(reporting form fr y-14q) draft - federal reserve … · required form and to review instructions...

DraftFRY‐14QInstructions–TransitionsFreezeBasedonversionmodifiedMay23,2017

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OMB No. 7100-0341 Expiration Date: January 31, 2020

Instructions for the Capital Assessments and Stress Testing information collection

(Reporting Form FR Y-14Q)

This Report is required by law: section 165 of the Dodd‐Frank Act (12 U.S.C. § 5365) and section 5 of the Bank Holding

Company Act (12 U.S.C. § 1844). Public reporting burden for this information collection is estimated to vary from 4 to

1,926 hours per response, with an average of 243 hours per response, including time to gather and maintain data in the

required form and to review instructions and complete the information collection. Comments regarding this burden

estimate or any other aspect of this information collection, including suggestions for reducing the burden, may be sent

to Secretary, Board of Governors of the Federal Reserve System, 20th and C Streets, NW, Washington, DC 20551, and to

the Office of Management and Budget, Paperwork Reduction Project (7100‐0341), Washington, DC 20503.

DRAFT

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Contents

GENERALINSTRUCTIONS .................................................................................................................................................. 4

WHOMUSTREPORT ................................................................................................................................................................................ 4 WHERETOSUBMITTHEREPORTS ............................................................................................................................................................ 5 WHENTOSUBMITTHEREPORTS .............................................................................................................................................................. 6 HOWTOPREPARETHEREPORTS: ............................................................................................................................................................ 7

ScheduleA–Retail ............................................................................................................................................................ 10

A.1–INTERNATIONALAUTOLOAN ........................................................................................................................................................ 10 A.2–USAUTOLOAN ............................................................................................................................................................................ 15 A.3–INTERNATIONALCREDITCARD ..................................................................................................................................................... 21 A.4–INTERNATIONALHOMEEQUITY .................................................................................................................................................... 25 A.5–INTERNATIONALFIRSTLIENMORTGAGE ...................................................................................................................................... 29

A.6–INTERNATIONALOTHERCONSUMERSCHEDULE ............................................................................................................................ 33 A.7–USOTHERCONSUMER ................................................................................................................................................................. 36 A.8–INTERNATIONALSMALLBUSINESS ................................................................................................................................................ 39 A.9–USSMALLBUSINESS..................................................................................................................................................................... 42 A.10–STUDENTLOAN ......................................................................................................................................................................... 45

ScheduleB—Securities .................................................................................................................................................... 49

B.1—SECURITIES1(“MAINSCHEDULE”) .............................................................................................................................................. 49 B.2—SECURITIES2(“INVESTMENTSECURITIESWITHDESIGNATEDACCOUNTINGHEDGES”) .................................................................. 54

ScheduleC—RegulatoryCapitalInstruments ............................................................................................................. 58

C.1—REGULATORYCAPITALINSTRUMENTSASOFQUARTEREND .......................................................................................................... 58 C.2—REGULATORYCAPITALINSTRUMENTREPURCHASES/REDEMPTIONSDURINGQUARTER ................................................................ 59 C.3–REGULATORYCAPITALINSTRUMENTSISSUANCESDURINGQUARTER ............................................................................................. 60

ScheduleD—RegulatoryCapitalTransitions .............................................................................................................. 62

D.1—CAPITALCOMPOSITION ............................................................................................................................................................... 66 D.2—EXCEPTIONBUCKETCALCULATOR ............................................................................................................................................... 74 D.3—ADVANCEDRISK‐WEIGHTEDASSETS .......................................................................................................................................... 76 D.4—STANDARDIZEDRISK‐WEIGHTEDASSETS .................................................................................................................................... 82 D.5—LEVERAGEEXPOSURE .................................................................................................................................................................. 87 D.6—PLANNEDACTIONS ...................................................................................................................................................................... 92

ScheduleE—OperationalRisk ........................................................................................................................................ 94

E.1—OPERATIONALLOSSHISTORY ....................................................................................................................................................... 94 E.2.INTERNALBUSINESSLINE ............................................................................................................................................................ 101 E.3.UNIT‐OF‐MEASURE(UOM) ......................................................................................................................................................... 102 E.4.THRESHOLDINFORMATION .......................................................................................................................................................... 102 E.5—LEGALRESERVESFREQUENCY ..................................................................................................................................................... 103

ScheduleF—Trading ...................................................................................................................................................... 106

GLOSSARY ........................................................................................................................................................................................... 108 REGIONALGROUPINGS ........................................................................................................................................................................ 110 F.1—EQUITYBYGEOGRAPHY ............................................................................................................................................................. 112 F.2—EQUITYSPOT‐VOLGRID ............................................................................................................................................................ 113 F.3—OTHEREQUITY .......................................................................................................................................................................... 114

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F.4—FXSPOTSENSITIVITIES .............................................................................................................................................................. 115 F.5—FXVEGA .................................................................................................................................................................................... 116 F.6—RATESDV01 ............................................................................................................................................................................. 117 F.7—RATESVEGA .............................................................................................................................................................................. 119 F.8—OTHERRATES ............................................................................................................................................................................ 120 F.9—ENERGY ..................................................................................................................................................................................... 121 F.10—METALS .................................................................................................................................................................................. 122

F.11—AGS&SOFTS ........................................................................................................................................................................... 123 F.12—COMMODITYINDICES ............................................................................................................................................................... 124 F.13—COMMODITYSPOT‐VOLGRIDS ................................................................................................................................................. 125 F.14—SECURITIZEDPRODUCTS .......................................................................................................................................................... 127 F.15—AGENCIES ................................................................................................................................................................................ 128 F.16—MUNIS ..................................................................................................................................................................................... 129

F.17—AUCTIONRATESECURITIES(ARS) .......................................................................................................................................... 130 F.18—CORPORATECREDIT‐ADVANCED .............................................................................................................................................. 131 F.19—CORPORATECREDIT‐EMERGINGMARKETS............................................................................................................................... 133

F.20—SOVEREIGNCREDIT ................................................................................................................................................................. 135 F.21—CREDITCORRELATION ............................................................................................................................................................. 137 F.22—IDR‐CORPORATECREDIT ........................................................................................................................................................ 139 F.23—IDR‐JUMPTODEFAULT ........................................................................................................................................................... 141 F.24—PRIVATEEQUITY ..................................................................................................................................................................... 142 F.25—OTHERFAIRVALUEASSETS ..................................................................................................................................................... 143

ScheduleG—PPNR .......................................................................................................................................................... 144

G.1—PPNRSUBMISSIONWORKSHEET ............................................................................................................................................... 147

G.2—PPNRNETINTERESTINCOME(NII)WORKSHEET ..................................................................................................................... 161

G.3—PPNRMETRICS ........................................................................................................................................................................ 169

ScheduleH—WholesaleRisk ........................................................................................................................................ 181

H.1‐ CORPORATELOANDATASCHEDULE ........................................................................................................................................... 181 H.2– COMMERCIALREALESTATESCHEDULE ..................................................................................................................................... 231

ScheduleI–MSRValuationSchedule ........................................................................................................................... 263

ScheduleJ–RetailFairValueOption/HeldforSale(FVO/HFS) ............................................................................ 266

ScheduleK‐Supplemental ............................................................................................................................................ 269

ScheduleL‐Counterparty ............................................................................................................................................. 272

ScheduleM—Balances ................................................................................................................................................... 304

AppendixA:FRY‐14QSupportingDocumentation ................................................................................................. 309

SUPPORTINGDOCUMENTATIONFORSCHEDULEC–REGULATORYCAPITALINSTRUMENTS .................................................................... 309 SUPPORTINGDOCUMENTATIONFORSCHEDULED–REGULATORYCAPITALTRANSITIONS ..................................................................... 309 SUPPORTINGDOCUMENTATIONFORSCHEDULEL–COUNTERPARTY ..................................................................................................... 309

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INSTRUCTIONSFORPREPARATIONOFCapitalAssessmentsandStressTestingReportFRY‐14QGENERALINSTRUCTIONSTheCapitalAssessmentsandStressTestingReport(FRY‐14Qreport)collectsdetaileddataonbankholdingcompanies’(BHCs)andintermediateholdingcompanies’(IHCs)variousassetclasses,capitalcomponents,andcategoriesofpre‐provisionnetrevenue(PPNR)onaquarterlybasis,whichwillbeusedtosupportsupervisorystresstestingmodelsandforcontinuousmonitoringefforts. TheFRY‐14QreportiscomprisedofRetail,Securities,RegulatoryCapitalInstruments,RegulatoryCapitalTransitions,Operational,Trading,PPNR,Wholesale,MSRValuationSchedule,RetailFairValueOption/HeldforSale,Supplemental,CounterpartyandBalancesschedules,eachwithmultiplesupportingworksheets.Allofthedataschedulesaretobesubmittedforeachreportingperiodunlessmaterialitythresholdsapply.ThenumberofschedulesaBHCorIHCmustcompleteissubjecttomaterialitythresholdsandcertainothercriteria.

BHCsandIHCsmayalsoberequiredtosubmitqualitativeinformationsupportingtheirprojections,includingdescriptionsofthemethodologiesusedtodeveloptheinternalprojectionsofcapitalacrossscenariosandotheranalysesthatsupporttheircomprehensivecapitalplans.Furtherinformationregardingthequalitativeandtechnicalrequirementsofrequiredsupportingdocumentationisprovidedinindividualschedulesasappropriate,aswellasintheSupportingDocumentationinstructions(AppendixA).Whensubmittingsupportingdocumentation,provideeachresponseinaseparatedocument.WhoMustReportA.ReportingCriteriaBankholdingcompanies(BHCs)andintermediateholdingcompanies(IHCs)withtotalconsolidatedassetsof$50billionormore,asdefinedbythecapitalplanrule(12CFR225.8),arerequiredtosubmittheCapitalAssessmentandStressTestingreport(FRY‐14A/Q/M)totheFederalReserve.Thecapitalplanruledefinestotalconsolidatedassetsastheaverageofthecompany’stotalconsolidatedassetsoverthecourseofthepreviousfourcalendarquarters,asreflectedontheBHC’sorIHC’sConsolidatedFinancialStatementforBankHoldingCompanies(FRY–9C).Totalassetsshallbecalculatedbasedontheduedateofthebankorintermediateholdingcompany’smostrecentFRY–9C.IftheBHCorIHChasnotfiledanFRY‐9Cforeachofthefourmostrecentquarters,theaverageoftheBHC’sorIHC’stotalconsolidatedassetsinthemostrecentconsecutivequartersasreportedquarterlyontheBHC’sorIHC’sFRY‐9Cshouldbeusedinthecalculation.Certaindataelementswithintheschedulesaresubjecttomaterialitythresholds. TheinstructionstothesedataschedulesprovidedetailsonhowtodeterminewhetheraBHCorIHCmustsubmitaspecificschedule,worksheet,ordataelement.ABHCorIHCmustfilloutalloftheschedulesoftheFRY‐14MandFRY‐14QwheretheBHCorIHCmeetsthematerialitydefinition.Whenapplicable,thedefinitionoftheBHC’sorIHC’ssubmissionsshouldcorrelatetothedefinitionsoutlinedbythecorrespondingMDRMcodewithintheFRY‐9Creport.AllschedulesarerequiredtobereportedbyallBHCsandIHCswithexceptionsasdescribedbelow:PPNR,RegulatoryCapitalTransitions,RegulatoryCapitalInstrumentsandBalancesschedules:Allbankandintermediateholdingcompaniesmustsubmittheseschedules.TradingandCounterpartyschedules: OnlyBHCsorIHCswithgreaterthan$500billionintotalconsolidated

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assetswhoaresubjecttotheamendedmarketriskrule(12CFRParts208,AppendixEand225AppendixE)mustsubmitthisscheduleandworksheets.Allotherquarterlyschedules: Reportingoftheremainingschedulesissubjecttomaterialitythresholds.Forlargeandnoncomplexfirms:1Materialportfoliosaredefinedasthosewithassetbalancesgreaterthan$5billionorwithassetbalancesgreaterthantenpercentofTier1capitalonaverageforthefourquartersprecedingthereportingquarter.ForlargeandcomplexorLISCCfirms:2Materialportfoliosaredefinedasthosewithassetbalancesgreaterthan$5billionorassetbalancesgreaterthanfivepercentofTier1capitalonaverageforthefourquartersprecedingthereportingquarter.Forschedulesthatrequiretheinstitutionstoreportinformationonservicedloans,thematerialitythresholdisbasedontheassetbalancesassociatedwiththeBHC’sorIHC’sownedportfolio.Alldatausedtodeterminematerialityshouldbemeasuredasofthecloseofbusinessofthelastcalendardayofthequarter,andassetsincludedinagivenportfolioaredefinedintheinstructionsforeachschedule.BHCsandIHCsalsohavetheoptiontocompletethedataschedulesforimmaterialportfolios.IftheBHCorIHCdoesnotcompletetheschedules,theFederalReservewillassignlossestoimmaterialportfoliosinamannerconsistentwiththegivenscenariotoproducesupervisoryestimates NewReporters:NewreportersmustsubmittheFRY‐14QPPNRnewreportstemplatewithdatastartingas‐of2009onthefirstquarterthattheyaresubjecttoreporting.Newreportersmustalsosubmithistoricaldata,startinginJanuary2007,fortheFRY‐14Qretailschedules.B.ExemptionsBHCsandIHCsthatdonotmeetthereportingcriterialistedaboveareexemptfromreporting.Thefollowinginstitutionsarealsoexempt:BHCs,IHCs,savingsandloanholdingcompanies(SLHCs)andstatememberbanks(SMBs)withaveragetotalconsolidatedassetsofgreaterthan$10billionbutlessthan$50billionsubjecttothefinalruleonannualcompany‐runstresstests(12CFR252(h))arenotrequiredtofilethisreport.However,institutionsmeetingthisthresholdshouldreviewthereportingrequirementsandinstructionsfortheAnnualCompany‐RunStressTestProjections(FRY‐16)ontheBoard’spublicwebsite.SLHCsarecurrentlynotrequiredtocomplywithFRY‐14reportingrequirements.FurtherinformationregardingreportingforSLHCswillbeprovidedinthefuture.3WheretoSubmittheReportsAllBHCsandIHCssubjecttothesereportingrequirementsmustsubmitcompletedreportselectronicallyviatheIntraLinkswebsite. BHCsandIHCswillbeprovidedinformationonhowtotransmitdatatotheFRY‐14

1 A large and noncomplex firm is a BHC or a U.S. intermediate holding company subsidiary of a foreign banking organization (IHC) with total consolidated assets of at least $50 billion but less than $250 billion, total consolidated nonbank assets of less than $75 billion, and is not a U.S. GSIB. 2 A LISCC firm is a BHC subject to the Federal Reserve’s Large Institution Supervisory Coordinating Committee (LISCC) framework. A large and complex firm is a BHC, other than a LISCC firm, with total consolidated assets of $250 billion or more; and nonbank assets of $75 billion or more. 3SLHCswouldnotbesubjecttoDodd‐Frankannualcompany‐runstresstestingrequirementsuntilthenextcalendaryearaftertheSLHCsbecomesubjecttoregulatorycapitalrequirements.

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IntraLinksCollaborationwebsite.RequestsforaccesstotheIntralinkssiteshouldbesenttoccar.support@ccar.frb.org.

Forrequirementsregardingthesubmissionofqualitativesupportinginformation,pleaseseetheTechnicalInstructionsandSupportingDocumentationInstructions,inadditiontoinstructionsassociatedwitheachscheduleforwhichsupportingdocumentationmightberequired.WhentoSubmittheReportsBHCsandIHCsmustfiletheFRY‐14Qschedulesquarterlyaccordingtotheappropriatetimescheduledescribedbelow.Allscheduleswillbedueonorbeforetheendofthesubmissiondate(unlessthatdayfallsonaweekendorholiday(subjecttotimelyfilingprovisions)).

RiskFactor

SchedulesandSub‐Worksheets

Dataas‐of‐dateSubmissiondue

toFederalReserve

FRY‐14Q(QuarterlyFilings)SecuritiesPPNRRetailWholesaleOperationalRiskMSRValuationSupplementalRetailFVO/HFSRegulatoryCapitalTransitionsRegulatoryCapitalInstrumentsBalances

Dataas‐ofeachcalendarquarterend.

SevendaysaftertheFRY‐9Creportingschedule:Reporteddata(47calendardaysafterthecalendarquarter‐endforMarch,June,andSeptemberand52calendardaysafterthecalendarquarter‐endforDecember).

TradingscheduleCounterpartyschedule

DuetotheCCARMarketShockexercise,theas‐of‐dateforthefourthquarterwouldbecommunicatedinthesubsequentquarter.Forallotherquarters,theas‐ofdatewouldbethelastdayofthequarter,exceptforBHCsorIHCsthatarerequiredtore‐submittheircapitalplan.FortheseBHCsorIHCs,theas‐ofdateforthequarterpreceding

SevendaysaftertheFRY‐9Creportingschedule.Fourthquarter–TradingandCounterparty(Regular/unstressedsubmission):52calendardaysafterthenotificationdate(notifyingrespondentsoftheas‐of‐date)orMarch15,whichevercomesearlier.UnlesstheBoardrequiresthedatatobeprovidedoveradifferentweeklyperiod,BHCsandIHCsmayprovidethesedataas‐ofthemostrecentdatethatcorrespondstotheirweeklyinternalriskreportingcycleaslongasitfallsbeforetheas‐of‐date.Fourthquarter–Counterparty(CCAR/stressedsubmission):

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thequarterinwhichtheyarerequiredtore‐submitacapitalplanwouldbecommunicatedtotheBHCsorIHCsduringthesubsequentquarter.

April5.Inaddition,forBHCsandIHCsthatarerequiredtore‐submitacapitalplan,theduedateforthequarterpre‐cedingthequarterinwhichtheBHCsorIHCsarerequiredtore‐submitacapitalplanwouldbethelaterof(1)thenormalduedateor(2)thedatethatthere‐submittedcapitalplanisdue,includinganyextensions.

Ifthesubmissiondatefallsonaweekendorholiday,thedatamustbereceivedonthefirstbusinessdayaftertheweekendorholiday. Nootherextensionsoftimeforsubmittingreportswillbegranted.Earlysubmission,includingsubmissionofschedulesonaflowbasispriortotheduedate,aidstheFederalReserveinreviewingandprocessingdataandisencouraged.NewReporters:FortheFRY‐14Qschedules,thefilingdeadlinewillbeextendedto(1)90daysafterthequarter‐endforthefirsttwoquarterlysubmissionsand(2)65daysafterthequarter‐endforthethirdandfourthquarterlysubmissions.Beginningwiththefifthquarterlysubmission,theserespondentswillberequiredtoadheretothestandardreportingdeadlinesabove.HowtoPreparetheReports:A. ApplicabilityofGAAPBHCsandIHCsarerequiredtoprepareandfiletheFRY‐14Qschedulesinaccordancewithgenerallyacceptedaccountingprinciples(GAAP)andtheseinstructions. ThefinancialrecordsoftheBHCsandIHCsshouldbemaintainedinsuchamannerandscopetoensuretheFRY‐14QispreparedinaccordancewiththeseinstructionsandreflectsafairpresentationoftheBHCs'andIHCs’financialconditionandassessmentofperformanceunderstressedscenarios.B. RulesofConsolidation PleasereferencetheFRY‐9CGeneralInstructionsforadiscussionregardingtherulesofconsolidation.C. TechnicalDetailsThefollowinginstructionsapplygenerallytotheFRY‐14Qschedules,unlessotherwisespecified.Forfurtherinformationonthetechnicalspecificationsforthisreport,pleaseseetheTechnicalInstructions.• Donotenteranyinformationingrayhighlightedorshadedcells,includingthosewithembeddedformulas.

Onlynon‐shadedcellsshouldbecompletedbyinstitutions.• Ensurethatanyinternalconsistencychecksarecompletepriortosubmission.• ReportdollarvaluesinmillionsofUSdollars(unlessspecifiedotherwise).• DatesshouldbeenteredinanYYYYMMDDformat(unlessspecifiedotherwise).• Reportnegativenumberswithaminus(‐)sign.• Reportdataasaninteger(unlessspecifiedotherwise)• Anamount,zeroornullshouldbeenteredforallitems,exceptinthosecaseswhereotheroptionssuchas

“notavailable”or“other”arespecified.Ifinformationisnotavailableornotapplicableandnosuchoptionsareoffered,thefieldshouldbeleftblank.

• Reportincomeandlossdataonaquarterlybasis,andnotonacumulativeoryear‐to‐datebasis.

D. OtherInstructionalGuidance

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BHCsandIHCsshouldreviewthefollowingpublisheddocuments(intheorderlistedbelow)whendeterminingtheprecisedefinitiontobeusedincompletingtheschedules.Whereapplicable,referencestotheFRY‐9Chavebeenprovidedintheinstructionsandtemplatesnotingassociationsbetweenthereportingseries.1) TheFRY‐14Ainstructions;2) TheFRY‐14Minstructions;3) ThelatestavailableFRY‐9CinstructionspublishedontheFederalReserve’spublicwebsite:

http://www.federalreserve.gov/reportforms;ForpurposesofcompletingcertainFRY‐14Qschedules,BHCsandIHCsshouldalsoconsultthefollowingreferencesforrelevantguidance: CapPR2013Instructionsavailableat:

http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b2.pdf

CCAR2013Instructionsavailableat:http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20121109b1.pdf

E. ConfidentialityAsthesedatawillbecollectedaspartofthesupervisoryprocess,theyaresubjecttoconfidentialtreatmentunderexemption8oftheFreedomofInformationAct.5U.S.C.552(b)(8).Inaddition,commercialandfinancialinformationcontainedintheseinformationcollectionsmaybeexemptfromdisclosureunderExemption4.5U.S.C.552(b)(4).Disclosuredeterminationswouldbemadeonacase‐by‐casebasis.F. LegalConsiderationsforInternationalExposuresABHCorIHCisnotrequiredtoreportaparticulardataitemifaforeignlawprohibitstheBHCorIHCfromprovidingtheinformationtotheFederalReserve.However,theFederalReserveisauthorizedbylawtocollectinformationfromaBHCorIHCregardingitsexposures,includingforeignexposures.

ABHCorIHCmustincludewithitsdatasubmissionalegalanalysisoftheforeignlawthatprohibitsreportingthedatatotheFederalReserve.Thelegalanalysismustinclude,butisnotlimitedto,adetaileddescriptionofthelaw(s)prohibitingthereportingoftheinformationtotheFederalReserve,asummarydescriptionoftheexposuresomitted,anyotherinformationtheBHCorIHCdeemsrelevanttojustifyomittingthedata,andanyadditionalinformationrequiredbytheFederalReserve.G. AmendedReportsTheFederalReservewillrequirethefilingofamendedreportsifprevioussubmissionscontainsignificanterrors. Inaddition,areportinginstitutionmustfileanamendedreportwhenitortheFederalReservediscoverssignificanterrorsoromissionssubsequenttosubmissionofareport. Failuretofileamendedreportsonatimelybasismaysubjecttheinstitutiontosupervisoryaction.Ifresubmissionsarerequired,institutionsshouldcontacttheappropriateReserveBank,aswellastheFRY‐[email protected],andresubmitdataviatheIntralinkswebsite.H. QuestionsandRequestsforInterpretations BHCsandIHCsshouldsubmitanyquestionsorrequestsforinterpretationsbye‐[email protected]. AttestationForBankHoldingCompaniesthatarepartoftheFederalReserve’sLargeInstitutionSupervisionCommittee

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portfolio,4theCapitalAssessmentsandStressTesting(FRY‐14A/Q/M)datasubmissionmustbesignedbythechieffinancialofficeroranequivalentseniorofficer.Bysigningthecoverpageofthisreport,theauthorizedofficeracknowledgesthatanyknowingandwillfulmisrepresentationoromissionofamaterialfactonthisreportconstitutesfraudintheinducementandmaysubjecttheofficertolegalsanctionsprovidedby18USC1001and1007.Materialweaknessesininternalcontrolsormaterialerrorsoromissionsinthedatasubmittedmustbereportedthroughtherespondent’sdesignatedFederalReserveSystemcontactsastheyareidentified.

ThecoverpagefortheFRY‐14A/Q/MattestationshouldbesubmittedwiththeFRY‐14AsubmissionfortheFRY‐14A,FRY‐14QandFRY‐14MreportsasofDecember31,2016.ThecoverpagefortheFRY‐14Q/MandFRY‐14Asemi‐annual(as‐ofJune30)attestingtoconformancetoinstructionsandmateriallycorrectnessofthedatashouldbesubmittedwithallothersemi‐annual,quarterlyandmonthlysubmissionsin2017.EffectiveDecember31,2017,therewillanewFRY‐14Acoverpage(includinginternalcontrolsthroughouttheyearfortheFRY‐14Q/M)tobesubmittedwiththeannualFRY‐14Asubmission.TheFRY‐14Q/McoverpageshouldcontinuetobesubmittedquarterlyandmonthlywiththeFRY‐14QandFRY‐14Msubmission,respectively,andfortheFRY‐14Asemi‐annualsubmissionas‐ofJune30.

AsignedversionoftheattestationcoverpageshouldbesubmittedconcurrentlywiththereportsubmissionelectronicallyinIntralinks,andrespondentsmustmaintainintheirfilesasignedattestationcoverpage.DefinitionofCommerciallyAvailableCreditBureauScore:ForthepurposesoftheFRY‐14Q,acreditscoreisanumericalvalueoracategorizationderivedfromastatisticaltoolormodelingsystemthatcharacterizesthecreditriskofaborrowerusedbyapersonwhomakesorarrangesaloantopredictthelikelihoodofcreditdefault.Acreditbureauscoreisacreditscorebasedsolelyontheborrower’scredithistoryavailablethroughoneofthethreenationalcreditreportingagencies(Equifax,Experian,andTransUnion).Acommerciallyavailablecreditbureauscoreisacreditbureauscorewhichisavailabletoallcommerciallenders.Forexample,FICO08andVantageScore3.0arecommerciallyavailablecreditscores,whileinternallydevelopedcreditscoresandcustomscorestailoredtoalender’sownportfolioandprovidedbythirdpartiesarenotcommerciallyavailablecreditscores.Foracommerciallyavailablecreditbureauscoretoqualifyforsubmissioninthisschedule,theFederalReservemustbeabletoobtainsufficientinformationfromthecreditscorevendorto(a)determinewhetherthecreditscoreisempiricallyderivedanddemonstrablysound(b)evaluatetheperformanceofthecreditscoreand(c)comparethatperformancetoothercommerciallyavailablecreditbureauscores.TheFederalReservereservestherighttodeterminewhetheracreditscorequalifiesasacommerciallyavailablecreditbureauscoreforthepurposesofthisschedule.MostRecentCapitalFramework:Forallitemsandinstructionsrelatedtoregulatorycapital,particularlywherethe“mostrecentcapitalframework”isreferenced,respondentsshouldreferto12CFRparts208,217,and225.

4 http://www.federalreserve.gov/bankinforeg/large‐institution‐supervision.htm

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ScheduleA–RetailA.1–InternationalAutoLoanThissectionprovidesgeneralguidanceanddatadefinitionsfortheInternationalAutoLoanWorksheet. Inthisworksheet,includeinternational(notUSorUSterritoriesandpossessions)autoloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.candinternationalautoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.a. ForSummaryVariablelineitems#10&#11includeallrepossessedinternationalautoloansasdefinedintheFRY‐9C,ScheduleHC‐F,item6.Includeonly“managed”(securitizedornon‐securitized)loans,where“managed”referstoloansoriginatedbytheBHCorIHC,includingsecuritizedloansputbackonthebooksduetoASCTopics860and810(FAS166/167).DonotincludeloansthatwereoriginatedbyathirdpartyandonlyservicedbytheBHCorIHC.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.FortheUSAutoLoanWorksheet,seeinstructionsforWorksheet2.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearethreeproducttypesegments,threeoriginalindustrystandardcreditscoreorequivalentsegments,sixdelinquencystatussegments,andfourgeographysegments;therefore,theportfoliomustbedividedintoatotalof3*3*6*4=216distinctsegments.Eachsegmentshouldbeidentifiedbyauniqueeight‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.1.a.Forexample,thesegmentcontainingnewautoloans(producttypesegment“01”)thathadanoriginationFICOscoreorequivalentofgreaterthan620(originationindustrystandardcreditscoreorequivalent“02”),are120+DPD(delinquencystatussegment“06”),andwheretheborrowersresideintheAsiaPacificregion(geographysegment“04”)shouldbeidentifiedbythesegmentID“01020604”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe216portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),andtheportfolioID(Variablename:PORTFOLIO_ID)andsegmentID(variablename:SEGMENT_ID).UsetheportfolioID“IntAuto”forthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.1.aandthesummaryvariableslistedinTableA.1.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately.Note:ForSummaryVariablelineitems(items20‐23)usetheloanlevelparametersdefinedinthemostrecentcapitalframeworkforallaccountsinaspecificsegmentandcalculatetheaccountweightedaverage.Eachmonth’sparametersneedtobecalculatedspecifictothatmonth.IfBaseldataarenotrefreshedmonthly,usetheappropriateBaseldatafromthepriorquarter.Forexample,iftheBaseldataarenotrefresheduntilthethirdmonthofaquarter,usetheBaseldataforthepriorquarterforthefirsttwomonthsofthenextreporting

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quarter.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.

1. Producttype–Segmenttheportfoliointothefollowingproducttypes.

01–Newautoloans02–Usedautoloans03–Autoleases

2.Originalcommerciallyavailablecreditbureauscoreorequivalent–

Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=62002‐>62003‐N/A–Originalcreditscoreismissingorunknown

3.Delinquencystatus‐Segmenttheportfoliointothefollowingsixdelinquencystatuses:

01‐Current:Accountsthatarenotpastdue(accruingandnon‐accruing)asofmonth‐end.

02‐1‐29dayspastdue(DPD):Accountsthatare1to29dayspastdue(accruingandnon‐accruing)asofmonth‐end.

03‐30‐59DPD:Accountsthatare30to59dayspastdue(accruingandnon‐accruing)asofmonth‐end.



06‐120+DPD:Accountsthatare120ormoredayspastdue(accruingandnon‐accruing)asofmonth‐end.

4. Geography–Segmenttheportfoliointothefollowingfourgeographicalarea

designations.Theborrower’scurrentplaceofresidencyshouldbeusedtodefinetheregion.01‐Canada02‐EMEA—Europe,MiddleEast,andAfrica03‐LATAM—Latin AmericaandCaribbean04‐APAC—AsiaPacific

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B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.

Whenreporting$VehicleType(lines5‐8),vehiclesshouldbeclassifiedforthepurposeofthisschedulebybodystyle;however,aluxuryvehiclemayincludeallbodystylesthatmeetthequalificationofahighcostvehiclethataspirestoprovidedriverswiththepeakofdrivingcomfortandperformance.Aluxuryvehiclemaybemanufacturedbyaconventionalautomobilemanufacturerbutstillbeconsideredaluxuryvehicleifitmeetsthestandardsofhighpriceascomparedtoconventionalvehiclesandpeakdrivingperformanceandcomfort.1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalunpaidprincipalbalanceforaccountsonthebookforthe

segmentreportedasofmonth‐end.

3. #Newaccounts–Thetotalnumberofnewaccountsoriginated(orpurchased)inthegivenmonthforthesegmentasofmonth‐end.

4. $Newaccounts–Thetotaldollaramountofnewaccountsoriginated(orpurchased)inthegivenmonthforthesegmentasofmonth‐end.

5. $Vehicletypecar/van–Theunpaidprincipalbalanceintheportfoliowithvehicletypeclassifiedas“car/van”forthesegmentasofmonth‐end.

6. $VehicletypeSUV/truck–Theunpaidprincipalbalanceintheportfoliowithvehicletypeclassifiedas“SUV/truck”forthesegmentasofmonth‐end.

7. $Vehicletypesport/luxury/convertible–Theunpaidprincipalbalanceintheportfoliowithvehicletypeclassifiedas“sport/luxury/convertible”forthesegmentasofmonth‐end.

8. $Vehicletypeunknown–Theunpaidprincipalbalanceintheportfoliowithvehicletypeclassifiedas“unknown”forthesegmentasofmonth‐end.

9. $Repossession–Theunpaidprincipalbalanceofloansstillonthebookswhosevehicleshavebeenrepossessedforthesegmentasofmonth‐end.Thisfieldcapturesthestockofrepos.

10.$Currentmonthrepossession–Theunpaidprincipalbalanceofloansstillonthebookswhosevehicleswerenewlyrepossessedinthegivenmonthforthesegmentasofmonth‐end.Thisfieldcapturestheflowofreposinthecurrentmonth,andshouldincludebothactiveandcharged‐offloans.

