exchange of interest occurs.

Currencies
The currencies are displayed in a matrix structure with
the short currency (the currency sold or paid at maturity) in the columns and the long currency (the currency bought or received at maturity) in the rows. The
following specified currencies are to be used:
• USD: United States Dollar;
• EUR: Euro;
• JPY: Japanese Yen;
• GBP: British Pound;
• CHF: Swiss Franc;
• CNY: Yuan Renminbi (includes CNY, Chinese Yuan
Onshore, and CNH, Chinese Yuan Offshore);
• OTH: All other currencies not specified above

Remaining maturity
As defined in the instructions for the I-A Immediate
Counterparty (I-AC) Schedule, remaining maturity is
the amount of time remaining from the report date
until the final contractual maturity of the instrument
without regard to the instrument’s repayment schedule, if any.
For each foreign exchange derivative type, report positions in to the following remaining maturity buckets:
• Non-maturity instruments (including on demand
and open positions).
• Overnight and less than 3 months.
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• 3 months and less than 1 year.
• 1 year and over.
The reporter should file separate schedules for each
remaining maturity bucket for which it has a foreign
derivative position. For the indicator item “Remaining
Maturity Bucket,” report the number of the appropriate remaining maturity bucket from the list above.

Example
A reporter has entered into a forward contract selling
$100 mil USD against EUR maturing in two months.
Reporting entries would be $100 mil in the remaining
maturity bucket “overnight and less than 3 months” in
column A (USD) and row 1.2 (EUR):

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Affiliates

Banks, deposit-taking corporations

A branch, subsidiary or a joint venture, which are consolidated within the banking group (regulatory or
accounting, depending on the scope).

Financial institutions whose business it is to receive
deposits or close substitutes for deposits and to grant
credits or invest in securities on their own account.
For further information, see the FR Y-9C Glossary
entries for “Banks, U.S. and Foreign” and “Depository
Institutions.”

Allowances
Specific allowances are the cumulative amount of
impairments related to financial assets which have been
assessed individually, and the cumulative amount of
collective impairment calculated on insignificant loans
which are impaired on an individual basis and for
which the institution decides to use a statistical
approach. General allowances are the cumulative
amount of collective impairment determined on financial assets which are not impaired on an individual
basis. Allowances on credit losses should be reported in
accordance with U.S. GAAP and ASU 2016-13.

Associated company
A corporation in which the reporting banking organization, directly or indirectly, owns 20 to 50 percent of
the outstanding voting stock and/or over which the
reporting bank exercises significant influence. This
20 to 50 percent ownership is presumed to carry “significant” influence unless the holding company can
demonstrate the contrary to the satisfaction of the
Federal Reserve. For further information, see the
FR Y-9C Glossary entry for “Subsidiaries.”

Banking office
Includes banks’ head offices, branches and
subsidiaries.

Branch
Operating entity which do not have a separate legal
status and is thus integral part of the parent bank.

Carrying amount
The carrying amount or book value (balance sheet
value) is the amount for which the instruments are
reported in the financial statements, according to the
international or GAAP accounting standards.

Cash collateral
Collateral consisting of cash, negotiable instruments
(e.g., negotiable securities), documents of title, deposit
accounts or other cash equivalents. It includes any
negotiable assets that may be converted into liquid
assets, if necessary. In bankruptcy proceedings, cash
collateral is important for presenting an accurate picture of the financial condition related to the action.
Depending on the type of bankruptcy that is being
filed, conversion of assets into cash may be required.
This cash collateral is then used to discharge part of
the outstanding indebtedness, leaving the court to
address the disposition of any remaining credit.
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Glossary

Central banks

Cross currency swaps

See the FR Y-9C Glossary entry for “Foreign Central
Banks.”

A variation of a currency swap in which at least one of
the payment streams varies with a floating interest rate.
These instruments fall into the currency swaps section.

Central counter parties (CCPs)
A clearing house that interposes itself between counterparties to contracts traded in one or more financial
markets, becoming the buyer to every seller and the
seller to every buyer and thereby ensuring the future
performance of open contracts. A CCP becomes counterparty to trades with market participants through
novation, an open offer system, or another legally
binding arrangement.

Corporate joint venture
A corporation owned and operated by a group of companies (“joint ventures”), no one of which has majority
interest, as a separate and specific business or project
for the mutual benefit of the joint ventures. Each joint
venture may participate, directly or indirectly, in the
management of the joint venture. For further information, see the FR Y-9C Glossary entry for “Subsidiaries.”

Credit commitments
Arrangements that irrevocably obligate an institution,
at a client’s request, to extend credit in the form of
loans, participation in loans, lease financing receivables, mortgages, overdrafts or other loan substitutes
or commitments to extend credit in the form of the
purchase of loans, securities or other assets, such as
backup facilities including those under note issuance
facilities and revolving underwriting facilities. See
FR Y-9C, Schedule HC-L, item 1, “Unused
Commitments.”