11.$Grosscontractualcharge‐offs–Thedollaramountofwrite‐downsonloansinthesegmentthatwerecharged‐offduringthereportingmonth,exceptwherethecharge‐offarisesfromthebankruptcyoftheborrower(seethevariable$BankruptcyCharge‐offs).TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Charge‐offsshouldbeperformedperlossrecognitionpolicyconsistentwiththeFFIECUniformRetailCredit

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ClassificationandAccountManagementPolicy.

12.$Bankruptcycharge‐offs–Thedollaramountofwrite‐downsonloansinthesegmentthat were charged‐off due to bankruptcy during the reporting month. The amountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAof theFRY‐9C. FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.

13.$Recoveries–Thedollaramountrecoveredduringthereportingmonthonloansinthesegmentthatwerepreviouslycharged‐off,includingrecoveriesonacquiredloans/portfolios.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnBoftheFRY‐9Cforthecorrespondingtimeperiod.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Reversalsofrecoveriesshouldberecordedasnegativerecoveries.

14.$Netcharge‐offs–Thedollaramountofwrite‐downsnetonloansinthesegmentthatwerecharged‐offduringthereportingmonth,netofanyrecoveriesinthereportingmonthonloansinthesegmentthatwerepreviouslycharged‐off.Generally,$NetCharge‐offsshouldequal[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries].

15.Adjustmentfactortoreconcile$grosscontractualcharge‐offsto$netcharge‐offsIfitisnotthecasethat$netcharge‐offsequals[$grosscontractualcharge‐offs+$bankruptcycharge‐offs‐$recoveries],providethevalueof$netcharge‐offsminus[$grosscontractualcharge‐offs+$bankruptcycharge‐offs‐$recoveries]inthisvariable.Asaseparatedocumentincludedinthesubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludeintheBHC’sorIHC’s$netcharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

16.$Ever30DPDinthelast12months–Thetotalunpaidprincipalbalanceforthesegmentasofmonth‐endthatwas30ormoredayspastdueatanygiventimeinthetwelvemonthsendinginthereferencemonth.

17.$Ever60DPDinthelast12months–Thetotalunpaidprincipalbalanceforthesegmentasofmonth‐endthatwas60ormoredayspastdueatanygiventimeinthetwelvemonthsendinginthereferencemonth.

18.Projectedvalue–Totalprojectedvalueofleaseattermination. Onlycalculatedforleasedvehicles.

19.Actualsaleproceeds–Salesproceedsfromterminatedleases. Onlycalculatedforleasedvehicles.

20.ProbabilityofDefault(PD)‐ReporttheaverageProbabilityofDefault(PD)asdefinedinthemostrecentcapitalframeworkforaccountswithinthesegment.Morespecifically,usethePDassociatedwitheachaccount’scorrespondingsegmentandthencalculatetheaccountweightedaveragePDofalltheaccountsinthisspecificY‐14Qsegment.Note:Applicableonlytotheadvancedapproachesreportingbanks.Aoneintenprobabilityofdefaultshouldbereportedas0.1.

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21.LossGivenDefault(LGD)‐ReporttheLossGivenDefault(LGD)asdefinedinthemost

recentcapitalframeworkforaccountswithinthesegment.Morespecifically,usetheLGDassociatedwitheachaccount’scorrespondingsegmentandthencalculatetheaccountweightedaverageLGDofalltheaccountsinthisspecificY‐14Qsegment.Note:Applicableonlytotheadvancedapproachesreportingbanks.Aninetypercentlossgivendefaultshouldbereportedas0.9.

22.ExpectedLossGivenDefault(ELGD)‐ReporttheExpectedLossGivenDefault(ELGD)asdefinedinthemostrecentcapitalframeworkparameterforaccountswithinthesegment.Morespecifically,usetheELGDassociatedwitheachaccount’scorrespondingsegmentandthencalculatetheaccountweightedaverageELGDofalltheaccountsinthisspecificY‐14Qsegment.Missingorunavailablevaluesshouldbereportedasnull.Note:Applicableonlytotheadvancedapproachesreportingbanks.Aninetypercentexpectedlossgivendefaultshouldbereportedas0.9.

23.Risk‐WeightedAsset(RWA)‐ReporttheaggregatedollarRiskWeightedAsset(RWA)foraccountswithinthesegmentasdefinedinthemostrecentcapitalframework.Morespecifically,calculatetheRWAassociatedwitheachaccountbasedontheIRBRisk‐BasedCapitalFormulaandthencalculatetheaccountweightedaverageRWAofalltheaccountsinthisspecificY‐14Qsegment.Note:Applicableonlytobankssubjecttotheadvancedapproachesrule.ThisitemisrequiredforBHCorIHC‐ownedloansonly.

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A.2–USAutoLoanThissectionprovidesgeneralguidanceanddatadefinitionsfortheUSAutoLoanWorksheet.FortheInternationalAutoLoanWorksheet,seetheinstructionsforWorksheet1.Inthisworksheet,includealldomesticautoloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.canddomesticautoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.a.ForSummaryVariablelineitems10&11includeallrepossessedautoloansasdefinedintheFRY‐9C,ScheduleHC‐F,item6.Includeonly“managed”(securitizedornon‐securitized)loans,where“managed”referstoloansoriginatedbytheBHCorIHC,includingsecuritizedloansputbackonthebooksduetoFAS166/167(ASCTopics860and810).DonotincludeloansthatwereoriginatedbyathirdpartyandonlyservicedbytheBHCorIHC.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearethreeproducttypesegments,sixagesegments,fouroriginalLTVsegments,fiveoriginalindustrystandardcreditscoreorequivalentsegments,sixgeographysegments,andfivedelinquencystatussegments;therefore,theportfoliomustbedividedintoatotalof3*6*4*5*6*5=10,800distinctsegments.Eachsegmentshouldbeidentifiedbyauniquetwelve‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.2.a.Forexample,thesegmentcontainingnewautoloans(producttypesegment“01”)thataregreaterthanfiveyearsold(agesegment“01”),hadanoriginationLTVofgreaterthan120(originalLTVsegment“03”),hadanoriginationFICOscoreorequivalentofgreaterthan720(originalindustrystandardcreditscoreorequivalentsegment“04”),wheretheborrowersresideinRegion3(geographysegment“03”),andthatare120+DPD(delinquencystatussegment“05”)shouldbeidentifiedbythesegmentID“010103040305”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe10,800portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.Start each rowofdatawith yourBHCorIHCname (Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH), and theportfolio ID (Variablename:PORTFOLIO_ID).UsetheportfolioID“Auto”foryourPortfolioIDwithinthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.2.aandthesummaryvariableslistedinTableA.2.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovided separately.Note:ForSummaryVariablelineitems(items28‐31)relatedtothemostrecentcapitalframeworkusetheloanlevelparametersforallaccountsinaspecificsegmentandcalculatetheaccountweightedaverage.Eachmonth’sparametersneedtobecalculatedspecifictothatmonth.IfBaseldataarenotrefreshedmonthly,usetheappropriateBaseldatafromthepriorquarter.Forexample,iftheBaseldataarenotrefresheduntilthethirdmonthofaquarter,usetheBaseldataforthepriorquarterforthefirsttwomonthsofthenextreportingquarter.

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A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1. Producttype‐Segmenttheportfoliointothefollowingproducttypes:

01–Newautoloans02–Usedautoloans03–Autoleases

2. Age–Referstothetimethathaselapsedsincetheloanwasoriginated.Iftherewere

multipledisbursementstiedtoanoriginalthenusethetimesincethefirstdisbursement.Therearesixpossibleagestoreport:01‐5years<=Age02‐4years<=Age<5years03‐3years<=Age<4years04‐2years<=Age<3years05‐1year<=Age<2years06‐Age<1year

3. OriginalLTV‐Segmenttheportfoliointotheloantovalueratioatorigination

(calculatedusingthewholesalepriceofthevehicle). PleaseroundanyLTVratiosuptothenextinteger(LTV90.01‐90.99to91).Pleasebreakintothefollowingsegments:01‐<=9002‐91–12003‐>12004‐N/A–OriginalLTVismissingorunknown


Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=62002‐>620and<=66003‐>660and<=72004‐>72005‐N/A—Originalcreditscoreismissingorunknown

5. Geography‐Segmenttheportfoliointothefollowingsixgeographicalareadesignations.Theprimaryborrower’scurrentplaceofresidenceshouldbeusedtodefinetheregion.01‐Region1:California,Nevada,Florida,Arizona,andUSTerritoriesandpossessions

(PuertoRico,Guam,etc.)02‐Region2:RhodeIsland,SouthCarolina,Oregon,Michigan,Indiana,Kentucky,

Georgia,Ohio,Illinois03‐Region3:WashingtonD.C.,Mississippi,NorthCarolina,NewJersey,Tennessee,

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Missouri,WestVirginia,Connecticut,Idaho,Pennsylvania,Washington,Alabama04‐Region4:Delaware,Massachusetts,NewYork,Colorado,NewMexico,Texas05‐Region5:Alaska,Louisiana,Wisconsin,Arkansas,Maine,Maryland,Utah,Montana,

Minnesota,Oklahoma,Iowa,Virginia,Wyoming,Kansas,Hawaii06‐Region6:Vermont,NewHampshire,Nebraska,SouthDakota,NorthDakota

6.Delinquencystatus‐Segmenttheportfoliointothefollowingfivedelinquency

statuses:01‐Current+1‐29DPD:Accountsthatarenotpastdue(accruingandnon‐accruing)or

are1‐29DPD(accruingandnon‐accruing)asofmonth‐end.02‐30‐59DPD:Accountsthatare30to59dayspastdue(accruingandnon‐accruing)

asofmonth‐end.03‐60‐89DPD:Accountsthatare60to89dayspastdue(accruingandnon‐accruing)

asofmonth‐end.04‐90‐119DPD:Accountsthatare90to119dayspastdue(accruingandnon‐

accruing)asofmonth‐end.05‐120+DPD:Accountsthatare120ormoredayspastdue(accruingandnon‐

accruing)asofmonth‐end.B.SummaryVariables

Foreachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.

Whenreporting$VehicleType(lines6‐9),vehiclesshouldbeclassifiedforthepurposeofthisschedulebybodystyle;however,aluxuryvehiclemayincludeallbodystylesthatmeetthequalificationofahighcostvehiclethataspirestoprovidedriverswiththepeakofdrivingcomfortandperformance.Aluxuryvehiclemaybemanufacturedbyaconventionalautomobilemanufacturerbutstillbeconsideredaluxuryvehicleifitmeetsthestandardsofhighpriceascomparedtoconventionalvehiclesandpeakdrivingperformanceandcomfort.

1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalunpaidprincipalbalanceforaccountsonthebookforthe

segmentasofmonth‐end.3. #Newaccounts–Thetotalnumberofnewaccountsoriginated(orpurchased)inthe

givenmonthforthesegmentasofmonth‐end.TheBHCorIHC shouldfollowitsstandardpracticeforassigningdateoforigination.

4. $Newaccounts–Thetotaldollaramountofnewaccountsoriginated(orpurchased)in

thegivenmonthforthesegmentasofmonth‐end.TheBHCorIHCshouldfollowitsstandardpracticeforassigningdateoforigination.

5. Interestrate–Theaverageannualpercentagerateforaccountsonthebookforthe

segmentasofmonth‐end.Inmakingthiscalculation,reportthepurchaseAPRunlesstheaccountisindefaultorworkout. Iftheaccountisindefault,thenusethedefaultAPR. Iftheaccountisinaworkoutprogram(temporaryorpermanent),usetheworkoutAPR.Workoutprogramsareprogramstoalleviatethetemporarypaymentburdenoftheborrowerssothattheydon’tgointodefault.LoanModification(apermanentchangeinoneormoreofthetermsofaBorrower'sloan,allowstheloantobereinstated,andresultsinapaymenttheBorrowercanafford),lossmitigation,andloanre‐negotiationaresomeexamplesofworkoutprograms.

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6. $Vehicletypecar/van–Theunpaidprincipalbalanceintheportfoliowithvehicletypeclassifiedas“Car/Van”forthesegmentasofmonth‐end.

7. $VehicletypeSUV/truck–Theunpaidprincipalbalanceintheportfoliowithvehicle

typeclassifiedas“SUV/Truck”forthesegmentasofmonth‐end.8. $Vehicletypesport/luxury/convertible–Theunpaidprincipalbalanceinthe

portfoliowithvehicletypeclassifiedas“Sport/Luxury/Convertible”forthesegmentasofmonth‐end.

9. $Vehicletypeunknown–Theunpaidprincipalbalanceintheportfoliowithvehicle

typeclassifiedas“Unknown”forthesegmentasofmonth‐end.10.$Repossession–Theunpaidprincipalbalanceofloansstillonthebookswhose

vehicleshavebeenrepossessedforthesegmentasofmonth‐end.Thisfieldcapturesthestockofrepos.

11.$CurrentMonthRepossession–Theunpaidprincipalbalanceofloansstillonthe

bookswhosevehicleswerenewlyrepossessedinthegivenmonthforthesegmentasofmonth‐end.Thisfieldcapturestheflowofreposinthecurrentmonth,andshouldincludebothactiveandcharged‐offloans.

12.$Grosscontractualcharge‐offs–Thedollaramountofwrite‐downsonloansinthe

segmentthatwerecharged‐offduringthereportingmonth,exceptwherethecharge‐offarisesfromthebankruptcyoftheborrower(seethevariable$BankruptcyCharge‐offs).TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Charge‐offsshouldbeperformedperlossrecognitionpolicyconsistentwiththeFFIECUniformRetailCreditClassificationandAccountManagementPolicy.

13.$Bankruptcycharge‐offs–Thedollaramountofwrite‐downsonloansinthesegment

that were charged‐off due to bankruptcy during the reporting month. The amountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAof theFRY‐9C. FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.

14.$Recoveries–Thedollaramountrecoveredduringthereportingmonthonloansin

thesegmentthatwerepreviouslycharged‐off,includingrecoveriesonacquiredloans/portfolios.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnBoftheFRY‐9Cforthecorrespondingtimeperiod.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Reversalsofrecoveriesshouldberecordedasnegativerecoveries.

15.$Netcharge‐offs–Thedollaramountofwrite‐downsonloansinthesegmentthat

werecharged‐offduringthereportingmonth,netofanyrecoveriesinthereportingmonthonloansinthesegmentthatwerepreviouslycharged‐off.Generally,$NetCharge‐offsshouldequal[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries].

16.Adjustmentfactortoreconcile$grosscontractualcharge‐offsto$netcharge‐offs

–Ifitisnotthecasethat$NetCharge‐offsequals[$GrossContractualCharge‐offs+$

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BankruptcyCharge‐offs‐$Recoveries],providethevalueof$NetCharge‐offsminus[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs‐$Recoveries]inthisvariable. Asaseparatedocumentincludedinyoursubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedinyourBHC’sorIHC’s$NetCharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

17.$Ever30DPDinthelast12months–Thetotalunpaidprincipalbalanceforthe

segmentasofmonth‐endthatwas30ormoredayspastdueatanygiventimeinthetwelvemonthsendinginthereferencemonth.

18.$Ever60DPDinthelast12months–ThetotalUnpaidPrincipalBalanceforthe

segmentasofmonth‐endthatwas60ormoredayspastdueatanygiventimeinthetwelvemonthsendinginthereferencemonth.

19.Projectedvalue–Totalprojectedmarketvalueofleaseattermination. Onlycalculated

forleasedvehicles.20.Actualsaleproceeds–Salesproceedsfromterminatedleases.Onlycalculatedfor

leasedvehicles.21.Originalterm<=48months–Thetotalunpaidprincipalbalanceforaccountsonthe

bookforthesegmentasofmonth‐endthathadanoriginaltermof48monthsorless.22.Originalterm49‐60months–Thetotalunpaidprincipalbalanceforaccountsonthe

bookforthesegmentasofmonth‐endthathadanoriginaltermof49‐60months.23.Originalterm61‐72months–Thetotalunpaidprincipalbalanceforaccountsonthe

bookforthesegmentasofmonth‐endthathadanoriginaltermof61‐72months.24.Originalterm>72months–Thetotalunpaidprincipalbalanceforaccountsonthe

bookforthesegmentasofmonth‐endthathadanoriginaltermofgreaterthan72months.

25.$Originationchannel(direct)–Thetotalunpaidprincipalbalanceforaccountsonthe

bookforthesegmentasofmonth‐endthatwereoriginatedthroughdirectchannels(i.e.,acharteredbank,anon‐banksubsidiary).

26.$Lossmitigation–Thetotalunpaidprincipalbalanceforaccountsonthebookforthe

segmentasofmonth‐endthatarecurrentlyinalossmitigationprogram. Lossmitigationprogramsarebroadlydefinedtoincludeanyprogramthateasesthecredittermstoanimpairedborrowerforpurposesofmitigatingloanlosses. Examplesoflossmitigationprogramsincludematchpay,temporarymitigationprogramslastingupto12monthsorpermanentmitigationprogramslastingmorethanoneyear.

27.$Jointapplication–Thetotalunpaidprincipalbalanceforaccountsonthebookfor

thesegmentasofmonth‐endthatwereoriginatedwithaco‐applicant.28.ProbabilityofDefault(PD)‐ReporttheaverageProbabilityofDefault(PD)asdefined

inthemostrecentcapitalframeworkforaccountswithinthesegment.Morespecifically,usethePDassociatedwitheachaccount’scorrespondingsegmentandthencalculatetheaccountweightedaveragePDofalltheaccountsinthisspecificY‐14Qsegment.Note:Applicableonlytotheadvancedapproachesreportingbanks.Aoneintenprobabilityof

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defaultshouldbereportedas0.1.29.LossGivenDefault(LGD)‐ReporttheLossGivenDefault(LGD)asdefinedinthemost

recentcapitalframeworkforaccountswithinthesegment.Morespecifically,usetheLGDassociatedwitheachaccount’scorrespondingsegmentandthencalculatetheaccountweightedaverageLGDofalltheaccountsinthisspecificY‐14Qsegment.Note:Applicableonlytotheadvancedapproachesreportingbanks.Aninetypercentlossgivendefaultshouldbereportedas0.9.

30.ExpectedLossGivenDefault(ELGD)‐ReporttheExpectedLossGivenDefault(ELGD)

parameterasdefinedinthemostrecentcapitalframeworkforaccountswithinthesegment.Morespecifically,usetheELGDassociatedwitheachaccount’scorrespondingsegmentandthencalculatetheaccountweightedaverageELGDofalltheaccountsinthisspecificY‐14Qsegment.Missingorunavailablevaluesshouldbereportedasnull.Note:Applicableonlytotheadvancedapproachesreportingbanks.Aninetypercentexpectedlossgivendefaultshouldbereportedas0.9.

31.Risk‐WeightedAsset(RWA)‐ReporttheaggregatedollarRiskWeightedAsset(RWA)

foraccountswithinthesegmentasdefinedinthemostrecentcapitalframework.Morespecifically,calculatetheRWAassociatedwitheachaccountbasedontheIRBRisk‐BasedCapitalFormulaandthencalculatetheaccountweightedaverageRWAofalltheaccountsinthisspecificY‐14Qsegment.Note:Applicableonlytobankssubjecttotheadvancedapproachesrule.ThisitemisrequiredforBHCorIHC‐ownedloansonly.

32.$UnpaidPrincipalBalanceatCharge‐off–Thetotalunpaidprincipalbalanceofloans

inthesegmentthatwerecharged‐off(eitherpartiallyorfully)duringthereportingmonthandhadnotbeenpartiallycharged‐offinapriorreportingmonth.Reporttheunpaidprincipalbalanceatthetimeofthecharge‐off.Donotincludeinterestandfees.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.

33.PercentLossSeverity(3monthLagged)–Reportthetotallossnetofallrecoveriesas

apercentoftheunpaidprincipalbalance(UPB)forallaccountsinthesegmentthatwerecharged‐offforthefirsttimeinthethirdmonthpriortothecurrentreportingmonth.Donotincludelossesorrecoveriesonloanscharged‐offforthefirsttimeinlatermonths.FortheDelinquencyStatussegment,categorizeloansbytheirdelinquencystatusattheinitialcharge‐off.

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A.3–InternationalCreditCardThissectionprovidesgeneralguidance,datadefinitionsandinstructionsfortheInternationalCardWorksheet.Inthisworksheet,includeallinternational(notU.S.orU.S.territoriesorpossessions)consumercardloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.aandinternationalcorporateandSMEcreditcardloansasdefinedintheFRY‐9C,ScheduleHC‐C,item4.b.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearethreeproducttypesegments,twoagesegments,fourgeographysegments,fivedelinquencystatussegments,andthreeoriginalindustrystandardcreditscoreorequivalentsegments;therefore,theportfoliomustbedividedintoatotalof3*2*4*5*3=360distinctsegments.Eachsegmentshouldbeidentifiedbyauniqueten‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.3.a.Forexample,thesegmentcontainingbankcards(producttypesegment“01”)thataregreaterthantwoyearsold(agesegment“02”),madetoborrowersresidingintheAsiaPacificregion(geographysegment“04”),are120+DPD(delinquencystatussegment“05”),andhadanoriginalFICOscoreorequivalentofgreaterthan620(originalindustrystandardcreditscoreorequivalentsegment“02”)shouldbeidentifiedbythesegmentID“0102040502”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe360portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID)andsegmentID(variablename:SEGMENT_ID).UsetheportfolioID“IntCard”forthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.3.aandthesummaryvariableslistedinTableA.3.b.Pleaseprovidealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1. Producttype–Segmenttheportfoliointothefollowingthreeproducttypes:

01‐BankCard‐Bankcardsareregulargeneralpurposecreditcardsthatcanbeusedatawidevarietyofmerchants,includinganywhoacceptMasterCard,Visa,AmericanExpressorDiscovercreditcards.Includeaffinityandco‐brandcardsinthiscategory,andstudentcardsifapplicable.Thisproducttypealsoincludesprivatelabelorproprietycreditcards,whicharetiedtotheretailerissuingthecardandcanonlybeusedinthatretailer’sstores.Includeoil&gascardsinthisloantype.

02‐ChargeCard‐Chargecardsareconsumercreditcardsforwhichthebalanceisrepaidinfulleachbillingcycle.

03–Corporate,SME,andBusinesscards‐Corporatecardsareemployer‐sponsoredcreditcardsforusebyacompany’semployeesandSMEandBusinesscardsarecreditcardaccountswheretheloanisunderwrittenwiththesoleproprietoror

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primarybusinessownerasanapplicant.Corporate,SMEandBusinesscardsonlyincludecardswherethereisanyindividualliabilityassociatedwiththesub‐linesortheaccountisdelinquencymanagedorscored.Alsoincludecardswheretheaccountisdelinquencymanagedorscoredandperformanceisreportedtothecreditbureaus;corporateandSMEcardsdonotincludeloansforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlosseswithnoreportingtocreditbureaus.

2.Age–Agereferstotheamountoftimethathaselapsedsincetheaccountwas

originated.Therearetwopossibleagestoreport:01‐<=Twoyearsold02‐>Twoyearsold


designations.Theprimaryborrower’scurrentplaceofresidencyshouldbeusedtodefinetheregion.01‐Region1:Canada02‐Region2:EMEA—Europe,MiddleEast,andAfrica03‐Region3:LATAM—LatinAmericaandCaribbean04‐Region4:APAC—AsiaPacific

4.Delinquencystatus–Segmenttheportfoliointothefollowingfivedelinquency

statuses:01‐Currentand1‐29dayspastdue(DPD):Accountsthatarenotpastdue(accruing

andnon‐accruing)asofmonth‐endandaccountsthatare1to29dayspastdue(accruingandnon‐accruing)asofmonth‐end.







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B.SummaryVariables

Foreachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.

1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Receivables–Totalreceivablesforaccountsonthebookforthesegmentasofmonth‐

end.3. $Unpaidprincipalbalance–TotalUnpaidPrincipalBalance(UPB)onthebookforthe

segmentasofmonth‐end.Unlikereceivables,totalUPBshouldbenetofanyinterestandfeesowedbytheborrower.

4. $Commitments–Thetotaldollaramountofcreditlinesonthebookforthesegmentas

ofmonth‐end(includedrawnandundrawncreditlines).Theinternalautomatedlimit(shadowlimit)shouldbeusedwhenthereisnocontractuallimit.

5. #Newaccounts–Thetotalnumberofnewaccountsoriginated(orpurchased)inthe

givenmonthforthesegmentasofmonth‐end.6. $Newcommitments–Thetotaldollaramountofnewcommitmentsonaccounts

originated(orpurchased)inthegivenmonthforthesegmentasofmonth‐end.Ifunknownforsomeaccountsduetoanacquisitionoramerger,reportthecreditlineatacquisition.

7. $Grosscontractualcharge‐offs– Thedollaramountofwrite‐downsonloansinthe

segmentthatwerecharged‐offduringthereportingmonth,exceptwherethecharge‐offarisesfromthebankruptcyoftheborrower(seethevariable$BankruptcyCharge‐offs).Alsoincludewrite‐downstofairvalueonloanstransferredtotheheld‐for‐saleaccountduringthereportingmonth.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.

8. $Bankruptcycharge‐offs– Thedollaramountofwrite‐downsonloansinthesegment

thatwerecharged‐offduetobankruptcyduringthereportingmonth.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.

9. $Recoveries– Thedollaramountrecoveredduringthereportingmonthonloansinthe

segmentthatwerepreviouslycharged‐off.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnBoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Reversalsofrecoveriesshouldberecordedasnegativerecoveries.

10.#Accountscharged‐off–Thetotalnumberofaccountswhichexperiencedacharge‐off

(contractualorbankruptcy)inthereferencemonth.Forthedelinquencystatussegmentation,categorizecharge‐offsbydelinquencystatusatcharge‐off.

11.$Netcharge‐offs–Thedollaramountofwrite‐downsnetonloansinthesegmentthat

werecharged‐offduringthereportingmonth,netofanyrecoveriesinthereporting

24

monthonloansinthesegmentthatwerepreviouslycharged‐off.Generally,$NetCharge‐offsshouldequal[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries].


–Ifitisnotthecasethat$NetCharge‐offsequals[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries],providethevalueof$NetCharge‐offsminus[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries]inthisvariable,andseparatelyprovideanexplanationforthedifference.Inaseparatedocumentincludedinthesubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedinthereportingBHC’sorIHC’s$NetCharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

13.$O/Sforaccountsthatwere30+DPDinlast24months–Thetotalreceivablesfor

thesegmentasofmonth‐endthatwas30ormoredayspastdueatanygiventimeinthepast24monthsendinginthereferencemonth. Excludecharged‐offaccountswhenmakingthiscalculation.

14.#Accountsthatwere30+DPDinlast24months–Thetotalnumberofaccountsfor

thesegmentasofmonth‐endthatwere30ormoredayspastdueatanygiventimeinthepast24monthsendinginthereferencemonth. Excludecharged‐offaccountswhenmakingthiscalculation.

25

A.4–InternationalHomeEquityThissectionprovidesgeneralguidanceanddatadefinitionsfortheInternationalHomeEquityWorksheet.Inthisworksheet,includeallinternationalhomeequityloans(notUSorUSterritoriesandpossessions)securedbyrealestateasdefinedintheFRY‐9C,ScheduleHC‐C,item1,thatmeettheloancriteriaofitem1.c.1and1.c.2.b.Notethatthisincludesinternationalfirstlienandsecondlienhomeequitylines.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.Forinternationalfirstlienmortgages,seeinstructionsforWorksheet5.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearetwoproducttypesegments,threeoriginationindustrystandardcreditscoreorequivalentsegments,fourgeographysegments,twoagesegments,twooriginationLTVsegments,andfivedelinquencystatussegments;therefore,theportfoliomustbedividedintoatotalof2*3*4*2*2*5=480distinctsegments.Eachsegmentshouldbeidentifiedbyauniquetwelve‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.4.a.Forexample,thesegmentcontainingHELOCs(producttypesegment“02”)thathadanoriginationFICOscoreorequivalentofgreaterthan660(originalindustrystandardcreditscoreorequivalentsegment“02”),wheretheborrowersresideintheAsiaPacificregion(geographysegment“04”),aregreaterthanthreeyearsold(agesegment“02”),hadanoriginationLTVoflessthan80percent(originalLTVsegment“01”),andare180+DPD(delinquencystatussegment“05”)shouldbeidentifiedbythesegmentID“020204020105”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe480portfoliosegments.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiodonly.BHCsandIHCsshouldonlyincludeownedloans,excludeloansservicedforotherinvestors.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID)andsegmentID(variablename:SEGMENT_ID).UsetheportfolioID“IntHE"forthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.4.aandthesummaryvariableslistedinTableA.4.b.Pleaseprovidealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1. Producttype–Segmenttheportfoliointoproducttypesbasedonspecificfeaturesof

theloan.Theportfolioshouldbesegmentedintotwoproducttypes:01‐HELOAN02‐HELOC


Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmust

26

bethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=66002‐>66003‐N/A—Originalcreditscoreismissingorunknown

3. Geography–Reporttheregioninwhichthepropertyislocated;dividetheportfolio

intothefollowingfourgeographicalareadesignations:01‐Region1:Canada02‐Region2:EMEA—Europe,MiddleEast,andAfrica03‐Region3:LATAM—LatinAmericaandCaribbean04‐Region4:APAC—Asia‐Pacific

4.Age–Agereferstotheamountoftimethathaselapsedsincetheaccountwas

originated.Therearetwopossibleagestoreport:01‐<=Threeyearsold02‐>Threeyearsold

5.OriginalLTV(orCLTVfor2nds)–Theoriginalcombinedloan‐to‐valueratioisthe

originalamountoftheloanorline,inadditiontoanyseniorliens,dividedbythepropertyvalueatthetimeoforigination.Dividetheportfolioasfollows:01‐<8002‐>=80

6.Delinquencystatus–Dividetheportfoliointothefollowingfivedelinquencystatuses:01‐Current&1‐29dayspastdue(DPD):Accountsthatarenotpastdue(accruingand

non‐accruing)orare1‐29DPD(accruingandnon‐accruing)asofmonth‐end.02‐30‐89DPD:Accountsthatare30to89dayspastdue(accruingandnon‐accruing)


accruing)asofmonth‐end.04‐120‐179DPD:Accountsthatare120to179dayspastdue(accruingandnon‐


accruing)asofmonth‐end.B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalprincipalamountoutstandingasoftheendofthemonth.This

shouldbereportedasunpaidprincipalbalance(UPB)grossofanycharge‐offs.Inotherwords,the$outstandingshouldnotreflectanyaccountingbasedwrite‐downsandshouldonlybereducedtozerowhentheloanhasbeenliquidated–eitherpaidinfull,chargedoff,orotherrealestateowned(OREO)sold.

27

3. $Commitment(HELOConly)–ThetotaldollaramountofHELOCcreditlinesonthe

bookforthesegmentasofmonth‐end.Ifthereisnocreditlimitoncertainaccounts,reportthepurchaseorshadowlimit.AshadowlimitisdefinedasaninternalBHCorIHCcreditlimitmetricusedforlinemanagementforlinesthatdonothaveapublishedcreditlimit.ReportthisvariableonlyforHELOCproducts.


givenmonthforthesegmentasofmonth‐end.5. $Newaccounts–Thetotaldollaramountofnewaccountsoriginated(orpurchased)in

thegivenmonthforthesegmentasofmonth‐end.6. $Newcommitments(HELOConly)–ThetotaldollaramountofnewHELOCcredit

linesbookedonthesysteminthereportingmonth.ReportthisvariableonlyforHELOCproducts.

7. $Commitmentincreases(HELOConly)–Thedollaramountincreaseonexisting

HELOCcreditlinesinthereporting‐month.ReportthisvariableonlyforHELOCproducts.

8. $Commitmentdecreases(HELOConly)–Thedollaramountdecreaseonexisting

HELOCcreditlinesinthereporting‐month.ReportthisvariableonlyforHELOCproducts.

9. $Grosscontractualcharge‐offs–Thedollaramountofwrite‐downsonloansinthe


10.$Bankruptcycharge‐offs– Thedollaramountofwrite‐downsonloansinthe

segmentthatwerecharged‐offduetobankruptcyduringthereportingmonth.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.


thesegmentthatwerepreviouslycharged‐off.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnBoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Reversalsofrecoveriesshouldberecordedasnegativerecoveries.




–Ifitisnotthecasethat$NetCharge‐offsequals[$GrossContractualCharge‐offs+$

28

BankruptcyCharge‐offs—$Recoveries],providethevalueof$NetContractualCharge‐offsminus[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries]inthisvariable.Asaseparatedocumentincludedinthesubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedintheBHC’sorIHC’s$NetCharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

14.$Foreclosure‐Thetotalunpaidprincipalbalanceofloansintheforeclosureprocess.

Thesedollarsarepre‐OREOandshouldbecodedasaforeclosureinthesystem.15.$Newforeclosure‐Thetotalunpaidprincipalbalanceofloansthatenteredthe

foreclosureprocessinthereportingmonth.Thesedollarsarepre‐OREOandshouldbecodedasaforeclosureinthesystem.

16.$OtherRealEstateOwned(OREO)‐Thetotalunpaidprincipalbalanceofmortgages

wherethebankhasobtainedthetitleatforeclosuresaleandthepropertyisonthemarketandavailableforsale.Alsoincludeinstanceswherethebankhasobtainedthetitlebuttheavailabilityforsaleisnotknown

17.$NewOREO‐Thetotalunpaidprincipalbalanceofforeclosedloanswherethe

institutionhasboughtbacktheproperty.

29

A.5–InternationalFirstLienMortgageThissectionprovidesgeneralguidanceanddatadefinitionsfortheInternationalFirstLienMortgageWorksheet. Inthisworksheet,includeallinternational(notUSorUSterritoriesorpossessions)firstlienmortgageloanssecuredbyrealestateasdefinedintheFRY‐9C,ScheduleHC‐C,item1whichmeettheloancriteriaofitem1.c.2.a.Includeinternationalfirstlienresidentialmortgageandinternationalfirstlienclosed‐endhomeequityloans.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearetwoproducttypesegments,threeoriginationindustrystandardcreditscoreorequivalentsegments,fourgeographysegments,twoagesegments,twooriginationLTVsegments,andfivedelinquencystatussegments;therefore,theportfoliomustbedividedintoatotalof2*3*4*2*2*5=480distinctsegments.Eachsegmentshouldbeidentifiedbyauniquetwelve‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.5.a.Forexample,thesegmentcontainingfixed‐rateloans(producttypesegment“01”)thathadanoriginationFICOscoreorequivalentofgreaterthan660(originalindustrystandardcreditscoreorequivalentsegment“02”),wheretheborrowersresideintheAsiaPacificregion(geographysegment“04”),aregreaterthanthreeyearsold(agesegment“02”),hadanoriginationLTVoflessthan80percent(originalLTVsegment“01”),andare180+DPD(delinquencystatussegment“05”)shouldbeidentifiedbythesegmentID“010204020105”..WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe480portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID),andsegmentID(variablename:SEGMENT_ID).UsetheportfolioID“IntFM”foryourPortfolioIDwithinthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.5.aandthesummaryvariableslistedinTableA.5.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovided separately.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1.Producttype–Segmenttheportfoliointoproducttypesbasedonpaymenttermsofthe

loan(atorigination). Theportfolioshouldbesegmentedintotwoproducttypes:01‐FixedRate02‐Other


Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Ifthe

30

underwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=66002‐>66003‐N/A—Originalcreditscoreismissingorunknown

3.Geography–Reporttheregioninwhichthepropertyislocated.Segmenttheportfolio

intothefollowingfourgeographicalareadesignations:01‐Region1:Canada02‐Region2:EMEA—Europe,MiddleEast,andAfrica03‐Region3:LATAM—LatinAmericaandCaribbean04‐Region4:APAC—AsiaPacific

4.Age–Agereferstothetimethathaselapsedsincetheaccountwasoriginated. There

aretwopossibleagestoreport:01‐<=Threeyearsold02‐>Threeyearsold

5.OriginalLTV –Theoriginalloan‐to‐valueratioistheoriginalamountoftheloan

dividedbythepropertyvalueatthetimeoforigination.Segmenttheportfolioasfollows:01‐<8002‐>=80


statuses:01‐Current&1‐29dayspastdue(DPD):Accountsthatarenotpastdue(accruingand

non‐accruing)orare1‐29DPD(accruingandnon‐accruing)asofmonth‐end.02‐30‐89DPD:Accountsthatare30to89dayspastdue(accruingandnon‐accruing)


accruing)asofmonth‐end.04‐120‐179DPD:Accountsthatare120to179dayspastdue(accruingandnon‐


accruing)asofmonth‐end.B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.1.#Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalprincipalamountoutstandingasoftheendofthemonth. This

shouldbereportedasunpaidprincipalbalancegrossofanycharge‐offs.Inotherwords,the$outstandingshouldnotreflectanyaccountingbasedwrite‐downsandshouldonlybereducedtozerowhentheloanhasbeenliquidated–eitherpaidinfull,chargedoff,orOtherRealEstateOwned(OREO)sold.

31

3.#Newaccounts–Thetotalnumberofnewaccountsoriginated(orpurchased)inthe


thegivenmonthforthesegmentasofmonth‐end.5. $Grosscontractualcharge‐offs– Thedollaramountofwrite‐downsonloansinthe


6.$Bankruptcycharge‐offs–Thedollaramountofwrite‐downsonloansinthesegment


7. $Recoveries–Thedollaramountrecoveredduringthereportingmonthonloansin


8. $Netcharge‐offs–Thedollaramountofwrite‐downsnetonloansinthesegmentthat



–Ifitisnotthecasethat$netcharge‐offsequals[$grosscontractualcharge‐offs+$bankruptcycharge‐offs—$recoveries],pleaseprovidethevalueof$netcontractualcharge‐offsminus[$grosscontractualcharge‐offs+$bankruptcycharge‐offs—$recoveries]inthisvariable.Inaseparatedocumentincludedinyoursubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedintheBHC’sorIHC’s$netcharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

10.$Foreclosure‐Thetotalunpaidprincipalbalanceofloansintheforeclosureprocess.

Thesedollarsarepre‐OREOandshouldbecodedasaforeclosureinthesystem.11.$Newforeclosure‐Thetotalunpaidprincipalbalanceofloansthatenteredthe

foreclosureprocessinthereportingmonth.Thesedollarsarepre‐OREOandshouldbecodedasaforeclosureinthesystem.

12.$OtherRealEstateOwned(OREO)‐Thetotalunpaidprincipalbalanceofmortgages

wherethebankhasobtainedthetitleatforeclosuresaleandthepropertyisonthemarketandavailableforsale.Alsoincludeinstanceswherethebankhasobtainedthe

32

titlebuttheavailabilityforsaleisnotknown.13.$NewOREO‐Thetotalunpaidprincipalbalanceofforeclosedloanswherethe

institutionhasboughtbackthepropertyinauctioninthereportingmonth.

33

A.6–InternationalOtherConsumerScheduleInthisworksheet,includeallinternationalloansdefinedintheFRY‐9C,ScheduleHC‐C,item6.band6.d,excludingstudentloansandnon‐purposesecuritiesbasedloansandshouldalsoincludeallinternationalnon‐autoleasesasdefinedintheFRY‐9C,ScheduleHC‐C,item10.a.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearefiveproducttypesegments,fivedelinquencystatussegments,threeoriginalindustrystandardcreditscoreorequivalentsegments,twooriginalLTVratiosegments,andfourgeographysegments;therefore,theportfoliomustbedividedintoatotalof5*5*3*2*4=600distinctsegments.Eachsegmentshouldbeidentifiedbyauniqueten‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.6.a.Forexample,thesegmentcontainingsecuredinstallmentloans(producttypesegment“02”)thatare120+DPD(delinquencystatussegment“05”),hadanoriginationFICOscoreorequivalentofgreaterthan620(originalindustrystandardcreditscoreorequivalentsegment“02”),hadanoriginationLTVratioofgreaterthan70percent(originalLTVratiosegment“02”),andthatweremadetoborrowersresidingintheAsiaPacificregion(geographysegment“04”)shouldbeidentifiedbythesegmentID“0205020204”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe600portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID),andsegmentID(variablename:SEGMENT_ID).Use“IntlOthCons”forportfolioIDforthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.6.aandthesummaryvariableslistedinTableA.6.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1. Producttype–ReportingBHCsandIHCsshouldsegmenttheportfoliointothe

followingfiveproducttypesbasedonthevariousfeaturesofthecredit:01‐Secured‐Revolving02‐Secured‐Installment03‐Unsecured‐Revolving04‐Unsecured‐Installment05‐Overdraft

2.Delinquencystatus–ReportingBHCsandIHCsshouldsegmenttheportfoliointothe

followingfivedelinquencystatuses:01‐Currentand1‐29dayspastdue(DPD):Accountsthatarenotpastdue(accruing

andnon‐accruing)asofmonth‐endandaccountsthatare1to29dayspastdue

34

(accruingandnon‐accruing)asofmonth‐end.02‐30‐59DPD:Accountsthatare30to59dayspastdue(accruingandnon‐accruing)



accruing)asofmonth‐end.05‐120+DPD:Accountsthatare120daysormorepastdue(accruingandnon‐

accruing)asofmonth‐end.3.Originalcommerciallyavailablecreditbureauscoreorequivalent–

Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=62002‐>62003‐N/A—Originalcreditscoreismissingorunknown

4.OriginalLTV–Theoriginalcombinedloan‐to‐valueratioistheoriginalamountofthe

loanorline,inadditiontoanyseniorliens,dividedbythecollateralvalueatthetimeoforigination.Forloanswheretheloan‐to‐valueratioisnotapplicable,includethelowestratioforasegmentidentifier.Segmenttheportfolioasfollows:01‐<=70ornotapplicable02‐>70


designations.Theborrower’scurrentplaceofresidencyshouldbeusedtodefinetheregion.01‐Region1:Canada02‐Region2:EMEA—Europe,MiddleEast,andAfrica03‐Region3:LATAM—LatinAmericaandCaribbean04‐Region4:APAC—Asia‐Pacific

B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.1. #Accounts–Totalnumberofaccountsonthebookforthesegmentbeingreportedasof

month‐end.2. $Outstandings–Thetotalunpaidprincipalbalanceforaccountsonthebookforthe

segmentbeingreportedasofmonth‐end.3.$Grosscontractualcharge‐offs–Thedollaramountofwrite‐downsonloansinthe

segmentthatwerecharged‐offduringthereportingmonth,exceptwherethecharge‐off

35

arisesfromthebankruptcyoftheborrower(seethevariable$BankruptcyCharge‐offs).Alsoincludewrite‐downstofairvalueonloanstransferredtotheheld‐for‐saleaccountduringthereportingmonth.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.

4.$Bankruptcycharge‐offs– Thedollaramountofwrite‐downsonloansinthesegment


5.$Recoveries– Thedollaramountrecoveredduringthereportingmonthonloansinthe

segment that were previously charged‐off. The amount reported here should beconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnBoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.Reversalsofrecoveriesshouldberecordedasnegativerecoveries.

6. $Netcharge‐offs–Thedollaramountofwrite‐downsnetonloansinthesegmentthat


7. #Newaccounts–Thetotalnumberofnewaccountsoriginatedinthegivenmonthfor

thesegmentbeingreportedasofmonth‐end.8. $Newcommitments–Thetotaldollaramountofnewcommitmentsonaccounts

originatedinthegivenmonthforthesegmentbeingreportedasofmonth‐end.Ifunknownforsomeaccountsduetoacquisitionormerger,reportthecreditlineatacquisition.

36

A.7–USOtherConsumerInthisworksheet,includealldomesticloansasdefinedintheFRY‐9C,ScheduleHC‐C,items6.band6.d,excludingstudentloansandnon‐purposesecuritiesbasedloans.Includedomesticnon‐autoleasesincludedasdefinedintheFRY‐9C,ScheduleHC‐C,item10.a.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearefiveproducttypesegments,fivedelinquencystatussegments,threeoriginalindustrystandardcreditscoreorequivalentsegments,andthreeoriginalLTVratiosegments;therefore,theportfoliomustbedividedintoatotalof5*5*3*3=225distinctsegments.Eachsegmentshouldbeidentifiedbyauniqueeight‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.7.a.Forexample,thesegmentcontainingsecuredinstallmentloans(producttypesegment“02”)thatare120+DPD(delinquencystatussegment“05”),hadanoriginationFICOscoreorequivalentofgreaterthan620(originalindustrystandardcreditscoreorequivalentsegment“02”),andhadanoriginationLTVratioofgreaterthanorequalto100percent(originalLTVratiosegment“03”)shouldbeidentifiedbythesegmentID“02050203”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe225portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolio ID(Variablename:PORTFOLIO_ID),andsegmentID(variablename:SEGMENT_ID).Use“USOthCons” fortheportfolio IDwithinthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.7.aandthesummaryvariableslistedinTableA.7.b.Pleaseprovidealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovided separately.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1. Producttype–Segmenttheportfoliointothefollowingfiveproducttypesbasedonthe

variousfeaturesofthecredit:01‐Secured‐Revolving02‐Secured‐Installment03‐Unsecured‐Revolving04‐Unsecured‐Installment05‐Overdraft


statuses:01‐Currentand1‐29dayspastdue(DPD):Accountsthatarenotpastdue(accruing


02‐30‐59DPD:Accountsthatare30to59dayspastdue(accruingandnon‐accruing)

37



accruing)asofmonth‐end.05‐120+DPD:Accountsthatare120daysormorepastdue(accruingandnon‐

accruing)asofmonth‐end.3.Originalcommerciallyavailablecreditbureauscoreorequivalent–

Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=62002‐>62003‐N/A—Originalcreditscoreismissingorunknown

4.OriginalLTV–Theoriginalcombinedloan‐to‐valueratioistheoriginalamountofthe

loanorline,inadditiontoanyseniorliens,dividedbythecollateralvalueatthetimeoforigination.Forunsecuredloansforwhichloan‐to‐valueisnotapplicable,reportthesummaryvariablesinthesegmententitled<=70ornotapplicable.Segmenttheportfolioasfollows:01‐<=70ornotapplicable02‐>70and<10003‐>=100

B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Thetotalunpaidprincipalbalanceforaccountsonthebookforthe

segmentasofmonth‐end.3. $Grosscontractualcharge‐offs–Thedollaramountofwrite‐downsonloansinthe


4. $Bankruptcycharge‐offs–Thedollaramountofwrite‐downsonloansinthesegment

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5. $Recoveries–Thedollaramountrecoveredduringthereportingmonthonloansinthe


6. $NetCharge‐offs–Thedollaramountofwrite‐downsnetonloansinthesegmentthatwerecharged‐offduringthereportingmonth,netofanyrecoveriesinthereportingmonthonloansinthesegmentthatwerepreviouslycharged‐off.Generally,$NetCharge‐offsshouldequal[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries].

7. #Newaccounts–Thetotalnumberofnewaccountsoriginatedinthegivenmonthfor

thesegmentasofmonth‐end.

8. $ New commitments – The total dollar amount of new commitments on accountsoriginated in the givenmonth for the segment asofmonth‐end. If unknown for someaccountsduetoacquisitionormerger,reportthecreditlineatacquisition.

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A.8–InternationalSmallBusinessInthisworksheet,includeall"scored"or"delinquencymanaged"internationalsmallbusinessloans.Themaindifferentiatingfactorbetweencorporateloansandsmallbusinessloansishowtheconsolidatedholdingcompanyevaluatesthecreditworthinessoftheborrower.Forsmallbusinesslending,bankslookatthecreditscoreoftheborrower(scoredrating)and/orusedelinquencymanagement.Therefore,smallbusinessloansareloansthatare“scored”or“delinquencymanaged”forwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloans.IncludeinternationalsmallbusinessloansasdefinedintheFRY‐9C,ScheduleHC‐Cincludedinitems2.a,2.b,3,4.a,4.b,7,9.a,9.b.2,and10.b.ExcludecorporateandSMEcreditcardloansasdefinedintheFRY‐9C,ScheduleHC‐C,item4.b.Excludeallnon‐purposesecurities‐basedloansandloansforpurchasingandcarryingsecurities.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.Fordomesticsmallbusinessloans,seetheinstructionsforWorksheet9.

SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearethreeproducttypesegments,twoagesegments,fourgeographysegments,threeoriginalindustrystandardcreditscoreorequivalentsegments,fivedelinquencystatussegments,andtwosecuredorunsecuredsegments;therefore,theportfoliomustbedividedintoatotalof3*2*4*3*5*2=720distinctsegments.Eachsegmentshouldbeidentifiedbyauniquetwelve‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.8.a.Forexample,thesegmentcontainingtermloans(producttypesegment“02”)thataregreaterthanthreeyearsold(agesegment“02”),weremadetoborrowersthatresideintheAsiaPacificregion(geographysegment“04”),hadanoriginationFICOscoreorequivalentofgreaterthan620(originalindustrystandardcreditscoreorequivalentsegment“02”),are120+DPD(delinquencystatussegment“05”),andaresecured(securedorunsecuredsegment“01”)shouldbeidentifiedbythesegmentID“020204020501”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe720portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID),andsegmentID(variablename:SEGMENT_ID).Use“IntSB”fortheportfolioIDwithinthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.8.aandthesummaryvariableslistedinTableA.8.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately. A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1.Producttype‐Segmenttheportfoliointothefollowingproducttypesasofmonth‐end:01‐LineofCredit02‐TermLoan03‐Other

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2.Age‐Agereferstothetimethathaselapsedsincetheaccountwasoriginated.01‐<=Threeyearsold02‐>Threeyearsold

3.Geography–Segmenttheportfoliointothefollowingfourgeographicalarea

designations.Theborrower’scurrentplaceofresidencyshouldbeusedtodefinetheregion.01‐Region1:Canada02‐Region2:EMEA—Europe,MiddleEast,andAfrica03‐Region3:LATAM—LatinAmericaandCaribbean04‐Region4:APAC—Asia‐Pacific



5.Delinquencystatus‐Segmenttheportfoliointothefollowingfivedelinquencystatuses:01‐Currentand1‐29dayspastdue(DPD):Accountsthatarenotpastdue(accruing






6.Securedorunsecured: Segmenttheportfoliobasedonthefollowingtwocategories:01‐Secured02‐Unsecured

B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingvariablesforeachsegmentdescribedinSectionA.1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalunpaidprincipalbalanceforaccountsonthebookforthe

segmentasofmonth‐end.

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thegivenmonthforthesegmentasofmonth‐end.5. $Commitments–Thetotaldollaramountofcommitmentsforthesegmentasof

month‐end.6. $Modifications–Totalunpaidprincipalbalanceofloansthathavebeenadjustedas

partofaloanmodificationprogram.ForpurposesofthisSchedule,aloanmodificationoccurswhenthetermsoftheloanwerechangedfromthosestatedintheoriginalloancontractaspartoflossmitigationefforts.





9. $RecoveriesThedollaramountrecoveredduringthereportingmonthonloansinthe





–Ifitisnotthecasethat$netcharge‐offsequals[$grosscontractualcharge‐offs+$bankruptcycharge‐offs—$recoveries],providethevalueof$netcharge‐offsminus[$grosscontractualcharge‐offs+$bankruptcycharge‐offs—$recoveries]inthisvariable,andseparatelyprovideanexplanationforthedifference.Asaseparatedocumentincludedinthesubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedinthereportingBHC’sorIHC’s$netcharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

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A.9–USSmallBusinessInthisworksheet,includeall"scored"or"delinquencymanaged"domesticsmallbusinessloans.Themaindifferentiatingfactorbetweencorporateloansandsmallbusinessloansishowtheconsolidatedholdingcompanyevaluatesthecreditworthinessoftheborrower.Forsmallbusinesslending,bankslookatthecreditscoreoftheborrower(scoredrating)and/orusedelinquencymanagement.Therefore,smallbusinessloansareloansthatare“scored”or“delinquencymanaged”forwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloans.IncludedomesticsmallbusinessloansasdefinedintheFRY‐9C,ScheduleHC‐Cincludedinitems2.a,2.b,3,4.a,4.b,7,9.a,9.b.2,and10.b.ExcludecorporateandSMEcreditcardloansasdefinedintheFRY‐9C,ScheduleHC‐C,item4.a.Excludeallnon‐purposesecurities‐basedloansandloansforpurchasingandcarryingsecurities.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.Forinternationalsmallbusinessloans,seetheinstructionsforWorksheet8.

SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearethreeproducttypesegments,twoagesegments,threeoriginalindustrystandardcreditscoreorequivalentsegments,fivedelinquencystatussegments,andtwosecuredorunsecuredsegments;therefore,theportfoliomustbedividedintoatotalof3*2*3*5*2=180distinctsegments.Eachsegmentshouldbeidentifiedbyauniqueten‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.9.a.Forexample,thesegmentcontainingtermloans(productsegment“02”)thatarelessthanorequaltothreeyearsold(agesegment“01”),hadanoriginationFICOscoreorequivalentofgreaterthan620(originalindustrystandardcreditscoreorequivalentsegment“02”),are120+DPD(delinquencystatussegment“05”),andaresecured(securedorunsecuredsegment“01”)shouldbeidentifiedbythesegmentID“0201020501”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe180portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiod.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID)andsegmentID(variablename:SEGMENT_ID).Use“USSB”forportfolioIDwithinthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.9.aandthesummaryvariableslistedinTableA.9.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately.

A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1.Producttype‐Segmenttheportfoliointothefollowingproducttypesasofmonth‐end:01‐LineofCredit02‐TermLoan03‐Other

2.Age‐Agereferstothetimethathaselapsedsincetheaccountwasoriginated.

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01‐<=Threeyearsold02‐>Threeyearsold


Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=62002‐>62003‐N/A‐Originalcreditscoreismissingorunknown

4.Delinquencystatus‐Segmenttheportfoliointothefollowingfivedelinquencystatuses:01‐Currentand1‐29(dayspastdue)DPD:Accountsthatarenotpastdue(accruing






5.Securedorunsecured: Segmenttheportfoliobasedonthefollowingtwocategories:01‐Secured02‐Unsecured

B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalunpaidprincipalbalanceforaccountsonthebookforthe


3. #Newaccounts–Thetotalnumberofnewaccountsoriginated(orpurchased)inthegivenmonthforthesegmentasofmonth‐end.

4. $Newaccounts–Thetotaldollaramountofnewaccountsoriginated(orpurchased)in

thegivenmonthforthesegmentasofmonth‐end.5. $Commitments–Thetotaldollaramountofcommitmentsforthesegmentasof

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month‐end.6. $Modifications–Totalunpaidprincipalbalanceofloansthathavebeenadjustedas

partofaloanmodificationprogram.ForpurposesofthisSchedule,aloanmodificationoccurswhenthetermsoftheloanwerechangedfromthosestatedintheoriginalloancontractaspartoflossmitigationefforts.





9. $Recoveries–Thedollaramountrecoveredduringthereportingmonthonloansinthe





–Ifitisnotthecasethat$netcharge‐offsequals[$grosscontractualcharge‐offs+$bankruptcycharge‐offs—$recoveries],providethevalueof$netcharge‐offsminus[$grosscontractualcharge‐offs+$bankruptcycharge‐offs—$recoveries]inthisvariable,andseparatelyprovideanexplanationforthedifference.Inaseparatedocumentincludedinthesubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedinthereportingBHC’sorIHC’s$NetCharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

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A.10–StudentLoanInthisworksheet,includeallstudentloansasdefinedintheFRY‐9C,ScheduleHC‐C,lines6.band6.d.Onlyincludeloansandleasesheldforinvestmentatamortizedcost;donotincludeloansorleasesheldforsaleorheldforinvestmentandmeasuredatfairvalueunderthefairvalueoption.

SegmenttheportfolioalongallcombinationsofthesegmentvariableslistedinSectionAbelow.Therearetwoproducttypesegments,fiveagesegments,threeoriginalindustrystandardcreditscoreorequivalentsegments,fivedelinquencystatussegments,andfoureducationlevelsegments;therefore,theportfoliomustbedividedintoatotalof2*5*3*5*4=600distinctsegments.Eachsegmentshouldbeidentifiedbyauniqueten‐digitsegmentID(variablename:SEGMENT_ID)basedonthesegmentIDpositionsandattributecodeslistedinTableA.10.a.Forexample,thesegmentcontaininggovernmentguaranteedstudentloans(producttypesegment“01”)thatarelessthanthreeyearsold(agesegment“05”),hadanoriginationFICOscoreorequivalentofgreaterthan660(originalindustrystandardcreditscoreorequivalentsegment“02”),are120+DPD(delinquencystatussegment“05”),andweremadetoloanrecipientspursuinganundergraduatedegree(educationlevelsegment“01”)shouldbeidentifiedbythesegmentID“0105020501”.WhenreportingthesegmentID,donotdropleadingzeroes.Foreachmonthintherequiredreportingperiod,reportthesummaryvariableslistedbelowinSectionBforeachofthe600portfoliosegmentsdescribedabove.FirsttimefilersmustsubmitalldataforeachmonthfromJanuary2007totheendofthecurrentreportingperiod;returningfilersmustsubmitalldataforeachmonthinthecurrentreportingperiodonly.StarteachrowofdatawithyourBHCorIHCname(Variablename:BHC_NAME),yourRSSDIDnumber(Variablename:RSSD_ID),thereportingmonth(Variablename:REPORTING_MONTH),theportfolioID(Variablename:PORTFOLIO_ID),andsegmentID(variablename:SEGMENT_ID).UsetheportfolioID“Student”forportfolioIDforthisworksheet.Foreachrow,populatethesegmentvariableslistedinTableA.10.aandthesummaryvariableslistedinTableA.10.b.Providealldollaramountsinmillions.Detailedinstructionsonhowtosubmitthedatawillbeprovidedseparately.A.SegmentVariablesSegmenttheportfolioalongthefollowingsegmentvariablesasdescribedabove.Foreachresultingsegment,reportthesummaryvariablesdescribedinSectionB.1. Producttype–Reportinginstitutionsshouldsegmenttheportfoliointothefollowingtwoproducttypes.AnexampleofagovernmentguaranteedloanisaFFELPloan.01‐Managed‐GovGuaranteed02‐Managed–Private

2.Age–Referstothetimethathaselapsedsincetheloanwasoriginated.Ifthereweremultipledisbursementstiedtoanoriginalthenusethetimesincethefirstdisbursement.Therearefivepossibleagestoreport:01‐6years<=Age02‐5years<=Age<6years03‐4years<=Age<5years04‐3years<=Age<4years05‐Age<3years

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3.Originalcommerciallyavailablecreditbureauscoreorequivalent–Segmenttheportfoliobythecreditscoreoftheborroweratoriginationusingacommerciallyavailablecreditbureauscore(e.g.FICOScore,VantageScore,oranotherqualifyingcreditscore).Theoriginalcreditscoreusedtoassignaloantoasegmentmustbethescoreuponwhichtheoriginalunderwritingdecisionwasbased.Iftheunderwritingdecisionwasbasedonaninternalscore,pleasemapthisscoretoanindustrystandardcreditscore.Pleaseprovidesupportingdocumentationlistingthecreditscoresuppliedormappedto.TherangesbelowshouldbeusedforloansforwhichFICOwaseithertheoriginalcreditscoreusedatoriginationorthecommerciallyavailablecreditbureauscoretowhichaninternalcreditscorewasmapped.Rangesforothercommerciallyavailablecreditbureauscoreswillbeprovideduponrequest.01‐<=66002‐>66003‐N/A—Originalcreditscoreismissingorunknown

4.Delinquencystatus‐Reportinginstitutionsshouldsegmenttheportfoliointothe

followingfivedelinquencystatuses:01‐Current+1‐29DPD:Accountsthatarenotpastdue(accruingandnon‐accruing)as

ofmonth‐endandaccountsthatare1to29dayspastdue(accruingandnon‐accruing)asofmonth‐end.





5.Educationlevel–Thelevelofeducationbeingpursuedbytherecipientoftheloan.For

consolidatedloans,reportthehighestlevelofeducationpursuedbytheborrower.01‐Undergraduate–4year02‐Graduate/Professional03‐Other(e.g.communitycollege,tradeschool,etc.)04‐Notavailable

B.SummaryVariablesForeachmonthinthereportingperiod,reportthefollowingsummaryvariablesforeachsegmentdescribedinSectionA.

1. #Accounts–Totalnumberofaccountsonthebookforthesegmentasofmonth‐end.2. $Outstandings–Totalunpaidprincipalbalanceforaccountsonthebookforthe

segmentasofmonth‐end.3. #Accountsinrepayment–Totalnumberofaccountsonthebookforthesegmentasof

month‐endthathaveenteredtheloan’srepaymentperiod.4. $Outstandingsinrepayment–Totalunpaidprincipalbalanceforaccountsonthe

bookforthesegmentasofmonth‐endthathaveenteredtheloan’srepaymentperiod.

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5. #Newdisbursements–Thetotalnumberofnewdisbursementsinthegivenmonthforthesegmentasofmonth‐end.

6. $Newdisbursements–Thetotaldollaramountdisbursedinthegivenmonth forthe


7. $ofUnpaidprincipalbalancewithco‐signer–Thedollaramountofunpaidprincipalbalanceinthesegmentthatwasunderwrittenwithaco‐signerreportedasofthemonth‐end.

8. $ofUnpaidprincipalbalanceingrace–Thedollaramountofunpaidprincipal

balanceforaccountsthatareingracestatusforthesegmentbeingreportedasofmonth‐end.

9. $ofUnpaidprincipalbalanceindeferment–Thedollaramountofunpaidprincipal

balanceforaccountsthatareindefermentstatusforthesegmentbeingreportedasofmonth‐end.

10.$ofUnpaidprincipalbalanceinforbearance–Thedollaramountofunpaidprincipal

balanceforaccountsthatareinforbearancestatusforthesegmentbeingreportedasofmonth‐end.

11.$CDR[0%through1.99%)‐Thetotalunpaidprincipalbalanceinthesegmentthat

hasaschoolcohortdefaultrateascomputedbytheDepartmentofEducationfallingwithin0%through1.99%asofthemonth‐end.

12.$CDR[2%through3.99%)–Thetotalunpaidprincipalbalanceinthesegmentthat

hasaschoolcohortdefaultrateascomputedbytheDepartmentofEducationfallingwithin2%through3.99%asofthemonth‐end.

13.$CDR[4%through5.99%)–Thetotalunpaidprincipalbalanceinthesegmentthat

hasacohortdefaultratefallingwithin4%through5.99%asofthemonth‐end.14.$CDR[6%through7.99%)–Thetotalunpaidprincipalbalanceinthesegmentthat

hasacohortdefaultratefallingwithin6%through7.99%asofthemonth‐end.15.$CDR[8%through9.99%)–Thetotalunpaidprincipalbalanceinthesegmentthat

hasacohortdefaultratefallingwithin8%through9.99%asofthemonth‐end.16.$CDR>10%‐Thetotalunpaidprincipalbalanceinthesegmentthathasacohort

defaultratefallingabove10%asofthemonth‐end.17.$CDR=N/A‐Thetotalunpaidprincipalbalanceinthesegmentthathasnocohort

defaultrateasofthemonth‐end.18.$Grosscontractualcharge‐offs–Thedollaramountofwrite‐downsonloansinthe


19.$Bankruptcycharge‐offs–Thedollaramountofwrite‐downsonloansinthe

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segmentthatwerecharged‐offduetobankruptcyduringthereportingmonth.TheamountreportedhereshouldbeconsistentwiththeamountreportedonScheduleHI‐B,PartI,ColumnAoftheFRY‐9C.FortheDelinquencyStatussegment,categorizecharged‐offloansbytheirdelinquencystatusatcharge‐off.



21.$NetCharge‐offs–Thedollaramountofwrite‐downsnetonloansinthesegmentthat



–Ifitisnotthecasethat$NetCharge‐offsequals[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries],providethevalueof$NetCharge‐offsminus[$GrossContractualCharge‐offs+$BankruptcyCharge‐offs—$Recoveries]inthisvariable,andseparatelyprovideanexplanationforthedifference.Asaseparatedocumentincludedinthesubmission,provideanexplanationforsuchadifference(forexample,fraudlossesarealsoincludedintheReportingInstitution’s$NetCharge‐offsvariable).Iftheadjustmentfactorvariablerepresentsmorethanonefactorleadingtothedifference,provideaseparatebreakoutofthemultiplefactors.