Credit derivatives contract
Derivative whose redemption value is linked to specified credit-related events, such as bankruptcy, credit
downgrade, non-payment, or default of a borrower.
For example, a lender might use a credit derivative to
hedge the risk that a borrower might default. Common
credit derivatives include credit default swaps, total
return swaps and credit spread options.

Currency swaps
Derivative contracts which commits two parties to
exchange streams of interest payments in different currencies for an agreed period of time and to exchange
principal amounts in different currencies at pre-agreed
exchange rate at maturity.

Debt securities
Negotiable instruments other than loans and deposits,
equity securities, investment fund shares or units, and
financial derivatives. All financial assets that are bearer
instruments, usually negotiable and traded on secondary markets, not granting the holder any ownership
rights to the institutional unit issuing them. Nonnegotiable instruments are classified as loans and
deposits.

Derivative instrument
A financial instrument whose value depends on some
underlying financial asset, commodity index or predefined variable. For further information, seethe
FR Y-9C Glossary entry for “Derivative Contracts.”

Equity securities
An equity security is any financial instrument that evidences a residual interest in the assets of an entity after
deduction of all of its liabilities.

Face value
The amount of principal to be repaid (2008 SNA 3.154
(d)). It is equivalent to the redemption price of a debt
security excluding accrued interest (2009 Handbook
on Securities Statistics, Part 1).

Fair value
The accounting act of recording the price or value of a
security, portfolio or account to reflect its current mar-

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Glossary

ket value rather than its book value. For further information, see the FR Y-9C Glossary entry for “Fair Value.”

Foreign currency
Any currency other than the currency of the country in
which the counterparty resides.

Guarantees Extended
Contingent liabilities arising from an irrevocable obligation to pay a third-party beneficiary when a client
fails to perform certain contractual obligations. They
include secured, bid and performance bonds, warranties and indemnities, confirmed documentary credits,
irrevocable and standby letters of credit, acceptances
and endorsements. Guarantees extended also include
the contingent liabilities of the protection seller of
credit derivatives instruments, when they qualify for
financial guarantees under U.S. GAAP. For further
information, see the FFIEC 009 definition for “Guarantees.”

rectly from them through other international organizations. (b) They are entities established by formal political agreements between their members that have the
status of international treaties; their existence is recognized by law in their member countries.

Joint venture
A (banking) enterprise in which two or more parties
hold major interests. One of those parties may, but
need not, be of the country in which the joint venture
operates.

Loan
A loan is generally an extension of credit resulting
from direct negotiations between a lender and a borrower. The reporting banking organizations or its consolidated subsidiaries may originate a loan by directly
negotiating with a borrower or it may purchase a loan
or a portion of a loan originated by another lender that
directly negotiated with a borrower. For further information, see the FR Y-9C Glossary entry for “Loans.”

Home country
The country where the prudential authority exercising
the highest level of consolidated supervisions is
located. Also referred to as the “Parent country.”

Insurance companies
Incorporated, mutual, and other entities whose principal function is to provide life, accident, health, fire, or
other forms of insurance to customers or reinsurance
services to other insurance corporations.

Interbank positions
Asset and liability positions reported by a bank vis-àvis another bank.

International organization
International organizations are those that meet either
of the following conditions: (a) The members of the
organization are either national states or other international organizations whose members are national
states; they thus derive their authority either directly
from the national states that are their members or indi-

Loans secured by real estate
Is a loan that, at origination is secured wholly or substantially by a lien or liens on real property for which
the lien or liens are central to the extension of the
credit-that is, the borrower would not have extended
credit in the same amount or on terms as favorable
without the lien or liens on real property. This criterion
may vary by jurisdiction. Therefore, reporting banking
organizations should follow the criteria or guidelines
established by its home country supervisor (HCS) to
classify loans as secured by real estate. For further
information, see the FR Y-9C Glossary entry for
“Loan Secured By Real Estate.”

Local currency
The domestic currency of the country in which the
counterparty resides, as defined in the
FFIEC 009 General Instructions, Section E.
Local positions in local currency: Asset or liability
positions with a counterparty (bank or non-bank)
located in the same country as the banking office and
which are denominated in the domestic currency of the
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Glossary

country, as defined in the FFIEC 009 General Instructions, Section E.

Local positions in foreign currencies
Asset or liability positions with a counterparty (bank
or non-bank) located in the same country as the banking office and which are denominated in a currency
other than the domestic currency of the country, as
defined in the FFIEC 009 General Instructions, Section E.

Long-term
Maturities exceeding one year or with no stated
maturity.