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ScheduleB—SecuritiesEachBHCorIHCshouldsubmitthetwoschedules(B.1andB.2)comprisingtheFR‐Y‐14QuarterlySecuritiesdata.TheBHCsandIHCsshouldrefertotheseparateTechnicalSubmissionInstructionsfordetailsonthetechnicalspecificationsoftheseschedulesincludingtheschedulenamingconvention,rowheaders,andvalueformats.Thefirstschedule(B.1‐Securities1)istheMainSchedulecontainingtheindividualsecurity‐leveldata.Thesecond(B.2‐Securities2)providesadditionaldetailonsecuritiesintheMainSchedulethatarepartofdesignatedhedgeaccountingrelationships.PleaserefertoAccountingStandardsCodification(ASC)Topic320,Investments—DebtandEquitySecurities(formerlyFASBStatementNo.115,AccountingforCertainInvestmentsinDebtandEquitySecurities)foradditionalguidancewhenpreparingthisschedule.IftheinstrumentexistsandisreportedontheFRY9Casofquarter‐end,thenitshouldbeincludedinthisscheduleInstitutionsareencouragedtoprovidefurtherdetailsonitshedgingpracticesinsupplementalmaterialsiftheinstitutionbelievesdoingsowillprovideadditionalandrelevantclarity.Auniqueidentifiermustbeincludedtoidentifyeachuniquerecordforeachofthesub‐schedulesB.1andB.2.asdiscussedbelow.Excludefromthisscheduleallsecuritiesheldfortradingandsecuritiestheholdingcompanyhaselectedtoreportatfairvalueunderafairvalueoptionevenifholdingcompanymanagementdidnotacquirethesecuritiesprincipallyforthepurposeofsellingtheminthenearterm.Alsoexcludesecuritiesthathavebeensold,butnotsettledasofthequarter‐enddate. B.1—Securities1(“MainSchedule”)TheSecurities1schedulecollectsindividualsecurity‐leveldetailsonpositions,securitytype,cumulativeOTTI(creditandnon‐creditrelatedimpairments)bysecurity,andaccountingintent(AFSorHTM).AmountsshouldbereportedinU.S.dollars(USD).ThereportingofSecuritiesshouldfollowbalancesheetclassificationoftheFRY‐9C(e.g.,SecuritieswillcorrespondwithScheduleHC‐Bbreakdowns).Additionally,themethodofreportingindividualsecurity‐levelinformationshouldbeconsistentwiththelevelofaggregationthecompanyusestoassessimpairmentandmeasurerealizedandunrealizedgainsandlossesoninvestmentsecuritiesunderGAAP(ASCparagraph320‐10‐35‐20). IncircumstanceswherebytheBHCorIHCholdssecuritiesinbothAFSandHTMcategorieswithinagivenassetclass,separateeachsecurityintoseparatelineitems. Thefollowinginformationshouldbereportedinthisschedule.UniqueIDAuniqueidentifiermustbeincludedtoidentifyeachuniquerecord.Foragivensecurityposition,thesameUniqueIDshouldbeusedfromoneperiodtothenext.IdentifierTypeandIdentifierValueReportindividualsecurity‐leveldataforallavailable‐for‐sale(AFS)andheld‐to‐maturity(HTM)securities,addingnewrowsasnecessary.Generally,securitiesshouldalwaysbereportedwithapublicidentifier,ifavailable,suchasavalidCUSIP,ISIN,orSEDOL.IfavalidCUSIP,ISINorSEDOLidentifierexistsforthesecurity,pleasereportthevalueofthechosen

50

identifier(theCUSIP,ISIN,orSEDOLcode)andindicatetheidentifiertypeas“CUSIP”,“ISIN”,or“SEDOL”.IfaCUSIP,ISIN,orSEDOLidentifierisnotavailableforagivensecurity,pleasereportanalternativepublicidentifiervalue,ifavailable,andreporttheidentifiertype.Ifonlyaninternalidentifierisavailableandprovided,pleasereporttheidentifiertypeas“INTERNAL.”SecuritieswhereaninternalidentifierisreportedmusthaveadditionalinformationreportedintheSecurityDescription2orSecurityDescription3fieldsthatclarifiesthenameofthesecurityorissuerandthenatureoftheobligation(seethegeneralrequirementforsecuritiesinthe“Other”SecurityDescription1category),totheextentthattheSecurityDescription2andSecurityDescription3fieldsareavailableaftermeetinganyspecificrequirementsintheinstructionsforthesefieldsunder“SecurityDescription”below.PrivatePlacementPleaseenter“Y”ifthesecurityisaprivateplacementsecurityorothernon‐publiclyofferedsecurityor“N”ifitisapubliclyofferedsecurity.Forclarity,pleaseenter"Y"forRule144Asecuritiesanddirectpurchasemunicipalsecurities(asdefinedintheMunicipalSecuritiesRulemakingBoard’sNotice2011‐52).SecurityDescriptionReportthesecuritydescriptionasindicatedbelow.AgencyMBS:Reportmortgage‐backedsecurities(MBS)issuedorguaranteedbyU.S.Governmentagencies.AuctionRateSecurities:Reportauctionratesecurities.Auction‐ratesecuritiesarevariableratesecuritieswithlong‐termmaturitieswhoseinterestratesareperiodicallyresetthroughauctionsoccurringatpredeterminedshort‐termintervals(generally7,14,28,or35days).CDO:Reportcollateralizeddebtobligations(CDOs).CDOsareasset‐backedsecuritiescollateralizedbyadiscreteportfoliooffixedincomeassetsandthatmakepaymentsbasedontheperformanceofthoseassets.CLO:Reportcollateralizedloanobligations(CLOs).CLOsaresecuritizationsofportfoliosofloansthroughabankruptcy‐remotespecial‐purposevehicle(SPV)thatissuesasset‐backedsecuritiesinoneormoreclasses(ortranches).Ingeneral,CLOsarebackedbyavarietyofassets,includingwholecommercialloans,revolvingcreditfacilities,lettersofcredit,andbankers’acceptances.CMBS:Reportcommercialmortgage‐backedsecurities(CMBS).ExcludesecuritiesthathavebeenissuedorguaranteedbytheFederalNationalMortgageAssociation(FNMA)ortheFederalHomeLoanMortgageCorporation(FHLMC)orguaranteedbytheGovernmentNationalMortgageAssociation(GNMA).Reportthesesecuritiesas“AgencyMBS”(above).CommonStock(Equity):Reportcommonstock(equity).ProvidethenameoftheissuerintheSecurityDescription2column.AutoABS:Reportasset‐backedsecurities(ABS)collateralizedbyautoloans.CreditCardABS:Reportasset‐backedsecurities(ABS)collateralizedbycreditcardloans.StudentLoanABS:Reportasset‐backedsecurities(ABS)collateralizedbystudentloans.OtherABS(exclHELABS):ReportallotherABSthatcannotproperlybereportedasautoABS,creditcardABS,studentloanABSorhomeequityloanABS;suchas,leasing,SmallBusinessAssociation(SBA)andfleet(auto)andfloorplanABS.

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CorporateBond:Reportcorporatebonds.Corporatebondsaredebtobligationsissuedbycorporationsandmaybesecuredorunsecured.ReporttheissuernameintheSecurityDescription2column.Reportthesector(i.e.,theindustryname)intheSecurityDescription3columnaccordingtoNorthAmericanIndustryClassificationSystem(NAICS)industry.IfaNAICSindustryisnotavailable,reporttherelevantGlobalIndustryClassificationStandard(GICS)industry.IfneitherNAICSnorGICsindustriesareavailable,reporttherelevantStandardIndustrialClassification(SIC)industry.CoveredBond:Reportsecuritiesgenerallyclassifiedas“coveredbonds”thatfeaturerecoursetocashflowsofapoolofmortgagesorpublic‐sectorloansonthebalancesheetofanissuingfinancialinstitution.DomesticNon‐AgencyRMBS(inclHELABS):Reportresidentialmortgage‐backedsecurities(RMBS),includingsecuritiesbackedbyhomeequityloans,thatareissuedbydomesticnon‐governmentagencyentities.ForeignRMBS:Reportresidentialmortgage‐backedsecuritiesofforeignissuers.ProvidethecountryintheSecurityDescription2column.MunicipalBond:ReportbondsissuedbyU.S.states,cities,counties,andothergovernmentalentitiesatorbelowthestatelevel.Forexample,includebondsissuedbyCanadianprovincesorotherlocalgovernmententitiesandbondsissuedbyothernon‐USlocalgovernmententities.IntheDescription2column,reportthesectorfromthelistbelowthatbestdescribestheprincipalsourceofrepaymentandintendeduseofthecapitalraisedbytheoffering.

GeneralObligation‐State GeneralObligation‐Local Revenue‐SingleFamilyHousing Revenue‐Multi‐FamilyHousing Revenue‐HospitalsandHealthCare Revenue‐Education Revenue‐IndustrialDevelopmentRevenue Revenue‐Utilities Revenue‐Transportation Revenue‐Tax Revenue–Other Appropriation‐Backed5 Other

MutualFund:Reportinvestmentsinmutualfunds,includingmoneymarketmutualfundsandmutualfundsthatinvestsolelyinU.S.governmentsecurities.IntheDescription2column,entereither“MoneyMarketMutualFund”forinvestmentsinmoneymarketmutualfundsorsimilarcashreserveinstrumentsor“Non‐MoneyMarketMutualFund”forallothercategoriesofmutualfunds.ProvidethenameofthefundintheDescription3column.PreferredStock(Equity):RefertotheFRY‐9CGlossaryentryfor“PreferredStock.”ProvidetheissuernameintheSecurityDescription2column.

5 Foradefinitionofappropriation‐backeddebt,pleaserefertotheMunicipalSecuritiesRulemakingBoardglossarydefinitionforsubject‐to‐appropriation‐debt.

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SovereignBond:Reportbondsissuedbythecentralgovernmentsofforeigncountries.Providethetwo‐letterCountryISOcodeintheSecurityDescription2column.Also,includeinthiscategoryobligationsofforeigncountrycentralbanks,foreigncentralgovernmentunitsoragencies,fullygovernment‐guaranteedobligationsofmunicipalorstate‐ownedenterprises(e.g.,non‐centralgovernment(s));andobligationsofsupranationalorganizationssuchastheInternationalBankforReconstructionandDevelopment(WorldBank),Inter‐AmericanDevelopmentBank,andAsianDevelopmentBank.SovereignBondsthatareissuedbysupranationalentitiesshouldidentifytheissuerofthebondinthesecondorthirdsecuritydescriptioncolumninplaceofacountrycode.Additionally,fornon‐guaranteedgovernmentsecurities,includeadditionalinformationintheremainingdescriptioncolumnstoexplainthesourceofrepayment(ifnotfullfaithandcreditofthesovereign).USTreasuries&Agencies:Excludemortgage‐backedsecurities.ReportU.S.governmentagencyobligationsissuedbyU.S.governmentagenciesandU.S.government‐sponsoredagencies,includingbutnotlimitedto,SmallBusinessAdministration“GuaranteedLoanPoolCertificates,”U.S.MaritimeAdministrationobligations,andExport–ImportBankparticipationcertificates.Includeobligations(otherthanmortgage‐backedsecurities)issuedbytheFarmCreditSystem,theFederalHomeLoanBankSystem,theFederalHomeLoanMortgageCorporation,theFederalNationalMortgageAssociation,theFinancingCorporation,ResolutionFundingcorporation,andFDICStructuredSaleGuaranteedNotesandNCUAGuaranteedNotes.

Other:Reportallsecuritiesthatcannotproperlybereportedinthecategoriesabove.ItisrequiredtousetheSecurityDescription2and/orSecurityDescription3columnstoprovideadescriptionofthesecuritythatclarifiesthenameofthesecurityorissuer,typeornatureofobligation,and,ifapplicable,keytermssuchasthematuritydateandstatedinterestrate.ExposuretoDebt/EquitySecurity(USDEquivalent)Reportexposuretothedebt/equitysecurityasindicatedbelow.AmortizedCost(USDEquivalent):Ingeneral,amortizedcostisthepurchasepriceofadebtsecurityadjustedforamortizationofpremiumoraccretionofdiscountifthedebtsecuritywaspurchasedatotherthanparorfacevalue(formoreinformation,refertotheFRY‐9CGlossaryentryfor“premiumsanddiscounts”).MarketValue(USDEquivalent):Ingeneral,marketvalueis“thepricethatwouldbereceivedtosellanassetorpaidtotransferaliabilityinanorderlytransactionbetweenmarketparticipantsatthemeasurementdate.”Forfurtherinformation,refertoASCTopic820,FairValueMeasurementsandDisclosures(formerlyFASBStatementNo.157,FairValueMeasurements)andtheFRY‐9Cglossaryentryfor“fairvalue.”CurrentFaceValue(USDEquivalent):Thenominaldollaramountofthesecurityasofthereportdate.OriginalFaceValue(USDEquivalent):Thenominaldollaramountoriginallyassignedtothesecuritybytheissuer.OTTITakenReportthecumulativeamountofother‐than‐temporaryimpairments(OTTI)recognizedinearningsinthecalendaryeartodatebytheBHCorIHConthesecurity(.Forclarity,pleaseincludeonlytheportionofOTTIrecordedinformFRY‐9C,ScheduleHI,memorandaitem17(c).AccountingIntentIndicatewhetherthesecurityisavailable‐for‐sale(AFS)orheld‐to‐maturity(HTM).

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PriceReportthepriceofthesecurityassociatedwiththereportedmarketvalueinUSD.Ingeneral,thisisthevaluethat,whenmultipliedbythecurrentUSDequivalentfacevalueornominalamountofthesecurity,resultsintheUSDequivalentamountthatwouldbereceived(excludingaccruedinterest)ifthesecurityweresoldatmarketvalue.Asecuritywhosemarketvalueisequaltoitsoutstandingfacevaluehasapriceof100.Forequitysecurities,reportthepricepershare. PricingDateReportthepricingdateofthesecurity.BookyieldReporttheeffectiveinterestratethatwouldbeusedtodeterminecreditlossesondebtinstrumentsforother‐than‐temporaryimpairment(OTTI)purposesinaccordancewithASCTopic320.Thisitemisnotrequiredforequityandmutualfundsecurities.Forsecuritizationdebt,thisrelatestotheyieldimplicitatthetimeofacquisition.Thisvalueshouldbetheoriginalunamortizedyield,withoutsubsequentadjustmentsforpaydownsoraccretion.However,ifthereportedbookyielddiffersfromtheyielddeterminedaccordingtothemethodologyabove,suchasusingtheretrospectiveinterestmethodforonlystructurednotesoutlinedinASC320‐10‐35‐40,documentthereasonfortheuseofthealternativeinsupplementalmaterials. PurchaseDateReportthedateonwhichthesecuritywaspurchasedoracquiredinthecaseofcreditsensitivesecuritiesthatareevaluatedforother‐than‐temporaryimpairment(OTTI)purposesinaccordancewithASCTopic320,Investments—DebtandEquitySecurities(formerlyFASBStatementNo.115,AccountingforCertainInvestmentsinDebtandEquitySecurities).Thepurchasedateshouldbethedateassociatedwiththeamortizedcostandbookyieldofthesecurity(excludeforequityandmutualfundsecurities).Ifcurrentholdingsofthesamesecuritywereacquiredindifferentperiods,pleaseprovidetheamountsandrespectivepurchasedatesdistincttradelotsinseparaterowsoftheworksheets.Thepreferredmethodforreportingpurchasesandsalesofsecuritiesisasoftradedate.However,settlementdateaccountingisacceptableifthereportedamountswouldnotbemateriallydifferent.(SeetheGlossaryentryfor“tradedateandsettlementdateaccounting"intheFRY‐9Cinstructions). CurrencyIndicatethecurrencydenominationofcontractualpaymentsonthesecurity,orforanequitysecurity,thecurrencyinwhichittradesinitsprincipalexchange,usingthestandardISO4217three‐lettercurrencycode(e.g.,USD,EUR,GBP,CAD,etc.).Fortheavoidanceofdoubt,whetherornotthevalueofthisfieldisUSD(U.S.dollars),allamountsreportedinthisschedulemustbeinUSD‐equivalenttermsasofthereportingdate.

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B.2—Securities2(“InvestmentSecuritieswithDesignatedAccountingHedges”)TheSecurities2schedulecontainsinformationoninvestmentsecurityhedgingrelationshipsdesignatedunderGAAPascashfloworfairvaluehedgesofAFSorHTMsecurities.AllamountsshouldbereportedinU.S.dollars.Gainsandlossesshouldbereportedgrossoftax.Ineachrow,reporttheuniqueID,identifiertypeandidentifiervalueusingthecorrespondinginstructionsforSecurities1foreachinvestmentsecurityforwhichtheBHCorIHChasanexistingqualifyinghedgingrelationship.Securityholdingslistedinthisworksheetshouldbeasubsetoftheline‐by‐lineholdingsreportedintheSecurities1scheduleanduseaconsistentID,IdentifierTypeandIdentifierValueformatchingpurposes.Inaddition,forqualifyinghedgingrelationshipsreportedonSecurities2,theuniqueIDreportedfortheinvestmentsecurityonSecurities1mustalsobereported.

Thereshouldbeonerowsubmittedforeachdistinctinvestmentsecurityhedgingrelationship.Usemultiplerowstoreflectone‐to‐manyrelationships:Forexample,ifmultiplehedgingrelationshipsapplytoasinglesecurityholding,pleaselisteachhedgingrelationshipaffectingthesecurityinaseparaterowoftheSecurities2file,repeatingrelevantdetailsaboutthehedgedsecurity.(Thistreatmentwouldapply,forexample,ifdistincthedginginstruments–suchasinterestrateandforeignexchangehedginginstruments–hedgedifferentrisksofthesameholdingandareaccountedforseparately,orifafairvaluehedgeco‐existswithacashflowhedgetoaddressdistinctrisks.)Similarly,ifaportfoliohedgeisusedtohedgemorethanonesecurityunderasinglehedgingrelationship,pleaselisteachofthehedgedsecurityholdingsinseparaterowsalongsidethecharacteristicsandallocableamountoftheassociatedportfoliohedginginstrument. Ifahedginginstrumenthedgesaninvestmentsecurityandalsohedgesassetsthatarenotinvestmentsecurities,reporttheamountallocabletotheinvestmentsecurity(orsecurities)beinghedged.Pleaserefertothefollowingtablefordetailedinstructionsoneachcolumnofthisworksheet.TheabbreviationASCstandsfortheFinancialAccountingStandardsBoardAccountingStandardsCodification.Ingeneral,intheinstructionsthatfollow,thetermshedginginstrumentandhedgeditemfollowtheirusageintheASC.Notethathedginginstrumentmayrefereithertoasingleinstrumentorderivativethathedgesthehedgediteminahedgingrelationship,oragroupofinstrumentsjointlyconsideredahedginginstrumentunderasinglehedgingrelationship.

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FieldNo.

FieldName Description AllowableValues

1 IdentifierType ReporttheidentifiertypeforaninvestmentsecurityforwhichtheBHC or IHC has an existing qualifying accounting hedgingrelationship, and whose identifier value is provided in Field 2(“Identifier Value”). Ifmore than one distinct qualifying hedgingrelationship exists for the security, please list the securitymorethanonce.

SeeSecurities1instructions

2 IdentifierValue ReporttheidentifiervalueforaninvestmentsecurityforwhichtheBHC or IHC has an existing qualifying accounting hedgingrelationship. If more than one distinct qualifying hedgingrelationship exists for the security, please list the securitymorethanonce.


3 AmortizedCost

(USDEquivalent)

Reporttheamortizedcost(USDequivalent)of thesecuritybeinghedged. This amount should equal the amount recorded in theSecurities1fileforthissecurity,unlesstheamountinSecurities1contains trade lots or holdings that are not part of the hedgingrelationship, inwhichcaseonlyincludetheamortizedcostoftheholdings of the security that are hedged under the qualifyinghedgingrelationship.


4 MarketValue(USDEquivalent)

Report themarket value (USD equivalent) of the security beinghedged. This amount should equal the amount recorded in theSecurities1fileforthissecurity,unlesstheamountinSecurities1contains trade lots or holdings that are not part of the hedgingrelationship, inwhichcaseonlyincludetheamortizedcostoftheholdings of the security that are hedged under the qualifyinghedgingrelationship.


5 AccountingIntent(AFS,HTM)

Indicate whether the security being hedged is available‐for‐sale(AFS)orheld‐to‐maturity(HTM).


6 TypeofHedge(s)

Reportthetypeofhedge(fairvalueorcashflowhedge)associatedwith theholdingasdefinedbyASC815.Make this indication foreachhedgedsecurity,whetheritishedgedindividuallyorishedgedaspartofaportfolioofassetswithsimilarriskthatarehedgedasagroupinlinewithASC815‐20‐25‐12(b)orASC815‐10‐25‐15.

1=FairValueHedge,2=CashFlowHedge.

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FieldNo.


7 HedgedRisk

Indicatetheriskbeinghedged,amongthepotentialhedgedrisksdescribedunderASC815‐20‐25‐12andASC815‐20‐25‐15.

1=OverallChangeinFairValueorVariabilityinCashFlows,2=InterestRateRisk,3=ForeignExchangeRisk,4=CreditRisk,5=InterestRateRisk&ForeignExchangeRisk,6=InterestRateRisk&CreditRisk,7=ForeignExchangeRisk&CreditRisk,8=InterestRateRisk&ForeignExchangeRisk&CreditRisk,9=ChangeinFairValueofEmbeddedCallorPutOption,10=Other,11=Notapplicable.

8 HedgeInterestRate

For hedges of interest rate risk, indicate the benchmark interestratesfromamongthoseeligibleunderASC815‐20‐25‐6Aandotherrelevantguidance.

1=USTreasurySecurityInterestRate,2=LondonInterbankOfferedRate(LIBOR)SwapRate,3=FederalFundsEffectiveSwapRate,4=Other,5=Notapplicable.

9 HedgePercentage Indicate,inthecaseofadesignatedfairvaluehedge,theportionoftheassetbeinghedged,asdeterminedaccordingtoASC815‐20‐25‐12(b).Enteradecimalvalue.

Ifthehedgeisallocatedto100percentofthesecuritiesnotionalor100 percent of the hedged risk associated with the investmentamounts reported in Fields 3 and 4 (amortized cost andmarketvalue),pleaseenteravalueof1.

Iftheassociatedhedgeisadesignatedcashflowhedgeofforeigncurrencyfluctuation,pleaseindicatethepercentageofprincipalorinterestcashflows(asapplicable)beinghedgedinaccordancewithASC815‐20‐25‐41.

Enteranumeralindecimalformatwithupto4decimalplacesbetween0and1,inclusive.

10 HedgeHorizon If the hedge is a fair value hedge, report the latest date of theremaining effectiveness horizon (e.g., the remaining life of thederivativeinstrumentoranapplicableshorterperiod,asdiscussedin ASC 815‐20‐25‐118), consistent with the documented riskmanagementstrategyforthefairvaluehedge.

Ifthehedgeisacashflowhedge,reportthelatestdatewithinwhichthelatesttransactioncoveredbythehedgeisexpectedtooccur,inlinewiththedocumentationrequirementsunderASC815‐20‐25‐3andtheeffectivenesstestingrequirementsunderASC815‐20‐25.

Mustbeinyyyy‐mm‐ddformat,e.g.:2005‐02‐011999‐12‐14

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FieldNo.


11 HedgedCashFlow Indicatethetypeofcashflowassociatedwiththehedgeifitisacashflowhedge.

1=PrincipalandInterestCashFlows,2=InterestOnly,3=PrincipalOnly,4=AFixedPortionofEitherPrincipalorInterestCashFlows,5=Other6=Notapplicable.

12 Sidedness Indicate whether the hedging instrument provides a one‐sidedeffectiveoffsetofthehedgedrisk,aspermittedunderASC815‐20‐25‐76.

1=One‐sided.2=NotOne‐sided.

13 HedgingInstrumentatFairValue

Indicate theUSD‐equivalent fairvalueof thehedging instrumentused to hedge the security under the indicated hedgingrelationship.Thehedging instrumentassociatedwiththehedgedsecuritymayconsistofaproportionofawholederivative(seeASC815‐20‐25‐45),inwhichcasereporttheapplicableportionofthehedging derivative’s fair value. In addition, more than oneinstrumentmaybeusedincombinationasahedginginstrument,inwhich case report the sum of the allocable fair values of theseinstruments.

Roundedpositiveornegativewholedollaramountwithnocents,e.g.:20000000

Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).Fornegativevaluesuseanegativesign‘‐‘,notparentheses.

14 EffectivePortionofCumulativeGainsandLosses

IndicatetheeffectiveportionofthegainsandlossesinthequarterinUSDof thehedging instrument(s), associatedwith thehedgedriskandhedgedpercentageofthesecurity.

Roundedpositiveornegativewholedollaramountwithnocents,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).Fornegativevaluesuseanegativesign‘‐‘,notparentheses.

15 IneffectivePortionofCumulativeGainsandLosses

Indicate the ineffective portion of the gains and losses in thequarter inUSDof thehedging instrument(s),associatedwith thehedged risk and hedged percentage of the security, which havebeenrecognizedinearnings.

Roundedpositiveornegativewholedollaramountwithnocents,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).Fornegativevaluesuseanegativesign‘‐‘,notparentheses.

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ScheduleC—RegulatoryCapitalInstruments

GeneralguidanceTheFRY‐14QRegulatoryCapitalInstrumentsquarterlyschedulescollecthistoricaldataofBHCs’andIHCs’transactionsinandbalancesoffundedinstrumentsthatareincludedinregulatorycapitalaswellassubordinateddebtinstrumentsandtheirrelatedhedginginstruments–includedinFRY‐9ClineitemBHCK4062,“Subordinatednotesanddebentures.”TheycollecthistoricaldataattheCUSIPlevelonthebalancesofeachfundedregulatorycapitalinstrument,inadditiontoinformationonanyissuancesandredemptionsofindividualinstrumentsthatoccurredduringthequarter.ThequarterlyscheduledoesnotrequireBHCsorIHCstoreportchangesinthebalancesofcapitalinstrumentsduetoamortizationsoraccretionsaseitherRedemptionsorIssuances.Note:Allsubordinateddebtinstrumentsmustbeincluded,regardlessofwhetherornottheinstrumentisincludedinregulatorycapital.ConcurrentlywiththeirinitialsubmissionoftheRegulatoryCapitalInstrumentsschedule,anewfilerofFRY‐14QScheduleCmustmakeaone‐timesubmissionofallsubordinateddebtasofquarterendthatincludesalloftheinformationrequiredinscheduleC.3(IssuancesDuringQuarter)foreachsubordinateddebtinstrumentoutstandingasofquarterend.ReportinColumnIthenotionaldollaramountoftheinstrumentasofquarterend.

C.1—RegulatoryCapitalandSubordinatedDebtInstrumentsasofQuarterEndThisworksheetcollectshistoricalinformationontheBHCs’andIHCs’regulatorycapitalandsubordinateddebtinstrumentsasoftheendofthemostrecentquarter.Completethisworksheetwithdetailsoneachofthesefundedinstrumentsasofquarterend.Foreachinstrument,providetheapplicabledetailsbelow:ColumnInstructionsColumnB CommitteeonUniformSecurityIdentificationProcedures(CUSIP)or

uniqueidentifierprovidedbyBHCorIHCReporttheCUSIPnumberoruniqueidentificationnumberassignedtotheinstrumentasprovidedbytheBHCorIHC.ColumnC Instrumenttype Reportthetypeofregulatorycapitalinstrument.InstrumentsshouldbereportedbasedonwhethertheywereincludedinTier1orTier2regulatorycapital.

ColumnD RevisedrRegulatorycapitalruletreatment Reporttheregulatorycapitaltreatmentfortheinstrumentaspertherevisedregulatorycapitalrule(Seegenerally12CFR217).Iftheinstrumentbeingreportedisasubordinateddebtinstrumentnotincludedinregulatorycapital,“NA”shouldbereported.ColumnE Cumulative/noncumulative Reportwhethertheinstrument’scoupon/dividendiscumulativeornoncumulative.ColumnF Notionalamount($Millions)Reportthenotionaldollaramountoftheinstrumentasofquarterend.

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ColumnG Amountrecognizedinregulatorycapital($Millions) Reportthedollaramountoftheinstrumentthatqualifiedasregulatorycapitalasofquarterend.ColumnH Comments Usethisfieldtoreportanysupportinginformationregardingtheinstrument.C.2—RegulatoryCapitalandSubordinatedDebtInstrumentRepurchases/RedemptionsDuringQuarterBHCsandIHCsaretocompletethisworksheetwithdetailsonanyrepurchaseorredemptionactivityforitscapitalandsubordinateddebtinstrumentsduringthequarter.Foreachinstrumentthatwassubjecttoaredemptionorrepurchase,providetheapplicabledetailsbelow.Note:Donotusethisworksheettoreportdecreasesintheamountofanycapitalinstrumentthataretheresultofamortizationsoftheremainingbalanceoftheinstrument.AnychangesduetoamortizationsofinstrumentsthatoccurredduringthequartershouldbereflectedinthebalancesofthoseinstrumentsasreportedontheC.1‐RegulatoryCapitalandSubordiantedDebtInstrumentsasofQuarterEndworksheet.

ColumnInstructionsColumnB CommitteeonUniformSecurityIdentificationProcedures(CUSIP)or

uniqueidentifierprovidedbyBHCorIHC ReporttheCUSIPnumberoruniqueidentificationnumberassignedtotheinstrumentasprovidedbytheBHCorIHC.ColumnC Instrumenttype Reportthetypeofregulatorycapitalinstrument.ColumnD RevisedrRegulatorycapitalruletreatment Reporttheregulatorycapitaltreatmentfortheinstrumentaspertherevisedregulatorycapitalrule(Seegenerally12CFR217).Iftheinstrumentbeingreportedisasubordinateddebtinstrumentnotincludedinregulatorycapital,“NA”shouldbereported.ColumnE Redemptionaction Reporttheredemptionactionexecutedontheinstrument.ColumnF Dateonwhichactionwasexecuted(mm/dd/yyyy) Reportthedateonwhichtheredemption/repurchaseactionwasexecuted.ColumnG Notionalamounttransacted($Millions) Reportthenotionaldollaramountbywhichtheinstrumentwasreducedasaresultoftheredemption/repurchaseaction.ColumnH Regulatorycapitalamounttransacted($Millions)Reportthedollaramountofregulatorycapitalbywhichtheinstrumentwasreducedasaresultoftheredemption/repurchaseaction.ColumnI Notionalamountremainingatquarterend($Millions) Reporttheremainingnotionaldollaramountoftheinstrumentasofquarterend.

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ColumnJ Amountrecognizedinregulatorycapitalremainingatquarterend($Millions)

Reporttheremainingdollaramountoftheinstrumentthatwasincludedinregulatorycapitalasofquarterend.ColumnK Comments Usethisfieldtoreportanysupportinginformationregardingtheinstrument.

C.3–RegulatoryCapitalandSubordinatedDebtInstrumentsIssuancesDuringQuarterBHCsandIHCsaretocompletethisworksheetwithdetailsonanyissuancesofcapitalandsubordinateddebtinstruments–aswellasanyrelatedhedginginstruments,whichincludesnewhedgesonoutstandingsubordinateddebtinstruments‐thatwereissuedduringthequarter.Foreachissuedinstrument,providetheapplicabledetailsbelow.ColumnsBBthroughColumnsOOapplytosubordinateddebtinstruments,relatedhedgesaswellasanynewhedgesassociatedwithoutstandingsubordinateddebtinstruments,Forasubordinateddebtinstrumentwithmultiplehedginginstruments(swaps),pleasereportonmultiplelineswiththenamingconvention:CUSIP_1,CUSIP_2,etc.,whereCUSIPistheuniqueidentifieroftheunderlyinginstrument.ColumnsC‐ZandBB‐CCshouldberepeatedforallswapandreflecttheunderlyinginstrument,eventhoughtheentriesmaybethesameduetotheswapshavingthesameunderlyinginstrument.Note:Donotusethisworksheettoreportincreasesintheamountofanycapitalinstrumentsthataretheresultofaccretionsthatoccurredduringthequarter.AnychangesduetoaccretionsthatoccurredduringthequartershouldbereflectedinthebalancesofthoseinstrumentsasreportedontheC.1‐RegulatoryCapitalInstrumentsasofQuarterEndworksheet.

Issuancesofcommonstockassociatedwithemployeecompensationplansshouldbereportedonthisworksheetaswell.Thisincludesdenovoissuancesofcommonstockassociatedwithemployeecompensationplansaswellastreasurystockre‐issuancesassociatedwithemployeecompensationplans.Pleasenoteinthecommentswhethertheissuanceisdenovoorfromtreasurystock. ColumnInstructionsColumnB CommitteeonUniformSecurityIdentificationProcedures(CUSIP),

InternationalSecuritiesIdentificationNumber(ISIN)oruniqueidentifierprovidedbyBHCorIHC

ReporttheCUSIPorISINnumber.IftheinstrumentdoesnothaveaCUSIPorISIN,providetheuniqueidentificationnumberassignedtotheinstrumentasprovidedbytheBHCorIHC.Forsubordinateddebtwithmultipleswaps,pleasereportonmultiplelineswiththenamingconventionCUSIP_1,CUSIP_2,etc.,whereCUSIPistheuniqueidentifieroftheunderlyinginstrument.ColumnC Instrumenttype Reportthetypeofregulatorycapitalinstrument.InstrumentsshouldbereportedbasedonwhethertheywereactuallyincludedinTier1orTier2regulatorycapital.

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ColumnD Isissuanceresultofconversion? Reportwhethertheissuedinstrumentistheresultofaconversion.ColumnE Ifconversion,indicateCUSIPoforiginalinstrument Forissuancesthataretheresultofaconversion,reporttheCUSIPoftheinstrumentfromwhichthenewissuancewasconverted.ColumnF Dateofissuance(mm/dd/yyyy) Reportthedatetheinstrumentwasissued.ColumnG RevisedrRegulatorycapitalruletreatment Reporttheregulatorycapitaltreatmentfortheinstrumentaspertherevisedregulatorycapitalrule(Seegenerally12CFR217).Iftheinstrumentbeingreportedisasubordinateddebtinstrumentnotincludedinregulatorycapital,“NA”shouldbereported.ColumnH Cumulative/noncumulative Reportwhethertheinstrument’scoupon/dividendiscumulativeornoncumulative.ColumnI Notionalamounttransacted($Millions) Reportthenotionaldollaramountoftheissuedinstrument.Forsubordinateddebtwithmultipleswaps,reportthefullnotionalamounttransactedoftheunderlyinginstrument.ColumnJ Regulatorycapitalamounttransacted($Millions)Reportthedollaramountoftheinstrumentthatqualifiedasregulatorycapitalasofquarterend.ColumnK Perpetual/dated Reportwhethertheissuedinstrumentisoffixedmaturity(“dated”)orofnofixeddatewhencapitalwillbereturnedtotheinvestor(“perpetual”).ColumnL Ifdated,dateofmaturity(mm/dd/yyyy) Forinstrumentsoffixedmaturity(i.e.,“dated”instruments),reportthematuritydate.For“perpetual”instruments,report“NA”.ColumnM Issuercall Reportwhetherthereisanissuercalloptionfortheinstrument.ColumnN Ifcallable,optionalcalldate(mm/dd/yyyy) Forinstrumentsthatfeatureanissuercalloption,reportthefirstdateofcall.ColumnO Fixed/floating Reportwhethertheinstrumenthasafixedcoupon,afloatingcoupon/dividend,stepsuporconvertsfrompayingafixedtopayingafloatingcoupon.ColumnP Coupon/dividendrate(dividendyield)(bps)atissuance Forinstrumentswithfixedcoupon/dividends,reportthecoupon/dividendratefortheinstrumentatissuance.Forinstrumentsthathaveafloatingcoupon/dividendorthathaveneitherafixednorfloatingcoupon/dividendrate(suchascommonstock),inputthecoupon/dividendratepaidinthereportingquarter.ColumnQ Indexatissuance Forinstrumentswithacoupon/dividendratethatislinkedtotherateofaparticularindex,reporttheindextowhichitislinkedatissuance.Forinstrumentswithafixedcoupon/dividendrate,report“NA.”Iftheindexisnotavailable,specifytheindexinthe

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Commentsfield.ColumnR Spreadoverindex(bps)atissuance Forinstrumentswithacoupon/dividendratethatislinkedtotherateofaparticularindex,reportthespreadovertherelevantindexinbasispoints(e.g.,1MLIBOR+50bpsshouldbereportedas“50”)atissuance.Forinstrumentsthathaveafixedcoupon/dividendrateorthathaveneitherafixednorfloatingcoupon/dividendrate,report“NA”.ColumnS DateatwhichcoupontermschangeForinstrumentsthatstepuporconvertfrompayingafixedratetopayingafloatingcoupon,specifythedateatwhichtheratechangeoccurs.Ifthetermsoftheinstrumentdonotchange,report“NA.”ColumnT Coupon/dividendrate(bps)whentermschangeForinstrumentsthatstepup,reportthecoupon/dividendratefortheinstrumentafterthechangeofterms.Ifthetermsoftheinstrumentdonotchange,report“NA.”ColumnU IndexwhentermschangeForinstrumentsthatconvertfrompayingafixedratetopayingacoupon/dividendratethatislinkedtotherateofaparticularindex,reporttheindextowhichitislinked.Selectfromoptionsinthedropdownbox.Iftheindexisnotavailableinthedropdownmenu,specifytheindexintheCommentsfield.Ifthetermsoftheinstrumentdonotchange,report“NA.”ColumnV Spreadoverindex(bps)whentermschangeForinstrumentsthatconvertfrompayingafixedratetopayingacoupon/dividendwithacoupon/dividendratethatislinkedtotherateofaparticularindex,reportthespreadovertherelevantindexinbasispoints(e.g.,1MLIBOR+50bpsshouldbereportedas“50”).Ifthetermsoftheinstrumentdonotchange,report“NA.”ColumnW Existenceofstepuporotherincentivetoredeem Reportwhethertheinstrumentfeaturesastepuporotherincentivetoredeemthesecurity.Step–upsecuritiesinitiallypaytheinvestoranabove–marketyieldforashortperiodandthen,ifnotcalled,‘‘stepup’’toahighercouponrate.ColumnX Convertible/non‐convertible Reportwhethertheinstrumentisconvertibleintoanotherinstrumentornon–convertible.ColumnY Ifconvertible,mandatoryoroptionalconversion? Forinstrumentsthatareconvertibleintoanotherinstrument,reportwhethertheconversionismandatoryoroptional.Fornon–convertibleinstruments,report“NA”.ColumnZ Ifconvertible,specifytheinstrumenttypeintowhichitwillconvert Forinstrumentsthatareconvertibleintoanotherinstrument,reportthetypeofinstrumentintowhichtheinstrumentwillconvert.Fornon–convertibleinstruments,report“NA”.ColumnAA Comments Usethisfieldtoreportanysupportinginformationregardingtheinstrument.Ifthenatureoftheswap(fixed‐to‐floating,floating‐to‐fixed,FX)isnotself‐evident,pleaseprovidedetailshere.

ColumnBB Carryingvalue,asofquarter‐end($Millions)Reportthecarryingvalueoftheinstrument.Thisnumbershouldmatchthevaluethat

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entersinFRY‐9ClineitemBHCK4062,“Subordinatednotesanddebentures,”andshouldbeequaltothesumofcolumnI,CC,andDD.Forsubordinateddebtwithmultipleswaps,pleasereportthefullcarryingvalueoftheunderlyingnote.ColumnCC Unamortizeddiscounts/premiums,fees,andforeignexchange

translationimpactsasofquarter‐end($Millions)Reportthedollaramountofunamortizeddiscounts/premiums,fees,andforeignexchangetranslationimpact(forFX‐denominatedinstruments)associatedwiththeinstrument.Forsubordinateddebtwithmultipleswaps,pleasereportthefullamountofunamortizeddiscounts/premiums,fees,andforeignexchangetranslationimpact(forFX‐denominatedinstruments)associatedwiththeunderlyingnote.ColumnDD Fairvalueofswaps,asofquarterend($Millions)ReportthedollarvalueofswapsassociatedwiththeinstrumentthatenterFRY‐9ClineitemBHCK4062,“Subordinatednotesanddebentures.”Forsubordinateddebtwithmultipleswaps,pleasereportthefairvalueofthespecificswapdetailedinthisline.ColumnEE Interestrateswapissuedate(mm/dd/yyyy)IfthereisaninterestrateswapassociatedwiththeinstrumentthatisaccountedforinFRY‐9ClineitemBHCK4062,“Subordinatednotesanddebentures,”andBHCK4397,“InterestonSubordinatedNotesandDebenturesandonMandatoryConvertibleSecurities,”reporttheissuedateoftheswap.ColumnFF Interestrateswapmaturitydate(mm/dd/yyyy)Reportthematuritydateoftheinterestrateswapassociatedwiththeinstrument.ColumnGG Notionalamountofinterestrateswap($Millions)Reportthenotionaldollaramountoftheinterestrateswapassociatedwiththeinstrument.Forsubordinateddebtwithmultipleswaps,pleasereportthenotionalamountforthespecificswapdetailedinthisline.ColumnHH Swapfixedrate(bps)Iftheinterestrateswapisfloating‐to‐fixed,reportthefixedinterestratepayment.Iftheinterestrateswapisfixed‐to‐floating,reportthefixedinterestratereceivedfromtheswap.Iftheinterestrateswapisfloating‐to‐fixed,reportthefixedinterestratepaid.ColumnII SwapindexIftheinterestrateswapisfixed‐to‐floating,reporttheindextowhichtheswappaymentislinked.Iftheinterestrateswapisfloating‐to‐fixed,reporttheindextowhichthereceivedlegislinked.Iftheindexisnotavailableinthedropdownbox,pleasespecifyindexintheCommentsfield.Forinstrumentsunrelatedtoanindexreport“N/A”.ColumnJJ Swapspreadoverindex(bps)Reportthespreadovertherelevantindexinbasispoints(e.g.,1MLIBOR+50bpsshouldbereportedas“50”)Forinstrumentsunrelatedtoanindexreport“N/A”.ColumnKK CurrencydenominationoftheinstrumentReportthecurrencytheinstrumentisdenominatedin.Iftherelevantcurrencyisnotinthedropdownbox,pleasespecifythecurrencyintheCommentsfield.ColumnLL CurrencyofforeignexchangeswappaymentIfaforeignexchangeswapisassociatedwiththeinstrument,reportthecurrencyofthe

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swappayment.Forexample,foraninstrumentdenominatedinEUR,aforeignexchangeswapmayimplyaUSDpaymentforareceiptofEUR.ThecurrencyoftheswappaymentisthusUSD.Selectfromoptionsinthedropdownbox.Iftherelevantcurrencyisnotinthedropdownbox,pleasespecifythecurrencyintheCommentsfield.IfthetermsoftheswapsassociatedwiththeinstrumentandaccountedforinFRY‐9ClineitemBHCK4062,“Subordinatednotesanddebentures,”andBHCK4397,“InterestonSubordinatedNotesandDebenturesandonMandatoryConvertibleSecurities,”arenotrepresentedadequatelyincolumnsEEtoLLontheform,pleaseprovideadditionalinformationonswapsintheCommentsfield.ColumnMM Notionalamountofforeignexchangeswap($Million)Reportthenotionaldollaramountoftheforeignexchangeswapassociatedwiththeinstrument.ColumnNN Exchangerateimpliedbyforeignexchangeswap(LL/KK)Reporttheexchangerateoftheforeignexchangeswap.ExpresstheexchangerateastheamountofcurrencyreportedincolumnLLperunitofcurrencyreportedincolumnKK.

ColumnOO Y‐9CBHCK4062reconciliationIfthecarryingvalueincolumnBBdiffersfromtheamountthatentersininFRY‐9ClineitemBHCK4062,orifthesumofcolumnsI,CCandDDdoesnotadduptothecarryingvalue,provideanexplanationinthisfield.AlsoprovideanexplanationforthediscrepancybetweenthesumofcarryingvaluesincolumnBBandtheamountreportedinFRY‐9ClineitemBHCK4062.Thediscrepancymaycomefromlife‐timepreferredstockincludedinBHCK4062forexample(includethisexplanationinthefieldforinstrumentNr.1).

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ScheduleD—RegulatoryCapitalTransitionsGeneralGuidanceForthepurposesoftheRegulatoryCapitalTransitionsSchedule,advancedapproachesBHCsand IHCs must reflect the revised regulatory capital and supplementary leverage ratio rulesonafullyphased‐inbasisforthereportingquarter(e.g.,advancedapproachesBHCs and IHCs should apply 100% of all capital deductions, not assuming the transitionprovisions for implementation of changes to the capital composition as in the revisedregulatorycapitalrule).6Non‐advancedapproachesfirmsshouldcontinuetoapply,indefinitely,theriskweightandthe deduction treatment applicable during 2017, as outlined in the capital rules.7 Inaccordance with Table 7 of section 300 of the capital rules, non‐advanced approachesbankingorganizationsshould:

Deductfromregulatorycapital80percentoftheamountofanyofthesefiveitemsthatisnotincludableinregulatorycapital;

Applya100percentriskweighttoanyamountsofMSAs,temporarydifferenceDTAs,andsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatarenotdeductedfromcapital,andcontinuetoapplythe current risk weights under the capital rules to amounts of non‐significantinvestments in the capital of unconsolidated financial institutions and significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionnotintheformofcommonstockthatarenotdeductedfromcapital;and

Include20percentof any commonequity tier1minority interest, tier1minorityinterest, and total capital minority interest exceeding the capital rule’s minorityinterestlimitations(surplusminorityinterest)inregulatorycapital.

Where applicable, BHCs and IHCs should also reference the methodology descriptionsoutlinedwithintheFRY‐9C,HC‐R,PartIB(final)andpartII(draft).Pleasenote,however,thatnumbersdonotneedtotietotheFRY‐9Creports,giventhattheFRY‐14Transitionsschedulerequirescalculationsonafullyphased‐inbasisexceptforinstancesasprescribedin[transitionsfinalrule](insertFRreference)..

TheRegulatoryCapitalTransitionsFRY‐14QquarterlyscheduleisusedformonitoringactualprogressagainsttheforecastsprovidedintheFRY‐14Asubmission.SubmittheFRY‐14Qschedulewithactualdataasofthecloseofeachquarter(NoteactualQ4dataaresubmittedontheFRY‐14QreportinadditiontotheactualdatasubmittedseparatelyontheFRY‐14Areport). RelevantReferenceAllBHCsandIHCsarerequiredtofollowthemethodologiesoutlinedintherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013),theupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013),andthesupplementaryleverageratiofinalrule(September2014)forpurposesofcompletingtheRegulatoryCapitalTransitionsschedulesonaquarterlybasis.Exceptforinstancesasprescribedin[transitionsfinalrule](insertFRreference),BHCsandIHCsshouldreflecttheregulatory

6 Advanced approaches BHCs and IHCs are generally firms that have $250 billion or more in total consolidated assets and/or $10 billion or more in consolidated on‐balance sheet foreign exposures. See 12 CFR 217.100(b) 7 See [transitions final rule] (insert FR reference).

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capitalframeworkonafullyphased‐inbasis.Linkstothesereferencedocumentsarelistedbelow:• Baselglobalsystemicallyimportantbanks:updatedassessmentmethodologyand

thehigherlossabsorbencyrequirement(July2013):http://www.bis.org/publ/bcbs255.pdf

• RevisedRegulatoryCapitalRule(78FederalRegister62018,October11,2013):

http://www.gpo.gov/fdsys/pkg/FR‐2013‐10‐11/pdf/2013‐21653.pdf• UpdatedMarketRiskRule(78FederalRegister76521,December18,2013):

• SupplementaryLeverageRatioFinalRule(September2014):

http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf

Transitionsfinalrule[insertFRreference]

CompletingtheScheduleDatashouldbeprovidedinallnon‐shadeditems;shadeditemsarederivedandwillbeautomaticallypopulated.AllBHCsandIHCs,includingadvancedapproachesBHCsandIHCsandnon‐advancedapproachesBHCsandIHCsmustcompleteScheduleD.4–StandardizedRWAforallreportingperiods.ForthepurposeofcompletingScheduleD.4,BHCsandIHCsarerequiredtoreportcreditrisk‐weightedassetsusingthemethodologiesunderthestandardizedapproachoftherevisedregulatorycapitalrule.AdvancedapproachesBHCsandIHCs,includingtheBHCsandIHCsthatareconsideredmandatoryadvancedapproachesinstitutionsorthathaveopted‐involuntarilyasanadvancedapproachesinstitution,arealsorequiredtocompleteScheduleD.3–AdvancedRWAforallreportingperiods.Notethatalldatamustbecompleteonafullyphased‐inbasis.Allfirmsshouldprovidealldataonafullyphased‐inbasis(i.e.,notassuminganytransitionalorphase‐outarrangementsincludedintheregulatorycapitalrule) exceptforinstancesasprescribedin[transitionsfinalrule](insertFRreference).IfaBHCorIHCdoesnothaveanexposurerelevanttoanyparticularlineitem(exceptforScheduleD.6–PlannedActions)itshouldenterzero(0)inthoseitems.Inorderforthederiveditemstoautomaticallypopulatetheshadeditemsintheschedulewithcalculatednumbers,BHCsandIHCsmustcompleteallnon‐shadeditemsintheschedulewithavalue.D.1—CapitalCompositionTheCapitalCompositionschedule(alongwithScheduleD.2–ExceptionsBucketCalculator)collectsthedatanecessary to calculate the compositionof capital under theguidelines set forth by t h e RevisedRegulatoryCapitalRule.Allfirmsshouldprovidealldataonafullyphased‐inbasis(i.e.,notassuminganytransitionalorphase‐outarrangementsincludedintheregulatorycapitalrule) exceptforinstancesasprescribedin[transitionsfinalrule](insertFRreference).Lineitem1 AOCIopt‐outelectionNon‐advancedapproachesBHCsandIHCshavetheoptiontoselecteither1foropt‐out,or0foropt‐in.Notethattherearenotransitionprovisionsapplied.

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Asprovidedinsection22(b)(ii)oftherevisedregulatorycapitalframework,anon‐advancedapproachesbankingorganizationthatseekstomakeanAOCIopt‐outelectionisrequiredtodosouponfilingitsfirstCallReportorFRY‐9seriesreportafterthedateuponwhichitbecomessubjecttothefinalrule(January1,2015).CommonEquityTier1CapitalLineitem2 Commonstockandrelatedsurplus(netoftreasurystockandunearnedemployeestockownershipplan(ESOP)shares ReportcommonsharesandtherelatedsurplusissuedbyBHCsandIHCsthatmeetthecriteriaofthefinalrules.Thisshouldbenetoftreasurystockandotherinvestmentsinownsharestotheextentthatthesearealreadynotrecognizedonthebalancesheetundertherelevantaccountingstandards.ThislineitemshouldreflecttheimpactofsharerepurchasesorissuancesprojectedintheCCARforecasthorizon.Thislineshouldalsoreflectthenettingofanytreasurystock,unearnedESOPshares,andanyothercontra‐equitycomponents.Lineitem3 Retainedearnings RetainedearningsreportedbyBHCsandIHCs.Thisshouldreflecttheimpactofdividendpay‐outsprojectedintheCCARforecasthorizon.Lineitem4 Accumulatedothercomprehensiveincome(AOCI)ReporttheamountofAOCIasreportedundergenerallyacceptedaccountingprinciples(GAAP)intheU.S.thatisconsistentwiththedefinitionsincludedinScheduleHC‐R,PartI.B.,item3,withnotransitionprovisions.Lineitem5 Commonequitytier1minorityinterestincludableincommonequitytier1capital(reportthisonafullyphased‐inbasis)Reporttheaggregateamountofcommonequitytier1minorityinterestthatisconsistentwiththedefinitionsprovidedinScheduleHC‐R,PartI.B.,item4,withnotransitionprovisions.Advancedapproachesfirmsshouldreportwithnotransitionprovisionsandnon‐advancedapproachesfirmsshouldreportwiththetreatmentapplicableduring2017.Commonequitytier1minorityinterestmeansthecommonequitytier1capitalofadepositoryinstitutionorforeignbankthatisaconsolidatedsubsidiaryoftheholdingcompanyandthatisnotownedbytheholdingcompany.Inaddition,thecapitalinstrumentsissuedbythesubsidiarymustmeetallofthecriteriaforcommonequitytier1capital(qualifyingcommonequitytier1capital).Lineitem6 Commonequitytier1capitalbeforeadjustmentsanddeductionsThiscapturesthesumoflineitems2through5.Commonequitytier1capital:adjustmentsanddeductionsLineitem7 Goodwillnetofassociateddeferredtaxliabilities(DTLs)ReporttheamountofgoodwillthatisconsistentwiththedefinitionsprovidedinScheduleHC‐R,PartI.B.,item6,withnotransitionprovisions.However,ifaBHCorIHChasaDTLthatisspecificallyrelatedtogoodwillacquiredinataxablepurchasebusinesscombinationthatitchoosestonetagainstthegoodwill,theamountofdisallowedgoodwilltobereportedinthisitemshouldbereducedbytheamountoftheassociatedDTL.

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Ifaholdingcompanyhassignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock,theholdingcompanyshouldreportinthisitemgoodwillembeddedinthevaluationofasignificantinvestmentinthecapitalofanunconsolidatedfinancialinstitutionintheformofcommonstock(embeddedgoodwill).Suchdeductionofembeddedgoodwillwouldapplytoinvestmentsaccountedforundertheequitymethod.UnderGAAP,ifthereisadifferencebetweentheinitialcostbasisoftheinvestmentandtheamountofunderlyingequityinthenetassetsoftheinvestee,theresultingdifferenceshouldbeaccountedforasiftheinvesteewereaconsolidatedsubsidiary(whichmayincludeimputedgoodwill).Lineitem8 Intangibleassets(otherthangoodwillandmortgageservicingassets(MSAs)),netofassociatedDTLsReportallintangibleassets(otherthangoodwillandMSAs)netofassociatedDTLs,includedinScheduleHC‐M,items12.band12.c,thatdonotqualifyforinclusionincommonequitytier1capitalundertheregulatorycapitalrules.Generally,allpurchasedcreditcardrelationships(PCCRs)andnon‐mortgageservicingrights,reportedinScheduleHC‐M,item12.b,andallotheridentifiableintangibles,reportedinScheduleHC‐M,item12.c,donotqualifyforinclusionincommonequitytier1capitalandshouldbeincludedinthisitem.Further,iftheholdingcompanyhasaDTLthatisspecificallyrelatedtoanintangibleasset(otherthanservicingassetsandPCCRs)acquiredinanontaxablepurchasebusinesscombinationthatitchoosestonetagainsttheintangibleassetforregulatorycapitalpurposes,theamountofdisallowedintangiblestobereportedinthisitemshouldbereducedbytheamountoftheassociatedDTL.However,aDTLthattheholdingcompanychoosestonetagainsttherelatedintangiblereportedinthisitemmaynotalsobenettedagainstDTAswhentheholdingcompanydeterminestheamountofDTAsthataredependentuponfuturetaxableincomeandcalculatesthemaximumallowableamountofsuchDTAsforregulatorycapitalpurposes.Lineitem9 DeferredTaxAssets(DTAs)thatarisefromnetoperatinglossandtaxcreditcarryforwards,netofanyrelatedvaluationallowancesandnetofDTLsReporttheamountofDTAsthatarisefromnetoperatinglossandtaxcreditcarryforwards,netofanyrelatedvaluationallowancesandnetofDTLs.

AOCI‐relatedadjustmentsHoldingcompaniesthatentered“1”for“Yes”underitem1,mustcompleteitems10through14onlyforAOCIrelatedadjustments.Lineitem10 Netunrealizedgains(losses)onavailable‐for‐salesecuritiesReporttheamountofnetunrealizedholdinggains(losses)onavailable‐for‐salesecurities,netofapplicabletaxes,thatisconsistentwiththedefinitionsprovidedinScheduleHC‐R,ScheduleI.B.,item9a,“Accumulatedothercomprehensiveincome,”Withnotransitionprovisions.Iftheamountisanetgain,reportitasapositivevalueinthisitem.Iftheamountisanetloss,reportitasanegativevalueinthisitem.Lineitem11 Netunrealizedlossonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposuresReportasapositivevaluenetunrealizedlossonavailable‐for‐salepreferredstockclassifiedasanequitysecurityunderGAAPandavailable‐for‐saleequityexposures,consistentwiththedefinitionsthatisincludedinScheduleHC‐R,ScheduleI.B.,item9b,withnotransitionprovisions.Lineitem12 Accumulatednetgains(losses)oncashflowhedges

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Reporttheamountofaccumulatednetgains(losses)oncashflowhedges,consistentwiththedefinitionsthatisincludedinScheduleHC‐R,ScheduleI.B.,item9c,“Accumulatedothercomprehensiveincome,”Withnotransitionprovisions.Iftheamountisanetgain,reportitasapositivevalueinthisitem.Iftheamountisanetloss,reportitasanegativevalueinthisitem.Lineitem13 AmountsrecordedinAOCIattributedtodefinedbenefitpostretirementplansresultingfromtheinitialandsubsequentapplicationoftherelevantGAAPstandardsthatpertaintosuchplansReporttheamountsrecordedinAOCIandisconsistentwiththedefinitionsincludedinScheduleHC‐R,ScheduleI.B.,item9d,“Accumulatedothercomprehensiveincome,”withnotransitionprovisions,resultingfromtheinitialandsubsequentapplicationofASCSubtopic715‐20(formerlyFASBStatementNo.158,“Employers’AccountingforDefinedBenefitPensionandOtherPostretirementPlans”)todefinedbenefitpostretirementplansresultingfromtheinitialandsubsequentapplicationoftherelevantGAAPstandardsthatpertaintosuchplans.Lineitem14 Netunrealizedgains(losses)onheld‐to‐maturitysecuritiesthatareincludedinAOCIReporttheamountofnetunrealizedgains(losses)thatarenotcredit‐relatedonheld‐to‐maturitysecuritiesandareincludedinAOCI,consistentwiththedefinitionsasreportedinScheduleHC‐R,ScheduleI.B.,item9e,“Accumulatedothercomprehensiveincome,”withnotransitionprovisions.Iftheamountisanetgain,reportitasapositivevalue.Iftheamountisanetloss,reportitasanegativevalue.Holdingcompaniesthatentered“0”for“No”underitem1,mustcompleteitem15onlyforAOCIrelatedadjustments.Lineitem15 Accumulatednetgain(loss)oncashflowhedgesincludedinAOCI,netofapplicabletaxeffectsthatrelatetothehedgingofitemsthatarenotrecognizedatfairvalueonthebalancesheet.Reporttheamountofaccumulatednetgain(loss)oncashflowhedgesincludedinAOCI,netofapplicabletaxeffectsthatrelatetothehedgingofitemsnotrecognizedatfairvalueonthebalancesheet.Iftheamountisanetgain,reportitasapositivevalue.Iftheamountisanetloss,reportitasanegativevalue.Otherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductions:Lineitem16 Unrealizednetgain(loss)relatedtochangesinthefairvalueofliabilitiesthatareduetochangesinowncreditriskReporttheamountofunrealizednetgain(loss)relatedtochangesinthefairvalueofliabilitiesthatareduetochangesintheholdingcompany’sowncreditrisk.Iftheamountisanetgain,reportitasapositivevalueinthisitem.Iftheamountisanetloss,reportitasanegativevalueinthisitem.Advancedapproachesholdingcompaniesonly:includethecreditspreadpremiumovertheriskfreerateforderivativesthatareliabilities.Lineitem17 Allotherdeductionsfrom(additionsto)commonequitytier1capitalbeforethreshold‐baseddeductionsReporttheamountofotherdeductionsfrom(additionsto)commonequitytier1capital

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thatarenotcapturedbelow:

(1) After‐taxgain‐on‐saleinconnectionwithasecuritizationexposureIncludeanyafter‐taxgain‐on‐saleinconnectionwithasecuritizationexposure.Gain‐on‐salemeansanincreaseintheequitycapitalofaholdingcompanyresultingfromasecuritization(otherthananincreaseinequitycapitalresultingfromtheholdingcompany’sreceiptofcashinconnectionwiththesecuritizationorreportingofamortgageservicingassetonScheduleHC).

(2) Definedbenefitpensionfundassets,netofassociatedDTLsABHCorIHCmustdeductdefinedbenefitpensionfundassets,netofassociatedDTLs,heldbyaholdingcompany.WiththepriorapprovaloftheFederalReserve,thisdeductionisnotrequiredforanydefinedbenefitpensionfundnetassettotheextenttheholdingcompanyhasunrestrictedandunfetteredaccesstotheassetsinthatfund.

(3) Investmentsintheholdingcompany’sownsharestotheextentnotexcludedaspartoftreasurystock.IncludetheBHC’sandIHC’sinvestmentsin(includinganycontractualobligationtopurchase)itsowncommonstockinstruments,includingdirect,indirect,andsyntheticexposurestosuchinstruments(asdefinedintherevisedregulatorycapitalrules),totheextentsuchinstrumentsarenotexcludedaspartoftreasurystock.Forexample,ifaBHCorIHCalreadydeductsitsinvestmentinitsownshares(forexample,treasurystock)fromitscommonequitytier1capitalelements,itdoesnotneedtomakesuchdeductiontwice.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartycreditrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.Inaddition:(i) Grosslongpositionsininvestmentsinaholdingcompany’sownregulatory

capitalinstrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameunderlyingindex;

(ii) Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositionsmaybedecomposedtorecognizethehedge;and

(iii)Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatisbeinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrolprocesseswhichwouldhavebeenassessedbytheFederalReserve.

(4) Reciprocalcross‐holdingsinthecapitaloffinancialinstitutionsintheformof

commonstockIncludeinvestmentsinthecapitalofotherfinancialinstitutions(intheformofcommonstock)thattheholdingcompanyholdsreciprocally(thisisthecorrespondingdeductionapproach).Suchreciprocalcrossholdingsmayresultfrom

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aformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.

(5) EquityinvestmentsinfinancialsubsidiariesABHCorIHCmustdeducttheaggregateamountofitsoutstandingequityinvestment,includingretainedearnings,initsfinancialsubsidiaries(asdefinedin12CFR208.77)andmaynotconsolidatetheassetsandliabilitiesofafinancialsubsidiarywiththoseoftheparentinstitution.Nootherdeductionisrequiredfortheseinvestmentsinthecapitalinstrumentsoffinancialsubsidiaries.

(6) Amountofexpectedcreditlossthatexceedsitseligiblecreditreserves(Advancedapproachesinstitutionsthatexitparallelrunonly)Includetheamountofexpectedcreditlossthatexceedstheeligiblecreditreserves.

Lineitem18 Non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatexceedthe10percentthresholdfornon‐significantinvestmentsBHCorIHChasanon‐significantinvestmentinthecapitalofanunconsolidatedfinancialinstitution(asdefinedintherevisedregulatorycapitalrules)ifitowns10percentorlessoftheissuedandoutstandingcommonsharesofthatinstitution.Reporttheamountofnon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthat,intheaggregate,exceedthe10percentthresholdfornon‐significantinvestments,calculatedasdescribedbelow.TheBHCorIHCmayapplyassociatedDTLstothisdeduction.Lineitem19 SubtotalThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Thisisthetotalofcommonequitytier1priortoadjustmentslessalloftheregulatoryadjustmentsanddeductions.Lineitem20 Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock,netofDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem21 MSAs,netofassociatedDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem22 DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs,thatexceedthe10percentcommonequitytier1capitaldeductionthresholdThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem23 Amountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstock;MSAs,netofassociatedDTLs;andDTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLs;thatexceedsthe15percentcommonequitytier1capitaldeductionthresholdThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem24 Deductionsappliedtocommonequitytier1capitalduetoinsufficient

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amountsofadditionaltier1capitalandtier2capitaltocoverdeductionsReportthetotalamountofdeductionsrelatedtoreciprocalcrossholdings,non‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutions,andnon‐commonstocksignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsiftheholdingcompanydoesnothaveasufficientamountofadditionaltier1capitalandtier2capitaltocoverthesedeductions.Lineitem25 Totaladjustmentsanddeductionsforcommonequitytier1capitalThisisthesumoflineitem20through24.Lineitem26 CommonEquityTier1Thisisthesubtotaloflineitem19minuslineitem25.Lineitem27 Additionaltier1capitalinstrumentsplusrelatedsurplusReporttheportionofnoncumulativeperpetualpreferredstockandrelatedsurplusasdefinedbyScheduleHC‐R,PartI.B.,item20,withzerotransitionprovisions,thatsatisfyallthecriteriaforadditionaltier1capitalintherevisedregulatorycapitalrulesoftheFederalReserve.Includeinstrumentsthatwere(i)issuedundertheSmallBusinessJob’sActof2010,or,priortoOctober4,2010,undertheEmergencyEconomicStabilizationActof2008and(ii)wereincludedinthetier1capitalundertheFederalReserve’sgeneralrisk‐basedcapitalrules(12CFRpart225,appendixA,and,ifapplicable,appendixE)(forexample,tier1instrumentsissuedundertheTARPprogramthataregrandfatheredpermanently).Alsoincludeadditionaltier1capitalinstrumentsissuedaspartofanESOP,providedthattherepurchaseofsuchinstrumentsisrequiredsolelybyvirtueofERISAforabankingorganizationthatisnotpublicly‐traded.Lineitem28 Tier1minorityinterestnotincludedincommonequitytier1capital(reportonafullyphased‐inbasis)Similartoitem5,thiscapturesallqualifyingtier1minorityinterestincludableunderadditionaltier1capital.Lineitem29 Additionaltier1capitalbeforedeductionsThisisthesumoflineitems27and28.Lineitem30 Additionaltier1capitaldeductionsReportadditionaltier1capitaldeductionsasthesumofthefollowingelements:(1) Investmentsinownadditionaltier1capitalinstruments:

Reporttheholdingcompany’sinvestmentsin(includinganycontractualobligationtopurchase)itsownadditionaltier1instruments,whetherhelddirectlyorindirectly.Aholdingcompanymaydeductgrosslongpositionsnetofshortpositionsinthesameunderlyinginstrumentonlyiftheshortpositionsinvolvenocounterpartyrisk.Theholdingcompanymustlookthroughanyholdingsofindexsecuritiestodeductinvestmentsinitsowncapitalinstruments.Inaddition:(i)Grosslongpositionsininvestmentsinaholdingcompany’sownregulatorycapital

instrumentsresultingfromholdingsofindexsecuritiesmaybenettedagainstshortpositionsinthesameindex;

(ii)Shortpositionsinindexsecuritiesthatarehedginglongcashorsyntheticpositions

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canbedecomposedtorecognizethehedge;and(iii)Theportionoftheindexthatiscomposedofthesameunderlyingexposurethatis

beinghedgedmaybeusedtooffsetthelongpositionifboththeexposurebeinghedgedandtheshortpositionintheindexarecoveredpositionsunderthemarketriskcapitalrule,andthehedgeisdeemedeffectivebytheholdingcompany’sinternalcontrolprocesses.