Negotiable security
A security where legal ownership is readily capable of
being transferred from one entity to another by delivery or endorsement (BPM6, paragraph 5.15). It is not
necessary that a security be traded on an exchange for
it to be considered negotiable.

Netting agreement
A netting agreement (or master netting agreement) is a
standardized bilateral contract that enables trading
counterparties to agree to net collateral requirements.
Such an agreement enables the positive balances of one
counterparty to be offset against the negative ones of
another when payable the same day and in the same
currency. For further information, see Basel Committee on Banking Supervision, International convergence
of capital measurement and capital standards, BIS,
June 2006. Available at: www.bis.org/publ/
bcbs128.htm.

amount including any accrued interest (BPM6, 3.88).
The nominal value reflects the sum of funds originally
advanced, plus any subsequent advances, plus any
interest that has accrued, less any repayments (which
includes any payments covering interest accrual).

Non-Bank Financial Institutions (NBFI)
Private or public financial institutions or part thereof
(e.g., subsidiary or other operating unit), whose major
activity is to raise or otherwise obtain funds to provide
to another entity or to provide financial services or
activities auxiliary to financial intermediation such as
fund management. The category may include, but it is
not limited to, money market funds (MMFs), insurance companies, pension funds, central counterparties
(CCPs), non-bank depository institutions, securities
brokers/dealers, financial holding companies not
included in banking groups, mutual funds, and asset
managers. For further information, see the
FFIEC 009 sector definition for “Non-Bank Financial
Institutions (NBFIs).”

Non-Financial Corporations (NFC)
Privately and publicly owned corporations as well as
unincorporated enterprises that function as if they
were corporations, such as partnerships and the offices
of foreign corporations that engage, for example, in the
production of market goods and non-financial services. For further information, see the FFIEC 009 sector definition for “Corporate.”

Notional amount
The nominal or face amount that is used to calculate
payments made on that instrument.

Netting set
A group of transactions with a single counterparty
that are subject to a single, legally-enforceable, bilateral
netting agreement.

Nominal value
The outstanding amount the debtor owes to the creditor, which is composed of the outstanding principal

On demand
Payable immediately upon request or having an original maturity or required notice period of less than
seven days, or that represent funds for which the
depository institution does not reserve the right to
require at least seven days’ written notice of an
intended withdrawal.

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Glossary

Open position
Outstanding trades agreed without fixing a maturity
date. For example, an open repurchase agreement can
be terminated on any day in the future by either party,
provided they give notice before an agreed daily
deadline.

Parent country
See “Home country.”

Provisions
Provisions are liabilities of uncertain timing or amount
(IAS 37).

securities borrowed. For further information, see the
FR Y-9C Glossary entry for “Securities Borrowing/
Lending Transactions.”

Separate accounts
Separate accounts are employed by life insurers to segregate and account for assets and related liabilities
maintained to meet specific investment objectives of
contract holders. The accounts are often maintained as
separate accounting entities for pension funds as well
as fixed benefit, variable annuity and other products
on which the customer and not the insurer retains all or
most of the investment and/or interest rate risk. The
assets of each account are legally segregated and are
not subject to claims that arise out of any other business of the company.

Reporting banking organization
An institution participating in the reporting exercise
described in these Guidelines.

Short position
See “Short sales/short selling.”

Repurchase/resale agreements

Short sales / short selling

A repurchase agreement is a transaction involving the
“sale” of financial assets by one party to another, subject to an agreement by the “seller” to repurchase the
assets at a specified date or in specified circumstances.
Resale agreements (also known as a reverse repurchase
agreement) is a transaction involving the “purchase” of
financial assets by one party from another, subject to
an agreement by the “purchaser” to resell the assets at
specified date or in specified circumstances. For further
information, see the FR Y-9C Glossary entry for
“Repurchase/Resale Agreements.”

When a holding company or its consolidated subsidiaries sell an asset that they do not own, they have established a short position. If on the report date a holding
company or its subsidiaries are in a short positions, it
shall report its liability to purchase the asset in the I-A
IC schedule under “Other Financial Payables.” Short
positions shall be reported gross. Short trading positions shall be revalued consistent with the method used
by the reporting banking organization for the valuation of its trading account assets.

Securities borrowing / lending
Securities borrowing/lending transactions are typically
initiated by broker-dealers and other financial institutions that need specific securities to cover a short sale
or a customer’s failure to deliver securities sold. The
borrower of securities generally is required to provide
collateral to the lender of securities, commonly cash
but sometimes other securities or standby letters of
credit, with a value slightly higher than that of the

Short-term
Maturities of up to and including one year or “on
demand.”

Subsidiary
A separately incorporated entity in which another
entity has a majority or full participation. For further
information, see the FR Y-9C Glossary entry for “Subsidiaries.”

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