(2) Reciprocalcross‐holdingsinthecapitaloffinancialinstitutions.

Includeinvestmentsintheadditionaltier1capitalinstrumentsofotherfinancialinstitutionsthattheholdingcompanyholdsreciprocally,wheresuchreciprocalcrossholdingsresultfromaformalorinformalarrangementtoswap,exchange,orotherwiseintendtoholdeachother’scapitalinstruments.Iftheholdingcompanydoesnothaveasufficientamountofaspecificcomponentofcapitaltoeffecttherequireddeduction,theshortfallmustbedeductedfromthenexthigher(thatis,moresubordinated)componentofregulatorycapital.Forexample,ifaholdingcompanyisrequiredtodeductacertainamountfromadditionaltier1capitalanditdoesnothaveadditionaltier1capital,thenthedeductionshouldbefromcommonequitytier1capital.

(3) Non‐significantinvestmentsinadditionaltier1capitalofunconsolidatedfinancialinstitutionsthatexceedthe10percentthresholdfornon‐significantinvestments.Calculatethisamountasfollows:(i) Determinetheaggregateamountofnon‐significantinvestmentsinthecapitalof

unconsolidatedfinancialinstitutionsintheformofcommonstock,additionaltier1,andtier2capital.

(ii) Determinetheamountofnon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofadditionaltier1capital.

(iii) Iftheamountin(i)isgreaterthanthe10percentthresholdfornon‐significantinvestmentsthenmultiplythedifferencebytheratioof(ii)over(i).

(iv) Iftheamountin(i)islessthanthe10percentthresholdfornon‐significantinvestments,reportzero.

(4) Significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsnotinthe

formofcommonstocktobedeductedfromadditionaltier1capital.Reportthetotalamountofsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofadditionaltier1capital.

(5) Otheradjustmentsanddeductions.Includeadjustmentsanddeductionsappliedtoadditionaltier1capitalduetoinsufficienttier2capitaltocoverdeductions(relatedtoreciprocalcrossholdings,non‐significantinvestmentsinthetier2capitalofunconsolidatedfinancialinstitutions,andsignificantinvestmentsinthetier2capitalofunconsolidatedfinancialinstitutions).

Lineitem31 Additionaltier1capital(greaterofitem29minusitem30orzero)Thisitemisshadedandisderivedfromotheritemsintheschedule.Thisprovidesthetotalofadditionaltier1capital.

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Tier1CapitalLineitem32 Tier1capital(sumofitems26and31)Thisitemisshadedandisderivedfromotheritemsintheschedule.Thisprovidesthetotalamountoftier1capital.

Other(reflectallitemsonaquarterlybasis)

Lineitem33 IssuanceofCommonStock(IncludingConversionofCommonStock)Capturesthetotalissuanceofcommonstockandrelatedsurplusinthereportingperiodonaquarterlybasis. Lineitem34 RepurchasesofCommonStockCapturesthetotalrepurchasesofcommonstockinthereportingperiodonaquarterlybasis. Lineitem35 NetIncome(Loss)AttributabletoBankorIntermediateHoldingCompanyRefertoFRY‐9CinstructionsforScheduleHI‐A,item4andreportonaquarterlybasis.Reportlossesasanegativevalue. Lineitem36 CashDividendsDeclaredonPreferredStockRefertoFRY‐9CinstructionsforScheduleHI‐A,item10andreportonaquarterlybasis. Lineitem37 CashDividendsDeclaredonCommonStockRefertoFRY‐9CinstructionsforScheduleHI‐A,item11andreportonaquarterlybasis. Lineitem38 PreviouslyIssuedTier1CapitalInstruments(ExcludingMinorityInterest)thatwouldNoLongerQualify(pleasereport100%value)Report100%ofthevalueofpreviouslyissuedTier1capitalinstrumentsthatwillnolongerqualifyasTier1capitalaspertherevisedregulatorycapitalrule(includingperpetualpreferredstockandtrustpreferredsecuritiessubjecttophase‐outarrangements). Reportbalancesinfull,withoutreflectinganyphase‐outarrangementsincludedintherevisedregulatorycapitalrule. Lineitem39 PreviouslyIssuedTier1MinorityInterestthatWouldNoLongerQualify(PleaseReport100%Value) Report100%ofthevalueofpreviouslyissuedtier1minorityinterestthatwillnolongerqualifyastier1capitalaspertherevisedregulatorycapitalrule.Reportbalancesinfull,withoutreflectinganyphase‐outarrangementsincludedintherevisedregulatorycapitalrule. D.2—ExceptionBucketCalculatorTheExceptionBucketCalculator schedulecollects thedatanecessary to calculate theitems thatmayreceivelimitedrecognitioninCommonEquityTier1(i.e.,significantinvestmentsinthecommonsharesofunconsolidatedfinancialinstitutions,mortgageservicingassetsanddeferredtaxassetsarisingfromtemporarydifferences). These itemsmayberecognized inCommonEquityTier1upto10%oftheBHC’sorIHC’scommonequityonan individualbasis and15%onan aggregatedbasis after applicationof allregulatoryadjustments.

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SignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockLineitem1 GrosssignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockAggregateholdingsofcapitalinstrumentsrelevanttosignificantinvestmentsinthecapitalofunconsolidatedfinancialentities,includingdirect,indirectandsyntheticholdingsinboththebankingbookandtradingbook.Lineitem2 PermittedoffsettingshortpositionsinrelationtothespecificgrossholdingsincludedaboveOffsettingpositionsinthesameunderlyingexposurewherethematurityoftheshortpositioneithermatchesthematurityofthelongpositionorhasaresidualmaturityofatleastoneyear.Lineitem3 SignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstocknetofshortpositionsThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem4 10percentcommonequitytier1deductionthreshold Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem5 Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthreshold Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.MortgageservicingassetsLineitem6 TotalmortgageservicingassetsclassifiedasintangibleMortgageservicingassetsmayreceivelimitedrecognitionwhencalculatingcommonequitytier1,withrecognitiontypicallycappedat10%ofthebank’scommonequity(aftertheapplicationofallregulatoryadjustments).Lineitem7 Associateddeferredtaxliabilitieswhichwouldbeextinguishediftheintangiblebecomesimpairedorderecognizedundertherelevantaccountingstandards Theamountofmortgageservicingassetstobedeductedfromcommonequitytier1istobeoffsetbyanyassociateddeferredtaxliabilities,withrecognitioncappedat10%ofthebank’scommonequitytier1(aftertheapplicationofallregulatoryadjustments).Ifthebankchoosestonetitsdeferredtaxliabilitiesassociatedwithmortgageservicingassetsagainstdeferredtaxassets(inLine17ofScheduleD.1–CapitalComposition),thosedeferredtaxliabilitiesshouldnotbedeductedagainhere.Lineitem8 Mortgageservicingassetsnetofrelateddeferredtaxliabilities Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem9 10percentcommonequitytier1deductionthreshold Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem10 Amounttobedeductedfromcommonequitytier1dueto10percent

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deductionthresholdThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.DeferredtaxassetsduetotemporarydifferencesLineitem11 DTAsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,netofrelatedvaluationallowancesandnetofDTLsNetdeferredtaxassetsarisingfromtemporarydifferencesmayreceivelimitedrecognitionincommonequitytier1,withrecognitioncappedat10%ofthebank’scommonequity(aftertheapplicationofallregulatoryadjustments).Lineitem12 10percentcommonequitytier1deductionthreshold Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem13 Amounttobedeductedfromcommonequitytier1dueto10percentdeductionthresholdThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Aggregateofitemssubjecttothe15%limit(significantinvestments,mortgageservicingassetsanddeferredtaxassetsarisingfromtemporarydifferences)Lineitem14 Sumofitems3,8,and11Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem15 15percentcommonequitytier1deductionthreshold(item19intheCapitalCompositiontabminusitem14,multipliedby17.65percent) Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem16 Sumofitems5,10,and13Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem17 Item14minusitem16Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem18 Amounttobedeductedfromcommonequitytier1dueto15percentdeductionthreshold Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.D.3—AdvancedRisk‐WeightedAssets AdvancedapproachesBHCsandIHCs,includingBHCsandIHCsthatareconsideredasmandatoryadvancedapproachesinstitutionsorthathaveopted‐involuntarilyasanadvancedapproachesinstitution,arerequiredtocompleteScheduleD.3–AdvancedRWA.AllBHCsandIHCs,includingadvancedapproachesBHCsandIHCsandnon‐advancedapproachesBHCsandIHCsmustcompleteScheduleD.4–StandardizedRWA. InScheduleD.3–AdvancedRWA,BHCsandIHCsshouldproviderisk‐weightedassetestimatesreflectingtherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013)andtheupdatedmarketriskcapitalrule(78FederalRegister76521,December

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18,2013)releasedbytheU.S.bankingagencies. BHCsandIHCsthataresubjecttomarketriskcapitalrequirementsattheasofdatearerequiredtocompletethemarketrisk‐weightedassetsectionwithintheschedule.Pleaserefertotherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013)andtheupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013)releasedbytheU.S.bankingagenciesfordetailsoftherequirements. AdvancedapproachesBHCsandIHCsthatareunabletoprovideadvancedapproachesriskweightedassetestimatesshouldsendformalwrittennotificationtotheFederalReserveandspecifytheaffectedportfolios,currentlimitationsthatprecludetheBHCorIHCfromprovidingadvancedapproachesRWAestimatesaswellasmanagement'splanforaddressingthoselimitations. [email protected].

AdvancedApproachesCreditRisk(IncludingCCRandnon‐tradingcreditrisk),with1.06scalingfactorwhereapplicableApplicabletoAdvancedApproachesBankingOrganizationsRisk‐weightedassetsshouldreflectthe1.06scalingfactortotheInternalRating‐BasedApproach(IRB)creditrisk‐weightedassetswhererelevant,unlessnotedotherwise. Lineitem1 CreditRWAThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.ThisisthesumofScheduleD.3lineitems2,15,21,25,29,30and31. Lineitem2through30DefinitionoftheBHC’sorIHC’sprojectionsshouldcorrespondtothedefinitionsoutlinedbythecorrespondingMDRMcodeintheFFIEC101report,ScheduleB,ColumnGpertherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).Lineitem2WholesaleExposuresThisitemisderivedasthesumofitems3through8.Lineitem3WholesaleExposures:CorporateReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem1columnG.Lineitem4WholesaleExposures:BankReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem2columnG.Lineitem5WholesaleExposures:SovereignReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem3columnG.Lineitem6WholesaleExposures:IPREReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem4columnG.Lineitem7WholesaleExposures:HVCREReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem5columnG.Lineitem8WholesaleExposures:CounterpartyCreditRisk

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Thisitemisderivedasthesumofitems9through14.Lineitem9WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactionsandOTCderivativeswithcross‐productnetting—EADadjustmentmethod)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem6columnG.Lineitem10WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactionsandOTCderivativeswithcross‐productnetting—collateralreflectedinLGD)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem7columnG.Lineitem11WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactions—nocross‐productnetting—EADadjustmentmethod)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem7columnG.Lineitem12WholesaleExposures:CounterpartyCreditRisk(Eligiblemarginloans,repostyletransactions—nocross‐productnetting—collateralreflectedinLGD)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem8columnG.Lineitem13WholesaleExposures:CounterpartyCreditRisk(OTCderivative—nocross‐productnetting—EADadjustmentmethod)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem9columnG.Lineitem14WholesaleExposures:CounterpartyCreditRisk(OTCderivatives—nocross‐productnetting—collateralreflectedinLGD)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem10columnG.Lineitem15RetailExposuresThisitemisderivedasthesumofitems16through20.Lineitem16RetailExposures:Residentialmortgage—closed‐endfirstlienexposureReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem12columnG.Lineitem17RetailExposures:Residentialmortgage—closed‐endjuniorlienexposureReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem13columnG.Lineitem18RetailExposures:Residentialmortgage—revolvingexposuresReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem14columnG.Lineitem19RetailExposures:QualifyingrevolvingexposuresReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem15columnG.Lineitem20RetailExposures:OtherretailexposuresReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleB

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LineItem16columnG.Lineitem21SecuritizationExposuresThisitemisderivedasthesumofitems22through24.Lineitem22SecuritizationExposures:Subjecttosupervisoryformulaapproach(SFA)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem17columnG.Lineitem23SecuritizationExposures:Subjecttosimplifiedsupervisoryformulaapproach(SSFA)ReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem18columnG.Lineitem24SecuritizationExposures:Subjectto1,250%risk‐weightReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem19columnG.Lineitem25ClearedTransactionThisitemisderivedasthesumofitems26through28.Lineitem26ClearedTransaction:DerivativecontractsandnettingsetstoderivativesReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem20columnG.Lineitem27ClearedTransaction:Repo‐styletransactionsReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem21columnG.Lineitem28ClearedTransaction:DefaultfundcontributionsReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem22columnG.Lineitem29EquityExposuresReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem23,24,and25columnG.Lineitem30OtherAssetsReporttheamountthatisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBLineItem26,27,and28columnG. Lineitem31 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired. Lineitem32 AdvancedCreditValuationAdjustment(CVA)ApproachThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired. Lineitem33 CreditValuationAdjustment(CVA)capitalcharge(Risk‐WeightedAssetEquivalent);AdvancedCVAApproach:UnstressedValueatRisk(VaR)withMultipliersStand‐alone10‐dayvalue‐at‐risk(VaR)calculatedonthesetofcreditvaluationadjustments(CVAs)forallOver‐the‐counter(OTC)derivativescounterpartiestogetherwitheligible

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creditvaluationadjustment(CVA)hedges.Thereportedvalue‐at‐riskshouldconsistofbothgeneralandspecificcreditspreadrisksandisrestrictedtochangesinthecounterpartiescreditspreads.Thebankmustmultiplythereportedvalue‐at‐riskbythreetimes,consistentwiththeapproachusedincalculatingmarketriskcapitalcharge(three‐timemultiplier).The1.06scalingfactordoesnotapply. BHCorIHCshouldreport0ifitdoesnotusetheadvancedcreditvalueadjustment(CVA)approach. Lineitem34 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent);AdvancedCVAApproach:StressedValueatRisk(VaR)withmultipliersStand‐alone10‐daystressedValue‐at‐risk(VaR)calculatedonthesetofcreditvaluationadjustments(CVAs)forallover‐the‐counter(OTC)derivativescounterpartiestogetherwitheligiblecreditvaluationadjustments(CVA)hedges.Thereportedvalue‐at‐riskshouldconsistofbothgeneralandspecificcreditspreadrisksandisrestrictedtochangesinthecounterpartiescreditspreads.Itshouldreflectthree‐timesmultiplier.The1.06scalingfactordoesnotapply.BHCorIHCshouldreport0ifitdoesnotusetheadvancedcreditvaluationadjustments(CVA)approach.Lineitem35 CreditValuationAdjustment(CVA)CapitalCharge(Risk‐WeightedAssetEquivalent):SimpleCVAApproachRisk‐weightedasset(RWA)equivalentusingthesimplecreditvaluationadjustment(CVA)approach. AdvancedApproachesOperationalRiskLineitem36 OperationalRWAReporttheamountconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBlineitem35ColumnGpertherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).MarketRiskLineitem37 MarketRWAThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.ThisisthesumofScheduleD.3lineitems38,39,40,41,46,47,and50.TheamountderivedisconsistentwiththedefinitionsprovidedinFFIEC101ScheduleBlineitem34ColumnG.

Lineitem38 ValueatRisk(VaR)basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem4.Lineitem39 StressedValue‐at‐Risk(VaR)basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem7. Lineitem40 IncrementalRiskCapitalCharge(IRC)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem18. Lineitem41 CorrelationTradingReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem45.OnlyifaBHCorIHChasreceivedsupervisoryapproval ofitscomprehensiveriskmodeleffectivenessreporttherisk‐weightedassetamountconsistentwiththedefinition

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forFFIEC102LineItem51. Lineitem42 CorrelationTrading:ComprehensiveRiskMeasurement(CRM),BeforeApplicationofSurchargeReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102,LineItem19. Lineitem43 CorrelationTrading:8%ofAdvancedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Thisitemshouldequaltherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem39. Lineitem44 CorrelationTrading:AdvancedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetlongReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem27. Lineitem45 CorrelationTrading;AdvancedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetShortReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem35. Lineitem46 Non‐modeledSecuritizationReporttherisk‐weightedassetamountconsistentwiththedefinitionsforFFIEC102LineItem13. Lineitem47 SpecificRiskadd‐on(excludingsecuritizationandcorrelation)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem48DebtReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem8. Lineitem49 EquityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem9.Lineitem50 OtherMarketRiskReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem54.

Lineitem51 Assetssubjecttothegeneralrisk‐basedcapitalrequirementsDefinitionoftheBHC’sorIHC’sprojectionsshouldcorrespondtothedefinitionsoutlinedbytheMDRMcode(AABGJ198)oftheFFIEC101report,ScheduleB,Line32,ColumnGpertherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).Lineitem52 OtherRWAIftheBHCorIHCisunabletoassignRWAtooneoftheabovecategories,evenonabest‐effortsbasis,theyshouldbereportedinthisline. Lineitem53 Excesseligiblecreditreservesnotincludedintier2capitalIncludeexcesseligiblecreditreservesnotincludedintier2capital,consistentwiththe

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revisedregulatorycapitalrule(78FederalRegister62018,October11,2013).DefinitionoftheBHC’sorIHC’sprojectionsshouldcorrespondtothedefinitionsoutlinedbytheMDRMcode(AABGJ152)oftheFFIEC101,ScheduleB,LineItem33,ColumnG. Lineitem54 TotalRisk‐WeightedAssetsThisitemisshadedandisderivedfromotheritemsintheschedule,noinputrequired.ThisisthesumofScheduleD.3lineitems1,36,37,51and52minusScheduleD.3LineItem53.

D.4—StandardizedRisk‐WeightedAssetsAllBHCsandIHCs,includingadvancedapproachesBHCsandIHCsandnon‐advancedapproachesBHCsandIHCsmustcompleteScheduleD.4–StandardizedRWA.Inaddition,advancedapproachesBHCsandIHCsarerequiredtocompleteScheduleD.3–AdvancedRWAduetothefloorrequirementpertheCollinsAmendmentunderSection171oftheDFA. For the purpose of completing ScheduleD.4–StandardizedRWA,BHCsandIHCs arerequiredto reportcreditrisk‐weightedassetsusing themethodologies in thestandardizedapproachoftherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013).Advancedapproachsfirmsmustapplya250percentrisk‐weighttomortgageservicingassets(MSAs),deferredtaxassetsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,andsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatarenotdeductedfromcapital.Forallreportingquarters,anon‐advancedapproachesfirmshouldapplya100percentriskweighttoanyamountsofMSAs,deferredtaxassetsarisingfromtemporarydifferencesthatcouldnotberealizedthroughnetoperatinglosscarrybacks,andsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsintheformofcommonstockthatarenotdeductedfromcapital,andcontinuetoapplythe2017currentriskweightsunderthecapitalrulestoamountsofnon‐significantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionsandsignificantinvestmentsinthecapitalofunconsolidatedfinancialinstitutionnotintheformofcommonstockthatarenotdeductedfromcapital.BHCsandIHCsthataresubjecttomarketriskcapitalrequirementsattheasofdatearerequiredtocompletethemarketrisk‐weightedassetsectionwithintheschedule. Pleaserefertotherevisedregulatorycapitalrule(78FederalRegister62018,October11,2013)andtheupdatedmarketriskcapitalrule(78FederalRegister76521,December18,2013)releasedbytheU.S.bankingagenciesfordetailsoftherequirements.Wherepossible,pleasereferencethedefinitionsonStandardizedRWAthatisprovidedintheFRY‐9C,ScheduleHC‐R,PartII,onafullyphased‐inbasis. StandardizedApproachCreditRiskLineitem1 CashandbalancesduefromdepositoryinstitutionsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem1Lineitem2a Securities(excludingsecuritizations):Held‐to‐maturityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem2a.

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Lineitem2b Securities(excludingsecuritizations):Available‐for‐saleReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem2b.

Lineitem3 FederalfundssoldReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem3a.LoansandleasesonheldforsaleLineitem4a ResidentialMortgageexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem4a.Lineitem4b HighVolatilityCommercialRealEstateReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem4b.Lineitem4c Exposurespastdue90daysormoreoronnonaccrualReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem4c.Lineitem4d AllotherexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem4d.Loansandleases,netofunearnedincomeLineitem5a ResidentialmortgageexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5a.Lineitem5b HighVolatilityCommercialRealEstateReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5b.Lineitem5c Exposurespastdue90daysormoreoronnonaccrualReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5c.Lineitem5d AllotherexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem5d.Lineitem6 Tradingassets(excludingsecuritizationsthatreceivestandardizedcharges)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem7.Lineitem7a AllotherassetsReporttherisk‐weightedassetamountconsistentwiththedefinitionofFRY‐9C,HC‐R,PartII,LineItem8.Lineitem7bSeparateaccountbank‐ownedlifeinsurance

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Reporttherisk‐weightedassetamountconsistentwiththedefinitionofFRY‐9C,HC‐R,PartII,LineItem8a.Lineitem7cDefaultfundcontributionstocentralcounterpartiesReporttherisk‐weightedassetamountconsistentwiththedefinitionofFRY‐9C,HC‐R,PartII,LineItem8b.On‐balancesheetsecuritizationexposuresLineitem8a Held‐to‐maturitysecuritiesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9a.Lineitem8b Available‐for‐salesecuritiesReporttherisk‐weightedassetamountconsistentwiththedefinitionofFRY‐9C,HC‐R,PartII,LineItem9b.Lineitem8c TradingassetsthatreceivestandardizedchargesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9c.Lineitem8d Allotheron‐balancesheetsecuritizationexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem9d.Lineitem9 Off‐balancesheetsecuritizationexposuresReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem10.Lineitem10RWAforBalanceSheetAssetCategories(sumofitems1through8d)Thisitemisshadedandisderivedfromotheritemsintheschedule,noinputrequired.DerivativesandOff‐BalanceSheetItems(ExcludingSecuritizationExposures)Lineitem11 FinancialstandbylettersofcreditReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem12.Lineitem12 PerformancestandbylettersofcreditandtransactionrelatedcontingentitemsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem13.Lineitem13 CommercialandsimilarlettersofcreditwithanoriginalmaturityofoneyearorlessReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem14.Lineitem14 RetainedrecourseonsmallbusinessobligationssoldwithrecourseReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem15.Lineitem15 Repo‐styletransactions

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Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem16.Lineitem16 Allotheroff‐balancesheetliabilitiesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem17.

Lineitem17aUnusedcommitments:Originalmaturityofoneyearorless,excludingABCPconduitsReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18a.Lineitem17bUnusedcommitments:OriginalmaturityofoneyearorlesstoABCPReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18b.Lineitem17cUnusedcommitments:OriginalmaturityexceedingoneyearReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem18b.Lineitem18 UnconditionallycancelablecommitmentReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem19.Lineitem19 Over‐the‐counterderivativesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem20.Lineitem20 CentrallyclearedderivativesReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem21.

Lineitem21 Unsettledtransactions(failedtrades)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem22.

Lineitem22 RWAforDerivativesandOff‐Balance‐SheetAssetCategoriesThisitemisshadedandisderivedfromotheritemsintheschedule,noinputrequired.Thisitemisderivedasthesumofitems9through21.Lineitem23 RWAforpurposesofcalculatingtheallowanceforloanandleaselosses(ALLL)1.25percentthresholdReporttherisk‐weightedassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem26.MarketRisk

Lineitem24 MarketRWAThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem25 Value‐at‐risk(VaR)‐basedcapitalrequirementReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem4.Lineitem26 StressedVaR‐basedcapitalrequirement

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Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem7.Lineitem27Incrementalriskcharge(IRC)Reporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem18.Lineitem28 CorrelationTradingReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem42.OnlyifaBHCorIHChasreceivedsupervisoryapproval ofitscomprehensiveriskmodeleffectivenessreporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem48.Lineitem29 CorrelationTrading:ComprehensiveRiskMeasurement(CRM),BeforeApplicationofSurchargeReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102,LineItem19.Lineitem30 CorrelationTrading:8%ofStandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Thisitemshouldequaltherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem37.Lineitem31 CorrelationTrading:StandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetlongReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem26.Lineitem32 CorrelationTrading;StandardizedMeasurementMethod(100%)forExposuresSubjecttoComprehensiveRiskMeasurement(CRM)‐NetShortReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem34.Lineitem33 Non‐modeledSecuritizationReporttherisk‐weightedassetamountconsistentwiththedefinitionsforFFIEC102LineItem10.

Lineitem34 Specificriskadd‐on(excludingsecuritizationandcorrelation)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem35 DebtReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem8.

Lineitem36 EquityReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem9.Lineitem37 OthermarketriskReporttherisk‐weightedassetamountconsistentwiththedefinitionforFFIEC102LineItem54. Other Lineitem38 ExcessallowanceforloanandleaselossesReporttheassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem29. Lineitem39 AllocatedtransferriskreserveReporttheassetamountconsistentwiththedefinitionforFRY‐9C,HC‐R,PartII,LineItem

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30.

Lineitem40 TotalRisk‐WeightedAssetsThisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.

D.5—LeverageExposureAllBHCsandIHCsmustcompletetheportionoftheschedulerelevantto“LeverageExposureforTier1LeverageRatio”(lines1‐4).AdvancedapproachesBHCsandIHCsmustalsocompletetheportionoftheschedulerelevantto“LeverageExposureforSupplementaryLeverageRatio”(lines5‐24).Theexposuremeasureforthetier1leverageratioisbaseduponmethodologyintherevisedregulatorycapitalrule.Theexposuremeasureforthesupplementaryleverageratiohasbeenrevisedfromthe2014CCARinstructionstoreflectthechangestothedefinitionofleverageexposure,perthefinalruleontheSupplementaryLeverageRatioissuedbythebankingagenciesonSeptember3,2014.8Thefinalrulemodifies“leverageexposure,”whichisthedenominatorcalculationforthesupplementaryleverageratio,inamannerconsistentwithrecentchangesagreedtobytheBaselCommitteeonBankingSupervision.Therevisionsinthefinalrulewouldapplytoalladvancedapproachesbankingorganizations.Consistentwiththefinalrule,anadvancedapproachesbankingorganizationshouldcalculateitssupplementaryleverageratioastheratioofitstier1capitaltototalleverageexposure.The proposed rule would have required banking organizations to use daily averages to calculate both on- and off-balance sheet items in total leverage exposure. However, under the final rule, institutions are required to calculate total leverage exposure as the mean of the on-balance sheet assets calculated as of each day of the reporting quarter, plus the mean of the off-balance sheet exposures calculated as of the last day of each of the most recent three months, minus the applicable deductions under the 2013 revised capital rule.Forpurposesofcalculatingprojectionsforthesupplementaryleverageratiodenominator,BHCsandIHCsthatareunabletocalculateaveragesbasedontheaveragesofdailyormonthlydatamayreportexposuresasofthequarterend.LeverageExposureforTier1LeverageRatio(applicabletoallBHCsandIHCs)Lineitem1 Averagetotalconsolidatedassets Reportaveragetotalon‐balancesheetassetsasreportedintheFRY‐9C,ScheduleHC‐K,item5.Lineitem2 LESS:DeductionsfromCommonEquityTier1andAdditionalTier1Capital(reportasapositivenumber)Regulatorydeductionsfromcommonequitytier1andadditionaltier1capital.DeductionsshouldbecalculatedasdefinedintheFRY‐9C,ScheduleHC‐R,PartI.B.,item37.Lineitem3 LESS:OtherDeductionsfrom(Additionsto)AssetsforLeverageRatioPurposes(reportasapositivenumberifanetdeductionoranegativevalueifanet

8Seehttp://www.federalreserve.gov/newsevents/press/bcreg/bcreg20140903b1.pdf.

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addition)OtherdeductionsfromoradditionstoassetsforpurposesoftheleverageratioasdefinedintheFRY‐9C,ScheduleHC‐R,PartI.B.,item38.Lineitem4 TotalAssetsfortheLeverageRatio(item1lessthesumofitems2&3)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.LeverageExposureforSupplementaryLeverageRatio(applicabletoadvancedapproachesBHCsandIHCsonly)Refertosection217.10(c)(4)(ii)(A)ofthefinalrule.Lineitem5 On‐BalanceSheetAssets(excludingon‐balancesheetassetsforrepo‐styletransactionsandderivativeexposures,butincludingcashcollateralreceivedinderivativetransactions)On‐balancesheetassets(excludingon‐balancesheetassetsforrepo‐styletransactionsandderivativeexposures,butincludingcashcollateralreceivedinderivativetransactions).Lineitem6 LESS:Deductionsfromcommonequitytier1capitalandadditionaltier1capital(reportasapositivenumber)Regulatorydeductionsfromcommonequitytier1andadditionaltier1capital,asapplicabletoadvanced‐approachesBHCsandIHCspertherevisedcapitalrulesundersection217.22(a),(c),and(d).Lineitem7 TotalOn‐BalanceSheetExposures(excludingon‐balancesheetassetsforrepo‐styletransactionsandderivativeexposures,butincludingcashcollateralreceivedinderivativetransactions)(item5lessitem6)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.DerivativeexposuresRefertosections217.10(c)(4)(ii)(B),(C),(D),or(I)ofthefinalruleasappropriate.Lineitem8 Replacementcostforderivativeexposures(netofcashvariationmargin).Reportthetotalamountofthereplacementcostforallderivativeexposures,generallyconsistentwiththeUSGAAPbalancesheetnumbers,andadjustedforcashvariationmarginthatdoesnotmeetthecriteriadescribedinsection217.10(c)(4)(ii)(C)ofthefinalrule.Lineitem9 Add‐onamountsforpotentialfutureexposure(PFE)forderivativesexposuresReportthetotalamountofPFEforeachderivativecontract,includingforclearedtransactionsexceptasprovidedinsection217.10(c)(4)(ii)(I)ofthefinalrule,towhichthebankingorganizationisacounterparty(oreachsingle‐productnettingsetofsuchtransactions),asdescribedinsection34oftherevisedregulatorycapitalrule,butwithoutregardtosection217.34(b).Specifically,abankingorganizationmaynotusecashvariationmargintoreducethenetcurrentcreditexposureorthegrosscurrentcreditexposureincalculationofthenet‐to‐grossratio.Lineitem10 Gross‐upforcollateralpostedifdeductedfromtheon‐balancesheetassets,exceptforcashvariationmarginReportcash(exceptforqualifyingcashvariationmargin)andnon‐cashcollateralpostedto

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acounterpartyinaderivativetransactionthathasreducedtheinstitution’son‐balancesheetassets.

Lineitem11 LESS:Deductionsofreceivableassetsforcashvariationmarginpostedinderivativestransactions,ifincludedinon‐balancesheetassets(reportasapositivevalue)Reportthevalueofcashcollateralthatispostedtoacounterpartytoaderivativecontractandthathasbeenincludedonthebankingorganization’sbalancesheetasareceivableifthepostedcashcollateralsatisfiestherequirementsdescribedinsection217.10(c)(4)(ii)(C)ofthefinalrule.Ifnotapplicable,reportzero.Lineitem12 LESS:ExemptedCCPlegofclient‐clearedtransactions(reportasapositivevalue)AclearingmemberbankingorganizationthatdoesnotguaranteetheperformanceofaCCPwithrespecttoatransactionclearedonbehalfofaclearingmemberclientmayexcludeitsexposuretotheCCPforpurposesofdeterminingitstotalleverageexposure(ifsuchexposureisincludedintheon‐balancesheetitems).AclearingmemberbankingorganizationthatguaranteestheperformanceofaCCPwithrespecttoatransactionclearedonbehalfofaclearingmemberclientmusttreatitsexposuretotheCCPasaderivativecontractforpurposesofdeterminingitstotalleverageexposure.Lineitem13 EffectivenotionalprincipalamountofsoldcreditprotectionTheeffectivenotionalprincipalamount(thatis,theapparentorstatednotionalprincipalamountmultipliedbyanymultiplierinthederivativecontract)ofacreditderivative,orothersimilarinstrument,throughwhichthebankingorganizationprovidescreditprotection(forexample,creditdefaultswapsortotalreturnswapsthatreferenceinstrumentswithcreditrisk,suchasabond).Lineitem14 LESS:EffectivenotionalprincipalamountoffsetsandPFEadjustmentsforsoldcreditprotection(reportasapositivevalue)Abankingorganizationmayreducetheeffectivenotionalprincipalamountofsoldcreditprotectionbyareductioninthemark‐to‐fairvalueofthesoldcreditprotectionifthereductionisrecognizedincommonequitytier1capital.Abankingorganizationmayfurtherreducetheeffectivenotionalprincipalamountofsoldcreditprotectionbytheeffectivenotionalprincipalamountofacreditderivativeorsimilarinstrumentthroughwhichthebankingorganizationhaspurchasedcreditprotectionfromathirdparty(purchasedcreditprotection)iftherequirementsofsection217.10(c)(4)(ii)(D)ofthefinalrulearesatisfied.Whenabankingorganizationreducestheeffectivenotionalprincipalamountofsoldcreditprotectionbypurchasedcreditprotectioninaccordancewiththissection,thebankingorganizationmustreducetheeffectivenotionalprincipalamountofpurchasedcreditprotectionbytheamountofanyincreaseinthemark‐to‐fairvalueofthepurchasedcreditprotectionthatisrecognizedincommonequitytier1capital.Ifabankingorganizationpurchasescreditprotectionthroughatotalreturnswapandrecordsthenetpaymentsreceivedasnetincomebutdoesnotrecordoffsettingdeteriorationinthemark‐to‐fairvalueofthesoldcreditprotectiononthereferenceexposure(eitherthroughreductionsinfairvalueorbyadditionstoreserves)incommonequitytier1capital,thebankingorganizationmaynotreducetheeffectivenotionalprincipalamountofthesoldcreditprotection.AbankingorganizationmayalsoadjustPFEforsoldcreditprotectionasdescribedin

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section217.10(c)(4)(ii)(B)ofthefinalrule,toavoiddouble‐countingofthenotionalamountsoftheseexposures.Lineitem15 Totalderivativeexposures(sumofitems8,9,10,and13,minusitems11,12,and14)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.

Repo‐styletransactionsRefertosections(c)(4)(ii)(E),(F),or(G)ofthefinalruleasappropriate.Lineitem16 On‐balancesheetassetsforrepo‐styletransactionsReporttheon‐balancesheetassetsforrepo‐styletransactions,exceptincludethegrossvalueofreceivablesforreverserepurchasetransactions.Excludefromthisitemthevalueofsecuritiesreceivedinasecurity‐for‐securityrepo‐styletransactionwherethesecuritieslenderhasnotsoldorre‐hypothecatedthesecuritiesreceived.Includeinthisitemthevalueofsecuritiessoldunderarepo‐stylearrangement.Lineitem17 LESS:Reductionofthegrossvalueofreceivablesinreverserepurchasetransactionsbycashpayablesinrepurchasetransactionsundernettingagreements(reportasapositivevalue)Whereabankingorganizationactingasaprincipalhasmorethanonerepo‐styletransactionwiththesamecounterpartyandhasappliedtheGAAPoffsetforrepo‐styletransactions,reportthereductionofthegrossvalueofreceivablesinreverserepurchasetransactionsifthecriteriainsection217.10(c)(4)(ii)(E),(1)through(3)ofthefinalrulearesatisfied.Lineitem18 Counterpartycreditriskforallrepo‐styletransactionsReport the aggregate amount of counterparty credit risk for all repo‐style transactions in which the institution acts as principal. Do not include repo-style transactions in which the institution acts as an agent. To determine the counterparty credit risk exposure, thebankingorganizationwouldsubtractthefairvalueoftheinstruments,gold,andcashreceivedfromacounterpartyfromthefairvalueofanyinstruments,goldandcashlenttothecounterparty.Iftheresultingamountisgreaterthanzero,itwouldbeincludedintotalleverageexposure.Forrepo‐styletransactionsthatarenotsubjecttoaqualifyingmasternettingagreementorthatarenotclearedtransactions,thecounterpartyexposuremeasuremustbecalculatedonatransaction‐by‐transactionbasis.However,ifaqualifyingmasternettingagreementisinplace,orthetransactionisaclearedtransaction,thebankingorganizationcouldnetthetotalfairvalueofinstruments,gold,andcashlenttoacounterpartyagainstthetotalfairvalueofinstruments,goldandcashreceivedfromthecounterpartyforthosetransactions.Lineitem19 Exposureforrepo‐styletransactionswhereabankingorganizationactsasanagentWhereabankingorganizationactsasagentforarepo‐styletransactionandprovidesaguarantee(indemnity)toacustomerwithregardtotheperformanceofthecustomer’scounterpartythatisgreaterthanthedifferencebetweenthefairvalueofthesecurityorcashlentandthefairvalueofthesecurityorcashborrowed,thebankingorganizationmustincludetheamountoftheguaranteethatisgreaterthanthisdifference.Includebothonandoff‐balancesheetreposinthisline.Lineitem20 Totalexposuresforrepo‐styletransactions(sumofitems16,18,and19minusitem17)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Otheroff‐balancesheetexposures

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Refertosection(c)(4)(ii)(H)ofthefinalrule.Lineitem21 Off‐balancesheetexposuresatgrossnotionalamountsThenotionalamountofalloff‐balancesheetexposures(excludingoff‐balancesheetexposuresassociatedwithsecuritieslending,securitiesborrowing,reverserepurchasetransactions,andderivatives).Lineitem22 LESS:Adjustmentsforconversiontocreditequivalentamounts(reportasapositivevalue)Thefinalruleretainsthe10percentCCFforunconditionallycancellablecommitments,butitwouldreplacetheuniform100percentCCFforotheroff‐balancesheetitemswiththeCCFsapplicableunderthestandardizedapproachforrisk‐weightedassetsinsection217.33oftherevisedregulatorycapitalrule.Lineitem23 Off‐balancesheetexposures(item21lessitem22)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.Lineitem24 TotalLeverageExposure(sumofitems7,15,20and23)Thisitemisshadedandisderivedfromotheritemsintheschedule;noinputrequired.

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D.6—PlannedActionsTheFRY‐14QPlannedActionschedulecollectsinformationontheresultsofallmaterialplannedactionsthatmanagementoutlinedinitsFRY‐14ARegulatoryCapitalTransitionssubmission.TheobjectiveofthissectionistotracktheBHC’sprogressinitsactualstrategicactionstakenrelativetoitsproposedplannedactionsasreportedinitsmostrecentlysubmittedFRY‐14ARegulatoryCapitalTransitionsScheduleD.6–PlannedActions. Foreachreportingperiod,BHCsandIHC’sshouldreporttheincrementalquantitativeimpactofeachactionon: Commonequitytier1capital Tier1capital RWA_Standardized RWA_Advanced AverageTotalAssetsforLeverageCapitalPurposes(relevanttothetier1leverageratio;

tobecompletedbyallBHCsandIHCs) TotalLeverageExposurefortheSupplementaryLeverageRatio(tobecompletedby

advancedapproachesBHCsandIHCsonly);and Balancesheet. The quantitative impactofactionssubmittedbyBHCsandIHCs shouldrepresent thestand‐alone,incremental immediateimpact of the action. ColumnInstructionsNotethatcertaincolumnsincludeanoptionof"other"inthedropdownlistthatcanbeusedifthelistedactioncannotbedescribedusingthelistedselections.

ColumnB DescriptionBriefdescriptionoftheplannedaction. ColumnC ActionTypeSelectfromalistofavailableactionsprovidedintheschedule. BHCsandIHCsshouldselectthetypeofactionthatbestdescribestheplannedaction. ColumnD ExposureTypeSelectfromalistofavailableexposuretypesprovidedintheschedule. BHCsandIHCsshouldselectthetypeofexposurethatismostimpactedbytheplannedaction. ColumnE RWATypeSelectionfromalistofavailableRWAexposuretypesprovidedintheschedule.ForplannedactionsthathaveanimpactonRWAs,theBHCorIHCshouldreportthetypeofRWA(i.e.,CounterpartyCredit,OtherCredit,Market,orOperational)thatismostimpactedbytheplannedaction. ColumnsF‐L Reporttheactualimpactofplannedactionontheapplicablecategoryin$millions.Foreachplannedactionpleaseinputtheactualdollaramountimpactontier1common,tier1capital,risk‐weightedassets,averagetotalassets,leverageexposures,andthefirm'sbalancesheetbasedonprogressmadeontheactioninthepastquarter.Inaseparateattachment,pleaseprovideadditionalinformationtodescribetheprogressmadeoneachplannedactionduringthereportingquarter.

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Totalimpactofplanactionsareshadeditemsandarederivedfromotheritemsintheschedule;noinputisrequired.Thisisthesummationofeachindividualcolumnalignedwiththeapplicablecategory(e.g.,“CommonEquityTier1,”“Tier1capital,”etc.).Reportedchangesfrompriorperiodareshadeditemsandarederivedfromotheritemsintheschedule;noinputisrequired.Thisfieldcapturesthechangebetweeneachreportingperiodonthechangeinimpactfortheapplicablecategory(e.g.,“CommonEquityTier1,”“Tier1capital,”etc.).ColumnsM‐NWhereapplicable,pleaseprovidesupportingdocumentationandadditioncomments.

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ScheduleE—OperationalRiskGeneralInstructionsEachquarteraninstitutionmustsubmittheOperationalLossHistoryandLegalReserveFrequencydatafiles.InadditiontotheLossReferenceNumber,pleaseincludeauniqueidentifierforeachrowofdatainthefirm’sFR‐Y14QdatasubmissioninsectionE.1.Alsoincludeauniqueidentifierforeachrowofdatainthefirm’sFR‐Y14QsubmissioninSectionE.8.Uniqueidentifiers inSectionE.1andSectionE.8shouldremainconstantwiththespecifiedrowofdatainsubsequentsubmissions,andbecomeapermanentelementofthedataforthoseschedules.

E.1—OperationalLossHistorySubmitacompletehistoryofoperationallossesatandabovetheinstitution’sestablishedcollectionthreshold(s)inaccordancewiththefollowinginstructions.Thedatafileshouldcontainalloperationallosses,withtheexceptionofdataonlegalreservesandnon‐legalreserves,capturedbytheinstitutionasoftherespectivereportingquarterend,startingfromthepoint‐in‐timeatwhichtheinstitutionbegancapturingoperationallosseventdatainasystematicmanner.Anoperationallossisdefinedasafinancialloss(excludinginsuranceortaxeffects)resultingfromanoperationallosseventandincludesallexpensesassociatedwithanoperationallosseventexceptforopportunitycosts,forgonerevenue,andcostsrelatedtoriskmanagementandcontrolenhancementsimplementedtopreventfutureoperationallosses. Anoperationallosseventisdefinedasaneventthatresultsinlossandisassociatedwithanyofthesevenoperationallosseventtypecategories(Level1)identifiedanddefinedinReferenceTableE.1.a.Eachlosseventmustcontainauniquelossreferencenumber.Asingleoperationallosseventcouldhavemultipleimpacts(e.g.,severalaccountingorrecoverydates)and/orcouldbeassignedtomultiplebusinesslines. Incaseswheretheinstitutionsubmitsasinglelosseventthathasmultipleimpactsand/orisassignedtomultiplebusinesslines,thesamelossreferencenumbermustbeusedtolinktheseindividualrecordstothesameevent.Therequirementforreportingalosseventisbasedontheevent’stotallossamount,regardlessofhowthelossamountisdistributed.Forexample,ifaninstitution’scollectionthresholdis$10,000andasinglelosseventof$12,000wasassignedevenlytothreebusinesslines(i.e.,$4,000each),thentheeventneedstobeincludedintheinstitution’ssubmitteddatafile.TheintentoftheOperationalLossSchedule(intheFRY‐14Q)istocaptureactualorrealizedlosses.OperationallossesshouldbeincludedintheSchedulefromthequarterwhenthelossissettledand/orrealized.Thiswilloftendifferfromtheaccountingdateandcapturedates.Donotreportseparate,distinctoperationallosseventsonanaggregatedbasis. Forexample,the“bundling”ofseparatelosseventsthatfallbelowtheinstitution’sestablishedthresholdintoonelosseventrecordshouldnotbereported.Foreignbankinginstitutionsshouldreportoperationallossesthatimpacttheinstitution’sU.S.operationsinaccordancewiththesereportinginstructions.EnsurethattheinformationprovidedforeachreportingfieldconformstotheinstructionsintheOperationalLossDataCollectionScheduleinSectionE.1.

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Section E.1. Operational Loss Data Collection Schedule

Field

Reference

FieldName

Description

FormatN:NumericC:CharacterA:Alphanumeric

ASectionE.1UniqueIdentifier

Reporttheuniqueidentifierforeachrowofdataintheinstitution’sFR‐Y14QdatasubmissionforSectionE.1.Theuniqueidentifiershouldremainconstantwiththespecifiedrowofdatainsubsequentsubmissions,andbecomeapermanentelementofthedata.Theuniqueidentifiershouldnotincludeanywhitespaces,tabs,orspecialcharacters.

A

B ReferenceNumber

Reporttheuniqueinstitution‐establishedidentifierassignedtoeachlossevent.Thereferencenumbershouldnotincludeanywhitespaces,tabs,orspecialcharacters.

A

C CaptureDate

Reportthedatethattheinstitutioncaptured/recordedthelosseventinitsinternaloperationallossdatabase.TheCaptureDatemustbesubmittedinthefollowingformat:MM/DD/YYYY.Forexample,“January5,2011,”shouldbe“01/05/2011.”

DateMM/DD/YYYY

D OccurrenceDate

Reportthedatethattheoperationallosseventoccurredorbegan.TheOccurrencemustbesubmittedinthefollowingformat:MM/DD/YYYY.Forexample,“January5,2011,“shouldbe“01/05/2011.”

DateMM/DD/YYYY

E DiscoveryDate Reportthedatethattheoperationallosseventwasfirstdiscoveredbytheinstitution.Thelossevent’sdiscoverydateshouldnotbeearlierthanitsoccurrencedate.TheDiscoveryDatemustbesubmittedinthefollowingformat:MM/DD/YYYY.Forexample,“January5,2011,”shouldbe“01/05/2011.”

DateMM/DD/YYYY

F AccountingDate

Reportthedatethatthefinancialimpactoftheoperationallosseventwasrecordedontheinstitution'sfinancialstatements.Theaccountingdateshouldbeconsistentwith,andnolaterthan,thedatealegalreserveisestablished.Generally,thelossevent’saccountingdateshouldnotbeearlierthanitsoccurrencedateordiscoverydate;however,therearecaseswhereaccountingdatecanaccuratelybereflectedpriortodiscoverydata.TheAccountingDatemustbesubmittedinthefollowingformat:MM/DD/YYYY.Forexample,“January5,2011,”shouldbe“01/05/2011.”

DateMM/DD/YYYY

G ApplicableLossDataCollectionThreshold

Reporttheinstitution‐establishedlossdatacollectionthresholdthatwasapplicabletotherespectivebusinessline/functionandineffectatthetimethelosseventwascaptured.

N

H GrossLossAmount

Reportthetotalfinancialimpactoftheoperationallosseventbeforeanyrecoveriesandexcludinginsuranceand/ortaxeffects.TheGLAshouldincludeallexpensesassociatedwithanoperationallosseventexceptforopportunitycosts,forgonerevenue,provision

N

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Field

Reference

FieldName

Description


($USD) andprovisionwritebacks,andcostsrelatedtoriskmanagementandcontrolenhancementsimplementedtopreventfutureoperationallosses.Also, thefollowingtypesofeventsshouldnotbeincludedinthegrosslossamountortheinstitution’scompletedSchedule:NearMisses:Anoperationalriskeventthatdidnotresultinanactualfinanciallossorgaintotheinstitution.TimingEvents: Anoperationalriskeventthatcausesatemporarydistortionoftheinstitution’sfinancialstatementsinaparticularfinancialreportingperiodbutthatcanbefullycorrectedwhenlaterdiscovered (e.g.,revenueoverstatement,accountingandmark‐to‐marketerrors).CreditBoundaryEvents:Lossesthatarerelatedtobothoperationalriskandcreditrisk.Forexample,wherealoandefaults(creditrisk)andthebankdiscoversthatthecollateralfortheloanwasnotproperlysecured(operationalrisk). [Exception:Retailcreditcardlossesarisingfromnon‐contractualthird‐partyinitiatedfraud(forexample,identitytheft)shouldbetreatedasexternalfraudoperationallossesandshouldbeincludedintheinstitution’ssubmission.]ForgoneRevenues/OpportunityCosts: Inabilitytocollectpotentialfuturerevenuesduetooperationalriskrelatedfailures.Gains: Situationswhereanoperationalriskrelatedfailureresultsinafinancialgainfortheinstitution.

Inaddition,GrossLossAmounts:Shouldbereportedinunitsofone(notthousands),roundedtothenearestunit(forexample,aonemilliondollarlosswouldbereportedas1,000,000).Mustbereportedin$USdollars. Lossamountsrecordedinforeigncurrencyshouldbeconvertedto$USdollarsusingaforeignexchangerateasoftheaccountingdateassociatedwiththerespectiveloss.

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Field

Reference

FieldName

Description


Cannotbereportedasanegativevalue,exceptcaseswhereitrepresentsadecreaseinreserves.

I RecoveryAmount($USD)

Arecoveryisan independent occurrence, related to the originalloss event, separate intime,inwhichfundsoroutflowsofeconomicbenefitsarereceivedfromathirdparty,excludingfundsreceivedfrominsuranceproviders.RecoveryAmounts:• ShouldnotbeincludedintheGrossLossAmountcolumnornettedintothegross

lossamount.• Shouldexcludeprovisionsandprovisionwritebacks.• Shouldhavethesamereferencenumberastheassociatedlossevent.• Shouldbereportedinunitsofone(notthousands),roundedtothenearestunit(for

example,aonemilliondollarlosswouldbereportedas1,000,000).• Shouldbereportedin$USdollars. Recoveriesrecordedinforeigncurrency

amountsshouldbeconvertedto$USdollarsusingaforeignexchangerateasoftheaccountingdateassociatedwiththerespectiverecovery.

• Cannotbereportedasanegativevalue.

N

J BaselEvent‐TypeCategory:Level1

Alllosseventsreportedbytheinstitutionmustbemappedtooneoftheseven“Level1EventTypes”inReferenceTableE.1.a.ThisfieldmustcontaintherespectiveLevel1Event‐TypecodespecifiedinReferenceTableE.1.a(i.e.,ET1,ET2,ET3….ET7).Theexactcodeprovidedmustbeused(e.g.,“ET1”)withnoadditionalcharactersorspacesadded.

A

K BaselEvent‐TypeCategory:Level2

Iftheinstitution categorizes loss events to the “Level 2 Event‐Types” in ReferenceTableE.1.a,usetheLevel2Event‐TypecodesspecifiedinReferenceTableE.1.a(i.e.,ET11–ET76). IftheinstitutiondoesnotmaplosseventstothoseLevel2Event‐Types,orcannotmapaparticularlosseventtooneoftheLevel2Event‐TypescontainedinReferenceTableE.1.a,then“ET00”shouldbeinsertedinthisfield. Theexactcodeprovidedmustbeused(e.g.,“ET41”) with noadditional characters or spacesadded.

N

L BaselBusinessLineLevel1

Alllossevents reported by the institutionmust be mappedtooneofthenine“Level1BusinessLines”inReferenceTableE.1.b.ThisfieldmustcontainthespecificLevel1BusinessLinecodeidentifiedinReferenceTableE.1.b(i.e.,BL1,BL2,BL3….BL9)whichcorrespondstotheLevel1BusinessLine.

N

M BaselBusinessLineLevel2

Iftheinstitution categorizes loss events to the “Level 2 BusinessLines” (ColumnL) inReferenceTableE.1.b,usetheLevel2BusinessLinecodesspecifiedinReferenceTableE.1.b(i.e.,BL11–BL81).IftheinstitutiondoesnotmaplosseventstothoseLevel2BusinessLines, then insert BL00 in therespective field(s) inthiscolumn.

N

98

Field

Reference

FieldName

Description


N InternalBusinessLineorCorporateFunction

Reporttheinstitution‐specific business line (e.g., Equities)orcorporatefunction(e.g.,HR,FinanceorCompliance)towhichtheoperationallosseventhasbeenassigned.Thisfieldshouldcontainanumericcode(i.e.,1,2,3…)witheachuniqueinternalbusinesslinemappedtoauniquedigitrepresentingthatbusinessline/corporatefunction.TheinstitutionshouldprovidethismappingusingthescheduleprovidedinSectionE.2(‘InternalBusinessLine’).

N

O AcquiredorMergedEntities

Ifthelossevent being reported originated from an acquiredormerged entity, thenincludethenameoftherespectiveacquiredormergedentityinthisfield.Ifnot,theninsert“NA”(notapplicable).“Eventsoriginatingfromacquiredormergedentities”refertolosseventsthathaveacapturedatepriortotheacquisition/mergerdate.Thisrequirementshouldalsoapplytolosseventsoriginatingfromacquiredormergedentitiesthathavecapturedatesaftertheacquisition/mergerdate,ifthoselosseshavenotyetbeenintegratedintothebusinesslines/functionsofthemerged entity.

C

P IsLossEventIncludedintheInstitution’sMostRecentlyReportedOperationalRiskCapitalEstimate?

Iftheinstitutionuses statisticalmodel to estimate operationalrisk capital, enter “Yes”or“No”dependingonwhetherornottherespectivelosseventisincludedintheinstitution'smostrecentlyreportedoperationalriskestimate.Iftheinstitutiondoesnotestimateoperationalriskusingastatisticalmodel,enter"N/A"forthisfield.

CY,N,orN/A

Q UnitofMeasure

TheUnit‐of‐Measure(UOM),establishedbytheinstitution,towhichthelosshasbeenassignedforregulatoryand/oreconomiccapitalcalculationpurposes.ItisthelevelatwhichtheBHC'sorIHC’squantificationmodelgeneratesaseparatedistributionforestimatingpotentialoperationallosses(forexample,organizationalunit,operationallosseventtype,riskcategory,etc.).Someinstitutionsestimateauniquelossdistributionforeachbusinessline/eventtypecombinationwhileothersmayestimatescenariolossdistributionsthatspanmultiplebusinesslinesoreventstypes(forexample,"RetailBanking/ExternalFraud").TheUOMfieldshouldcontainanumericcode(i.e.,1,2,3….)thatismappedtoauniqueUOM.Theinstitutionshouldprovidethismappingusingthescheduleprovided in SectionE.3 (‘Unit‐of‐Measure’).

N

R DetailedDescriptionofLossEvent(requiredforevents>$250k)

Foralloperationallosseventswithgrosslossamountsgreaterthanorequalto$250thousand,includeadetaileddescriptionofthelossevent.Generally,the"short‐form"descriptionscapturedinaninstitutions'internallossdatabaseshouldsuffice.

C

99

Reference Table E.1.a: Level 1 and Level 2 Event‐Types

Level1Event‐TypeCategories Level2Event‐TypeCategories

Code Name Code Name

ET1 InternalFraudET11 UnauthorizedActivity

ET12 TheftandFraud

ET2 ExternalFraudET21 TheftandFraud

ET22 SystemsSecurity

ET3 EmploymentPracticesandWorkplaceSafety

ET31 EmployeeRelations

ET32 SafeEnvironment

ET33 Diversity&Discrimination

ET41 Suitability,Disclosure&Fiduciary

Clients,Products&BusinessPractices

ET42 ImproperBusinessorMarketPractices

ET4 ET43 ProductFlaws

ET44 Selection,Sponsorship&Exposure

ET45 AdvisoryActivities

ET5 DamagetoPhysicalAssets ET51 Disastersandotherevents

ET6 BusinessDisruptionandSystemFailures ET61 Systems

ET71 Transaction,Capture,ExecutionandMaintenance

Execution,DeliveryandProcessManagement

ET72 MonitoringandReporting

ET7 ET73 CustomerIntakeandDocumentation

ET74 Customer/ClientAccountManagement

ET75 TradeCounterparties

ET76 Vendors&Suppliers

ET00 NotApplicable

Level1Event‐TypeCategories Definition

InternalFraud Lossesduetoactsofatypeintendedtodefraud,misappropriatepropertyorcircumventregulations,thelaworcompanypolicy,excludingdiversity/discriminationevents,whichinvolvesatleastoneinternalparty.

ExternalFraud Lossesduetoactsofatypeintendedtodefraud,misappropriatepropertyorcircumventthelaw,byathirdparty.

EmploymentPracticesandWorkplaceSafety

Lossesarisingfromactsinconsistentwithemployment,healthorsafetylawsoragreements,frompaymentofpersonalinjuryclaims,orfromdiversity/discriminationevents.

Clients,Products&BusinessPractices

Lossesarisingfromanunintentionalornegligentfailuretomeetaprofessionalobligationtospecificclients(includingfiduciaryandsuitabilityrequirements),orfromthenatureordesignofaproduct.

DamagetoPhysicalAssets

Lossesarisingfromlossordamagetophysicalassetsfromanaturaldisasterorotherevents.

BusinessDisruptionandSystemFailures

Lossesarisingfromdisruptionofbusinessorsystemfailures.

Execution,DeliveryandProcessManagement

Lossesfromfailedtransactionprocessingorprocessmanagement,fromrelationswithtradecounterpartiesandvendors.

100

Reference Table E.1.b: Level 1 and Level 2 Business Lines

Level1BusinessLines Level2BusinessLines ActivityGroups

Code Name Code Name

BL1 CorporateFinance BL11 CorporateFinance Mergersandacquisitions,underwriting,privatizations,securitization,research,debt(government,highyield),equity,syndications,IPO,secondaryprivateplacements

BL12 Municipal/GovernmentFinance

BL13 MerchantBanking

BL14 AdvisoryServices

BL2 Trading&Sales BL21 Sales Fixedincome,equity,foreignexchanges,commodities,credit,funding,ownpositionsecurities,lendingandrepos,brokerage,debt,primebrokerage

BL22 MarketMaking

BL23 ProprietaryPositions

BL24 Treasury

BL3 RetailBanking BL31 RetailBanking Retaillendinganddeposits,bankingservices,trustandestates

BL32

PrivateBanking

Privatelendinganddeposits,bankingservices,trustandestates,investmentadvice

BL33 CardServices Merchant/commercial/corporatecards,privatelabelsandretail

BL4

CommercialBanking

BL41

CommercialBanking

Projectfinance,realestate,exportfinance,tradefinance,factoring,leasing,lending,guarantees,billsofexchange

BL5 PaymentandSettlement

BL51 ExternalClients Paymentsandcollections,fundstransfer,clearingandsettlement

BL6 AgencyServices BL61 Custody Escrow,depositoryreceipts,securitieslending(customers)corporateactions

BL62 CorporateAgency Issuerandpayingagents

BL63 CorporateTrust

BL7 AssetManagement BL71 DiscretionaryFundManagement

Pooled,segregated,retail,institutional,closed,open,privateequity

BL72 Non‐DiscretionaryFundManagement

Pooled,segregated,retail,institutional,closed,open

BL8 RetailBrokerage BL81 RetailBrokerage Executionandfullservice BL00 NotApplicable

BL9 CorporateLevel–Non‐BusinessLineSpecific

Lossesoriginatingfromacorporate/firm‐widefunctionthatcannotbelinkedtoaspecificbusinessline.

101

E.2.InternalBusinessLineFieldName

Description

FormatN:NumericC:Character

InternalBusinessLine

Code

Reporttheuniquenumeric code assigned to the respectiveInternalBusinessLinebytheinstitution.

N

InternalBusinessLine

Name

Reportthename of the Internal Business Line. C

InternalBusinessLineDescription

Provideabriefdescriptionof the Internal Business Line. C

102

E.3.Unit‐of‐Measure(UOM)FieldName

Description

FormatN:Numeric

C:CharacterUOMCode Reporttheuniquenumeric code assigned to the respectiveUnit‐

of‐Measurebytheinstitution.N

UOMName Reportthenameofthe Unit‐of‐Measure. CUOM

DescriptioProvideadditionaldetails on Unit‐of‐Measure, as necessary. C

E.4.ThresholdInformationFieldName

Description

FormatN:Numeric

C:Character

CollectionThreshold(s)

Identifyalllossdatacollectionthresholdsusedforthedatareported.

N

ApplicableInternalBusinessLine(s)

Identifythe"ApplicableInternalBusinessLine(s)"forwhichthethresholdapplies.Ifthesamethresholdisusedforalldatareported,indicate"firm‐wide"intheApplicableInternalBusinessLine(s)field.

C

EffectiveTime

PeriodofCollectionThreshold(FROM)

Forallcollectionthresholdsapplicabletothedatareported,identifythetimeperiodforwhichtherespectivethresholdis/wasineffect.

DateMM/DD/YY

YY

EffectiveTime

PeriodofCollectionThreshold(TO)

Forallcollectionthresholdsapplicabletothedatareported,identifythetimeperiodforwhichtherespectivethresholdis/wasineffect.

DateMM/DD/YY

YY

Comments Useasnecessary. C

103

E.5—LegalReservesFrequencyReportthetotalnumberofoutstanding/pendinglegaleventsbyBusinessLineandEventTypeforwhichalegalreserve(s)hasbeenestablishedinaccordancewiththefollowinginstructions.Thetotalnumberreportedshouldbebasedonthenumberoflegalevents,notthenumberof“reserveentries.”Thetotalnumberofoutstanding/pendinglegaleventsshouldbereportedbythequarterandyearinwhichthefirstlegalreserveforeachrespectivelegaleventwasrecorded.Forexample,alegaleventthathadthreeseparatereservesrecordedinQ1‐2011,Q4‐2011,andQ2‐2012shouldbeincludedasoneeventintheQ1‐2011total.TheLegalReservesFrequencyfileshouldcontainthetotalnumberofoutstanding/pendinglegalevents,forwhichalegalreservehasbeenestablished.ThevaluesoflossesshouldalsobereportedintheFRY‐14QOperationalLossDataCollectionSchedule(E.1)astheeventispartiallysettled.RemainingreservesshouldbenotbeincludedintheFRY‐14QOperationalLossDataCollectionSchedule(E.1)untilthatportionissettled.Previouslyreportedlegaleventsthathavebeensettledorclosedduringthecurrentreportingquartershouldnotbeincludedinthecurrentorfuturesubmissions.TheseeventsshouldbedetailedaspartoftheOperationalLossHistory.Example:AreserveforalegaleventwasfirstrecordedinQ1‐2011.ThelegaleventwasthensettledinQ2‐2012.Inthisexample,thelegaleventshouldnotbeincludedintheinstitution’sQ2‐2012LegalReserveFrequencysubmissionorfutureLegalReserveFrequencysubmissions,butshouldbeincludedinthefirmsOperationalLossHistory.Thetotalnumberoutstanding/pendinglegaleventsforwhichthefirstlegalreservewasrecordedonorpriortoDecember31,2007mustbereportedunder“Q4‐2007”byBusinessLineandEventTypeinaccordancewiththefollowinginstructions.Toclarify,totalnumbersreportedbybusinesslineandeventtypeunderQ4‐2007shouldrepresentthetotalnumberofoutstanding/pendinglegaleventsforwhichareserve(s)wasestablishedpriortoDecember31,2007andforwhichreservesarestillinplaceasofthecurrentreportingquarter.EnsuretheinformationprovidedforeachdescriptiveelementconformstothereportinginstructionsintheLegalReservesFrequencyScheduleinSectionE.5.Forillustrativepurposes,anexampleofaLegalReservesFrequencyScheduleisprovidedinReferenceTableE.5.a.

104

Section E.5. Legal Reserves Frequency Schedule

FieldReference

FieldName Description

FormatN:NumericC:Character

A Quarter Reportthequarterinwhichthefirstlegalreservewasestablishedforalegalevent.

C

B Year Reporttheyearinwhichthefirstlegalreservewasestablishedforalegalevent.

N

C EventType Thenumberofoutstanding/pendinglegaleventsreportedbytheinstitutionmustbemappedtooneoftheseven“Level1EventTypes”inReferenceTableE.1.a.ThisfieldmustcontaintherespectiveLevel1Event‐TypecodespecifiedinReferenceTableE.1.a(i.e.,ET1,ET2,ET3….ET7).Theexactcodeprovidedmustbeused(e.g.,“ET1”)withnoadditionalcharactersorspacesadded.

C

D BusinessLine Thenumberofoutstanding/pendinglegaleventsreportedbytheinstitutionmustbemappedtooneofthenine“Level1BusinessLines”inReferenceTableE.1.b.ThisfieldmustcontainthespecificLevel1BusinessLinecodeidentifiedinReferenceTableE.1.b(i.e.,BL1,BL2,BL3….BL9)whichcorrespondstotheLevel1BusinessLine.

C

E NumberofOutstanding/Pending

LegalEvents

Reportthenumberofoutstanding/pendinglegalevents.

N

105

Reference Table E.5.a: Example of a Completed Legal Reserves Frequency Schedule

(forillustrativepurposesonly)Quarter

Year

EventTypeLevel1

BusinessLineLevel1

NumberofOutstanding/Pending

LegalEvents

Q4 2007 ET4 BL2 4Q4 2007 ET4 BL7 6Q4 2007 ET1 BL2 5Q1 2008 ET4 BL3 1Q3 2008 ET4 BL2 1Q2 2009 ET4 BL1 2Q2 2009 ET3 BL4 1Q3 2009 ET7 BL2 1Q3 2010 ET4 BL1 3Q4 2010 ET7 BL7 1

106

ScheduleF—TradingA.PurposeofSchedule:

ThisscheduleisdesignedtocaptureP/Lsensitivitiestoassetsfirmsholdintheirtradingbooks,privateequityinvestments,andcertainotherassetsunderfairvalueaccounting.Thesetermsaredefinedasfollows:

TradingBookassetsarethoseassetswhicharereportedastradingsecuritiesontheFRY‐9Creport,i.e.

"Tradingactivitiestypicallyinclude(a)regularlyunderwritingordealinginsecurities;interestrate,foreignexchangerate,commodity,equity,andcreditderivativecontracts;otherfinancialinstruments;andotherassetsforresale,(b)acquiringortakingpositionsinsuchitemsprincipallyforthepurposeofsellingintheneartermorotherwisewiththeintenttoresellinordertoprofitfromshort‐termpricemovements,and(c)acquiringortakingpositionsinsuchitemsasanaccommodationtocustomersorforothertradingpurposes."

PrivateEquityincludesallequityrelatedinvestmentssuchascommon,preferred,andconvertiblesecurities.

Thisincludesinvestmentsmadeonaprincipalbasisinstandalonecompanies,realestate,generalandlimitedpartnershipinterestsandhedgefunds,includingseedcapitalinvestedinhedgeormutualfunds.ThisincludesPrivateEquitythatismarktomarket(MTM),heldforsale(HFS)orunderfairvalueoptionaccounting(FVO).

OtherFairValueAssetsareallassetsheldunderfairvalueoption(FVO)accountingexceptforretailandwholesaleloanswhichshouldbeincludedintheschedulesforRetailandWholesaleFVOloans.

Exampleswouldincludelegacyassets,communitydevelopmentassetsandtax‐orientedinvestments,e.g.windfarms.

B.GeneralInstructions:

PleaseseetheRegionalGroupingsworksheetfordefinitionsofcountry/currencycategorizations.

CreditValuationAdjustments(CVA)shouldNOTbeincludedinthisschedule,whileCVAhedgesshouldbereportedseparatelyinitsownFRY‐14QTradingschedule.

Exposurestorepurchaseagreementpositionsthatareaccountedforunderthefairvalueoptionandanyassociatedhedgesshouldbereportedinthisschedule.

NeitherMortgageServicingRights(MSR's)norMSRhedgesshouldbeincludedinthisschedule.

Allworksheetsarerequiredtobefilledout.

Whitecellsrepresentrequiredinputs.Greencellsrepresentrequiredinputsforparametersthatareflexibleandcanbechanged.

Graycellsrepresentcalculationsorfixedvalues,anddonotneedtobecompletedbytheBHCorIHC.

107

Examplesofflexibleparametersincludetenorpointsandshock%sinsomegrids.Seesheet‐specificinstructionsaroundacceptableranges.

SensitivitiesrelatedtoExchangeTradedFunds(ETFs)thatareprimarilybackedbydirectassetholdingsshouldbereportedintheappropriateassetclass.Forexample,ETFsthatareprimarilybackedbyphysicalandfinancialcommoditiesholdings(e.g.XAU)shouldbeincludedintheCommoditiesworksheets.DatarelatedtoallotherETFsshouldbereportedintheEquityworksheets,exceptinthecaseofcurrencyrelatedETFs.Ifpossible,decomposecurrencyrelatedETFsintoseparatecurrencycomponentsandreporttherelatedsensitivitiesintheappropriatecurrencyrowoftheFXworksheets.Ifdecompositionisnotpossible,reportcurrencyrelatedETFsintheUSD/OtherrowoftheFXworksheets.

C.Item‐SpecificInstructions:

Worksheet‐specificinstructionsareincludedwithin.

108

Glossary

API2: ThebenchmarkpricereferenceforcoalimportedintonorthwestEurope.ItiscalculatedasanaverageoftheArguscost‐insurance‐freight(cif),Antwerp‐Rotterdam‐Amsterdam(ARA,majorcoalimportingportsinnorthwestEurope)assessmentandMcCloskey'snorthwestEuropeansteamcoalmarker.

API4: ThebenchmarkpricereferenceforcoalexportedoutofSouthAfrica'sRichardsBayterminal,itisusedinphysicalandover‐the‐counter(OTC)contracts.ItsvalueiscalculatedastheaverageoftheArgusfreight‐on‐board(fob)RichardsBayassessmentandMcCloskey'sfobRichardsBaymarket.

ARS: AuctionRateSecurity‐ Longterm,variableratebondstiedtoshortterminterestrates.ARShavealongtermnominalmaturitywithinterestratesresetthroughamodifiedDutchauction,atpredeterminedshorttermintervals.

bp: BasisPoint,1/100thof1%.CarryValue: Theamountofaninvestmentasreflectedintheconsolidatedfinancial

statementspreparedinaccordancewithGAAP.CDS: CreditDefaultSwap‐ Aswapdesignedtotransferthecreditexposureoffixed

incomeproductsbetweenparties.Thebuyerofthecreditswapreceivescreditprotection,whereastheselleroftheswapguaranteesthecreditworthinessoftheproduct.

CER: CertifiedEmissionReduction‐ Atypeofemissionsunit,orcarboncredits,issuedbytheCleanDevelopmentMechanism(CDM)ExecutiveBoardforemissionreductions.

CMO: CollateralizedMortgageObligation‐ Atypeofmortgagebackedthatrepresentclaimstospecificcashflowsfromlargepoolsofhomemortgages.ThestreamsofprincipalandinterestpaymentsonthemortgagesaredistributedtothedifferentclassesofCMOinterests,knownastranches.Eachtranchemayhavedifferentprincipalbalances,couponrates,prepaymentsrisks,andmaturitydates.

CoveredBond:

Acorporatebondwithrecoursetoapoolofassetsthatsecuresor"covers"thebondiftheoriginator(usuallyafinancialinstitution)becomesinsolvent.

CS01: Thesensitivityoftheportfolioto1bpadjustmenttocreditspreads.CVA: CreditValuationAdjustment‐ Themarketvalueofthecreditriskduetoany

failureofthecounterpartytodeliver.Delta: Theexpectedchangeinthevalueofaderivativeforeachdollarchangeinthe

priceoftheunderlyingasset.DV01: Thedollarvalue(DV)impactonthevalueofanassetresultingfromaonebasis

pointparallelshiftdownwardininterestrates.EUA/ETS: EuropeanUnionEmissionsTradingSystem‐ Capandtradeemissionallowances

intheEuropeanUnion.Companiescanbuyandsellfromeachotherasneeded.

Gamma: Theexpectedchangeindeltaexposurefora+1%relativechangeinthepriceoftheunderlyingentity.Gammaisusedtogaugethesensitivityofaderivativepositiontoapricechangeintheunderlyingreferencesecurityorportfolio.Alargepositivegammacanservetomagnifygainsandcushionlosses.

GICS: GlobalIndustryClassificationStandard‐ AnindustrytaxonomydevelopedbyMSCIandStandard&Poor'sforusebytheglobalfinancialcommunity.

HY: HighYield‐Bondsratedbelowinvestmentgrade(belowBBB).Becausethesebondshaveahigherriskofdefault,theyhavehigheryieldsthanbetterqualitybonds.

IG: InvestmentGrade‐ BondsthatareratedBBBorabove.

109

iTraxx: AfamilyofcreditdefaultswapindexproductscoveringregionsofEurope,Australia,JapanandAsiaEx‐Japan.

LATAM: AnabbreviationforLatinAmerica.LCDX: ANorthAmericanloancreditdefaultswapindex.LCDXconsistsof100

referenceentities,referencingfirstlienloanslistedontheMarkitSyndicatedSecuredList.

LPG: LiquefiedPetroleumGas(LPG)isaflammablemixtureofhydrocarbongasesusedasafuelinheatingappliancesandvehicles.

LIBOR: LondonInterbankOfferedRate‐ AninterestrateatwhichbankscanborrowfundsfromotherbanksintheLondoninterbankmarket.LIBORisderivedfromafilteredaverageoftheworld'smostcreditworthybanks'interbankdepositratesforlargerloanswithmaturitiesbetweenovernightandonefullyear.

LognormalVega:

Theexpectedchangeinthevalueofanoptionwhentheoption'simpliedvolatilityincreasesby1%,i.e.goesfrom25%to26%.

MBS: MortgageBackedSecurities‐ Debtobligationsthatrepresentclaimstothecashflowsfrompoolsofmortgageloans,mostcommonlyonresidentialproperty.Mortgageloansarepurchasedfrombanks,mortgagecompanies,andotheroriginatorsandthenassembledintopoolsbyagovernmental,quasi‐governmental,orprivateentities.Theseentitiesthenissuesecuritiesthatrepresentclaimsontheprincipalandinterestpaymentsmadebyborrowersontheloansinthepool.

MENA: AnabbreviationforMiddleEastandNorthAfrica.MV: Anabbreviationformarketvalue.NormalVega Theexpectedchangeinthevalueofanoptionwhenthevolatilityofthe

securityunderlyingtheoptionincreasesby1%,i.e.goesfrom25%to26%.

OAS: OptionAdjustedSpread‐ Ameasurementtoolforevaluatingpricedifferencesbetweensimilarproductswithdifferentembeddedoptions.AlargerOASimpliesagreaterreturnforgreaterrisks.

PrivateEquity:

Privateequityisanassetclassconsistingofequitysecuritiesinoperatingcompaniesthatarenotpubliclytradedonastockexchange.

TIBOR: TokyoInterbankOfferedRate‐ AdailyreferenceratebasedontheinterestratesatwhichbanksoffertolendunsecuredfundstootherbanksintheJapaneseinterbankmarket.

UnfundedCommitments:

Fundspledgedforinvestmentbutnotyetdrawnupon.

Vega: Theexpectedchangeinthevalueofanoptionwhentheoption'simpliedvolatilityincreasesby1%,i.e.goesfrom25%to26%.Whennotspecifiedotherwise,vegadenoteslognormalvegaasopposedtonormalvega.

VER: VoluntaryEmissionReductions/VerifiedEmissionReductions‐AtypeofcarbonoffsetexchangedintheOTCmarketforcarboncredits.

Volpoint: A1%absolutechangeinvolatility,e.g.achangefrom25%to26%.WholeLoan: Amortgageloanwhichissoldinitsentiretyonastandalonebasisratherthan

beingpooledwithothermortgages.XO: XO(Crossover)referstotheCDX.NA.XOCDXindex,anindexofCDS'sthatareat

thecrossoverpointbetweeninvestmentgradeandjunk(highyield).

110

RegionalGroupings

Advanced Economies Currency

Andorra EUR

Australia AUD

Austria EUR

Belgium EUR

Canada CAD

Channel Islands GBP

Cyprus EUR

Denmark DKK

Estonia EUR

Finland EUR

France EUR

Germany EUR

Gibraltar GIP

Greece EUR

Greenland DKK

Guam USD

Guernsey GGP

Ireland EUR

Isle of Man IMP

Italy EUR

Japan JPY

Jersey JEP

Kosovo EUR

Luxembourg EUR

Malta EUR

Monaco EUR

Montenegro EUR

Netherlands EUR

New Zealand NZD

Norway NOK

Portugal EUR

Samoa USD

San Marino EUR

Slovakia EUR

Slovenia EUR

Spain EUR

Sweden SEK

Switzerland CHF

United Kingdom GBP

United States USD

Vatican City EUR

Virgin Islands (US) USD

Virgin Islands (British) USD

Latin America & Caribbean Currency

Antigua and Barbuda XCD

Argentina ARS

Aruba AWG

Bahamas BSD

Barbados BBD

Belize BZD

Bermuda BMD

Bolivia BOB

Brazil BRL

Cayman Islands KYD

Chile CLP

Colombia COP

Costa Rica CRC

Cuba CUP

Dominica XCD

Dominican Republic DOP

Ecuador ECS

El Salvador USD

Grenada XCD

Guatemala GTQ

Guyana GYD

Haiti HTG

Honduras HNL

Jamaica JMD

Mexico MXN

Nicaragua NIO

Panama PAB

Paraguay PYG

Peru PEN

Saint Kitts and Nevis XCD

Saint Lucia XCD

Saint Vincent and the Grenadines XCD

Suriname SRG

Trinidad and Tobago TTD

Uruguay UYU

Venezuela VEF

Emerging Europe Currency

Albania ALL

Belarus BYR

Bosnia and Herzegovina BAM

Bulgaria BGL

Croatia HRK

Czech Republic CZK

Hungary HUF

Iceland ISK

Latvia LVL

Liechtenstein CHF

Lithuania LTL

Macedonia MKD

Moldova MDL

Poland PLN

Romania ROL

Russia RUB

Serbia RSD

Ukraine UAH

111

Asia Ex‐Japan Currency

Bangladesh BDT

Bhutan BTN

Brunei BND

Cambodia KHR

China CNY

Fiji FJD

Hong Kong HKD

India INR

Indonesia IDR

Kazakhstan KZT

Kyrgyzstan KGS

Laos LAK

Macau MOP

Malaysia MYR

Maldives MVR

Mongolia MNT

Myanmar MMK

Nepal NPR

North Korea KPW

Philippines PHP

Singapore SGD

Solomon Islands SBD

South Korea KRW

Sri Lanka LKR

Taiwan TWD

Tajikistan TJR

Thailand THB

Tonga TOP

Turkmenistan TMM

Uzbekistan UZS

Vanuatu VUV

Vietnam VND

Middle East & North Africa Currency

Afghanistan AFA

Algeria DZD

Armenia AMD

Azerbaijan AZM

Bahrain BHD

Dubai AED

Egypt EGP

Georgia GEL

Iran IRR

Iraq IQD

Israel ILS

Jordan JOD

Kuwait KWD

Lebanon LBP

Libya LYD

Morocco MAD

Oman OMR

Pakistan PKR

Qatar QAR

Saudi Arabia SAR

Somalia SOS

Syria SYP

Tunisia TND

Turkey TRY

United Arab Emirates AED

Yemen YER

Sub‐Saharan Africa Currency Angola AOA Benin XOF Botswana BWP Burkina Faso XOF Burundi BIF Cameroon XAF Cape Verde CVE Central African Republic XAF Chad XAF Congo‐Brazzaville XAF Comoros KMF Cote d'Ivoire XOF Democratic Republic of the Congo CDF Djibouti DJF Equatorial Guinea GQE Eritrea ERN Ethiopia ETB Gabon XAF Gambia GMD Ghana GHC Guinea GNF Guinea‐Bissau XOF Kenya KES Lesotho LSL Liberia LRD Madagascar MGF Malawi MWK Mali XOF Mauritania MRO Mauritius MUR Mozambique MZM Namibia NAD Niger XOF Nigeria NGN Republic of the Congo XAF Rwanda RWF Senegal XOF Seychelles SCR Sierra Leone SLL South Africa ZAR Sudan SDG Swaziland SZL Tanzania TZS Togo XOF Uganda UGX Zambia ZMK Zimbabwe USD

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F.1—EquitybyGeographyGeneralInstructions Fordefinitionsofthe"Other"categoriesineachsection,referencetheRegionalGroupingsworksheet.Forexample,"OtherAdvancedEconomies"wouldincludeentriesforanyAdvancedEconomycountry(asdefinedontheRegionalGroupingsworksheet)thatisnotexplicitlylistedintheAdvancedEconomiessectionofthisworksheet.ThisOtherAdvancedEconomiesrowwouldalsoincludeaggregatedexposuresfromexplicitlylistedcountrieswheretheexposuresfallbelowminimalthresholdsspecifiedbelow. Notethateachregionalsectionhasarowforcross‐countryindices,e.g.theEuroStoxxindices,whichmaybeusediffirmshavedifficultydecomposingsensitivitiesbycountry.Vegashouldbereportedinabsoluteterms($MM/+1volpoint)regardlessofwhetherrelativeorabsolutevolswereprovidedontheEquitySpot‐VolGridsworksheet. Profit/(Loss)CalculationProfit/(Loss)shouldbecalculatedassumingfullrevaluationwherepossible.IncompletingtheProfit/(Loss)section,firmsshouldrunfullrevaluationsassumingallequitiesmoveagivenrelative%andthenallocatetheresultingP/Lbycountry/index. Forexample,allentriesinthe‐50%declinecolumnwouldbecalculatedbyrunningasinglefull‐revaluationsimulationinwhichallequitiesdeclineby‐50%regardlessofgeography.P/Lfromthissinglesimulationwouldthenbeallocatedamongthevariousrowscorrespondingtodifferentcountries/indices. Thresholds SensitivitiesforcountriesinAdvancedEconomiesforwhichthedeltaislessthan$3mmmaybeaggregatedandenteredasasingleentryonthe"OtherAdvancedEconomies"row.Forotherregions,sensitivitiesforwhichthedeltaislessthan$2mmmaybeaggregatedandenteredintheappropriate"Other"rowforthatregion. SpotShocks Thespotshockslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasavailablesubjecttothefollowingconstraints: Spotshocksmustataminimumspan0%to‐50%andatleast5distinctspotshockslessthan0%mustbeprovided.Thedifferencebetweenadjacentspotshocksmustnotexceed25%. Additionalcolumnsforothershockpercentmaybeadded.Unusedcolumnsshouldbeleftblank. Tenors Inthetermstructuresection,pleasereplacethetenorpointsshowningreenwiththosethefirmhasavailable.Insertadditionaltermstructurecolumnsasneeded.Unusedcolumnsshouldbeleftblank.

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F.2—EquitySpot‐VolGrid GeneralInstructions Eachpointonthegridshouldbecalculatedusingfullrevaluationandshouldrepresentfirm‐wideProfit/(Loss)results.Vegapostspotshockmustbeprovidedinabsoluteterms(unitsof$MM/+1volpoint)evenifthespot‐volgridispopulatedusingrelativevolatilityshocks.Additionalrowsandcolumnsforothershockvaluesmaybeadded.Unusedrows/columnsshouldbeleftblank. SpotShocks ThespotshocksprovidedmustmatchthoseprovidedontheEquitybyGeographyworksheetandaresubjecttotheconstraintsoutlinedonthatworksheet. VolatilityShocks Thevolatilityshockslistedinthegreencellsmaybemodifiedsubjecttothefollowingconstraints: Volshocksmustgoouttoatleast+20volpoints(oranequivalentamountifusingarelativemethodology).Ifusingrelativevolatilityshocks,itmaybenecessarytomodifythedefaultvolatilityshocksshowninthegridbasedonthelevelofthevolatilitysurfaceontheeffectivedateofthissubmission.Firmsmustprovideatleast3absolutevolatilityshockswhicharegreaterthanzero. AbsoluteVolShocks Whenshockingspot,"sticky"(i.e.,fixed)strikevolatilitymustbekeptconstant.Theimpliedvolatilityateachstrikeshouldnotchangeandthevolatilitycurvewithinagiventenorshouldremainunchanged(intermsofsticky/fixedstrikevs.absolutevolatility).ThisisillustratedaswegofromTable1toTable2,below. Whenshockingimpliedvolatilitywithinagiventenor,theabsoluteimpliedvolatilityateachstrike(ofeachoptionateachstrike)shouldbeshockedinaparallelmannerbythesameabsoluteamount.ThisisillustratedaswegofromTable2toTable3.

Table 1: Table 2: Table 3:

Spot Shock: 0% Spot Shock: ‐30% Spot Shock: ‐30%, Vol Shock: +10 pts

Strike Implied Vol Strike

Implied Vol Strike

Implied Vol

700 32 700 32 700 42

800 27 800 27 800 37

900 23 900 23 900 33

1000 20 1000 20 1000 30

RelativeVolShocks FirmsapplyingrelativevolatilityshockswouldkeeptheirvolatilitysurfacefixedingoingfromTable1toTable2.Thatis,theimpliedvolatilitygivena‐30%shockwouldbewhattheimpliedvolatilitywasbeforeshockingspotby‐30%.

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F.3—OtherEquityGeneralInstructions

EntriesinthedividendtableaboveshouldrepresenttheProfit/(Loss)in$MMthatthefirmwouldexperienceifdividendyieldsinthespecifiedtenorsweretodeclineby‐1%inrelativeterms,i.e.dropfrom3%to2.97%.

ForaprecisedescriptionofwhatcountriesconstituteEurope,pleaserefertotheUNGeoScheme:(http://millenniumindicators.un.org/unsd/methods/m49/m49regin.htm#Europe).

Tenors

Inthetermstructuresection,replacethetenorpointsshowningreenwiththosethefirmhasavailable.Insertadditionaltermstructurecolumnsasneeded.Unusedcolumnsshouldbeleftblank.Theunspecifiedtenorcolumnistobeusedonlyifthefirmisunabletobreakoutitssensitivitiesbytenor.

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F.4—FXSpotSensitivities GeneralInstructions

EntercurrencysymbolsintothegreencellsoftheCurrency1andCurrency2columns.Additionalrowsmaybeinsertedintothissectionasneeded.Anyunusedrowsshouldbeleftblank.

Reporton‐shoreandoff‐shorecurrencysensitivitiesseparately.

Fornon‐USDcurrencypairs:

1)DeltaisdefinedasUSDdeltaequivalentofCurrency1,withapositivenumberindicatinglongCurrency1/shortCurrency2,andanegativenumberindicatingshortCurrency1/longCurrency2.

2)IfthecurrencydeltapositionsarenettedandshownonlyversusUSD,thenenterzerofordeltaandshowtheP/Larisingfromgammaonlyinthecorrespondingcurrencypairrow.

Profit/(Loss)Calculation

Profit/(Loss)shouldbecalculatedassumingfullrevaluationwherepossible.IncompletingtheProfit/(Loss)section,firmsshouldcompleteeachrowindependently.Forexample,arowforEURvs.USDwouldbecalculatedbyshockingonlytheEURvs.USDexchangerateandleavingallotherexchangeratesfixed.

Thresholds

Entriesforcurrencieswheretheabsolutevalueofthedeltaisbelow$50mmandwherenogridP/Lentrieshaveanabsolutevalueabove$10mmmaybeaggregatedandplacedintotheOTHERvs.USDline.

SpotShocks

Thespotshockslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasavailablesubjecttothefollowingconstraints:

Spotshocksmustataminimumspan‐30%to+30%andatleastfourdistinctspotshocksoneachsideof0%mustbeprovided. Thedifferencebetweenadjacentspotshocksmustnotexceed10%. Additionalcolumnsforothershockpercentmaybeadded.Unusedcolumnsshouldbeleftblank.

IncomputingtheProfit/(Loss)entries,assumenormalvolatilitydoesnotchange.

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F.5—FXVegaGeneralInstructions

EntercurrencysymbolsintothegreencellsoftheCurrency1andCurrency2columns.Additionalrowsmaybeinsertedasneeded.Unusedrowsshouldbeleftblank.

Reporton‐shoreandoff‐shorecurrencysensitivitiesseparately.

Thresholds

Enterallcurrencypairsforwhichtheabsolutevalueofthevegaatanytenor(orintotal)exceeds$1mm/+1volpoint;pairswithsmallervegasmaybeomitted.

Tenors

Inthetermstructuresection,replacethetenorpointsshowningreenwiththosethefirmhasavailable.Insertadditionaltermstructurecolumnsasneeded.Unusedcolumnsshouldbeleftblank.

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F.6—RatesDV01GeneralInstructions

Fordefinitionsofthe"Other"categoriesineachsection,referencetheRegionalGroupingsworksheet.Forexample,"OtherAsiaEx‐Japan"wouldincludeentriesforanyAsiaEx‐Japancurrency(asdefinedontheRegionalGroupingsworksheet)thatisnotexplicitlylistedintheAsiaEx‐Japansectionofthisworksheet.ThisOtherAsiaEx‐Japanrowwouldalsoincludeaggregatedexposuresfromexplicitlylistedcurrencieswheretheexposuresfallbelowminimalthresholdsspecifiedbelow.

**DV01sofinstrumentsshockedbymarketvalue(MV)suchassecuritizedproducts,ARS,Loansanddefaultedsecuritiesmustbeenteredinaggregateonthe"InstrumentsshockedbyMarketValue"rowfortheappropriatecurrency.Fortheregionalsections(OtherAdvancedEconomies,EmergingEurope,LatinAmerica&Caribbean,etc.),DV01sofinstrumentsshockedbyMVshouldnotbeincludedtoavoiddoublecounting.

EntriesonthissheetshouldincludeALLproductswithinterestratesensitivitiesincludingthosesuchasmunis,agenciesandARSforwhichDV01sarealsorequestedelsewhereinthisschedule.

DV01forCorporatesshouldbeincludedintheSwaps/DiscountingCurvelinefortheappropriatecurrency.IftheOIScurveisusedasthediscountingcurve,reportthesensitivitiesassociatedwithchangesintheOIScurveintheSwaps/DiscountingCurverows.

Examples

Example1:Considera5yearreceivefixedswapversus6‐monthLIBOR,wherethestandardcurveis3monthLIBOR.TheDV01ofthefixedsideandthefirstfixingwouldappearintheSwaps/DiscountingCurverowasapositivedirectionalrisknumber.TheDV01ofthe0.5Yby5Yyearbasisswapwouldappearinthe6mrowasapositivenumberaswellsincea1bpdropinthatcurvewouldbebeneficial.Notethatthiswouldcorrespondtoa‐1bpchangeinx,wherexisthespreadinthe6mvs.3m+xbasisswap.

Example2:3yearbasisswapinwhichthebankpays1mLIBOR+10bpsvs.3mLIBOR,wherethestandardcurveis3monthLIBOR.Theinitial1mand3mfixingswouldappearintheSwaps/DiscountingCurvelineasadirectionalrisknumber.Theremaining1mby3Ybasisswapwouldappearinthe1mlineasapositivenumber.Notethatthiswouldcorrespondtoa+1bpchangeinx,wherexisthespreadinthe3mvs.1m+xbasisswap.

SovereignBonds

Sovereignbondsissuedinthesamecurrencyasthereferencesovereign'sbasecurrencyshouldhavetheirDV01'senteredonthisworksheet.ExampleswouldincludeU.S.governmentbondsdenominatedinUSDandU.K.governmentbondsdenominatedinGBP.SuchinstrumentswouldnotleadtoanycreditspreadentriesontheSovereignCreditworksheet,thoughtheywouldleadtoentriesintheMV(A)andNotional(B)sectionsofthatworksheet.

Euro‐denominatedbondpositionsissuedbycountriesusingtheeuroshouldalsobeenteredonthisworksheetonly.Notethattherearespecificrowsfor"Government"exposuresforthosecountriesdefinedas"AdvancedEconomies"ontheRegionalGroupingsworksheet.Forothercountries,the

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governmentexposureswouldbesummedwithothertypesofratesexposuresandenteredinaggregateinthesinglerowforthecorrespondingcountry.So,forexample,Spanishgovernmentbondswouldbeenteredonthisworksheetontherowinthe"EURDirectionalRisks"sectionlabeled"Governments:Spain",whileHungariangovernmentbondexposureswouldbeaggregatedalongwithanyotherHungarianratesexposuresandenteredintherowlabeled"HUF".Again,suchinstrumentswouldnotleadtoanycreditspreadentriesontheSovereignCreditworksheet,thoughtheywouldleadtoentriesintheMV(A)andNotional(B)sectionsofthatworksheet.

Inthecaseofsovereignbondsissuedinacurrencythatdiffersfromthereferencesovereign'sbasecurrency,theratesriskshouldbeenteredonthisworksheet,whilethecorrespondingcreditriskshouldbeenteredontheSovereignCreditworksheet.ExampleswouldincludeJapanesegovernmentbondsdenominatedinUSDandU.K.governmentbondsdenominatedinEUR.

AnyratesexposurefromSovereignCDSshouldbeenteredonthisworksheet,whilethecorrespondingcreditriskshouldbeenteredontheSovereignCreditworksheet.

Theseinstructionswithrespecttosovereignbondspertainsolelytotheentriesonthisworksheet.PleaseseetheinstructionsontheSovereignCreditworksheetwhenenteringthenotionalsandmarketvaluesthere.

Profit/(Loss)Section

Theshockentrieslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasreadilyavailable.Shocklevelsshouldrangefrom‐200bpsto+500bpsandthedifferencebetweenadjacentshocksshouldnotexceed100bps.

Additionalcolumnsforothershockpercentmaybeadded.Unusedcolumnsshouldbeleftblank.

WhencalculatingtheProfit/(Loss)fromnegativerateshocks,ifthefirm’ssystemscannotaccommodatenegativeratelevels,floorratesat+1bp(i.e.assumeratescannotbecomenegative).

IncomputingProfit/(Loss),assumenormal(absolute)volatilitydoesnotchangeand,totheextentpossible,preservetheskewbystrikeforallshocklevels.

Donotincludeinstrumentsshockedbymarketvalue(MV)incomputingtheProfit/(Loss)points.

Tenors


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F.7—RatesVegaGeneralInstructions

Fordefinitionsofthe"Other"categoriesineachsection,referencetheRegionalGroupingsworksheet.Forexample,the"OtherAdvancedEconomies"sectionshouldincludeentriesforanyAdvancedEconomycountry(asdefinedontheRegionalGroupingsworksheet),whenthecurrencyisnotexplicitlylistedonthisworksheet.

Similarly,theTotalssections,suchasTotalEmergingEurope,shouldcontainthesummationofthevegasacrossallthecurrencieswhenissuingcountriesaredefinedasEmergingEuropeontheRegionalGroupingsworksheet.

Specifyinthegreencellsatthetopoftheworksheetwhetherthevegasprovidedarenormalorlognormalandwhethertheunitsare$MM/+10%relativemoveor$MM/+10bpsabsolutemove.

Tenors

Inthetermstructuresection,replacethetenorpointsshowningreenwiththosethefirmhasavailable.Insertadditionaltermstructurerowsandcolumnsasneeded.Unusedrowsandcolumnsshouldbeleftblank.

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F.8—OtherRatesGeneralInstructions

Cross‐Currencyvs.USDbasisisdefinedasUSDvs.CCY+xBasisSwap($K).

Tenors


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F.9—EnergyGeneralInstructions

Deltaforcommoditiesisdefinedasdollarizeddeltaexposurein($MM).

"TotalGamma"istheunweightedsumofgammasacrossalltenorsforeachproduct.Similarly,"TotalVega"istheunweightedsumofthevegasacrossalltenorsforeachproduct.

Vegamaybereportedinabsolute($MM/+1volpoint)orrelative($MM/+10%Rel)termsregardlessofwhetherrelativeorabsolutevolsareprovidedontheCommoditySpot‐VolGridsworksheet,butshouldbeconsistentacrosstheEnergy,Metals,Ags&SoftsandCommodityIndicesworksheets.TheappropriatevegaunitsmaybeselectedfromthelistprovidedintheVegatitlecell.

Ideally,storageandothermodels,whichdonotqualifyforderivativesaccountingtreatment,shouldbeexcludedfromthisschedulewhiletheunderlying(exposureandP/Lcontribution)shouldbeincluded.Incaseswheresuchexclusioniscomputationallydifficultduetosystemconstraints,firmsmayincludetheimpactsofstorageandothermodelsprovideditisimmaterial(i.e.,theabsolutevalueoftheincrementalP/Lcontributedbythemodelatbothspotup+75%andspotdown‐75%areboth<$50mm).

BHCsandIHCsshoulddecomposethecommoditiessensitivitiesofcomplexproductsintotheirconstituentproductsensitivitieswhereverpossible.ThecolumnforStructuredProductsismeanttocapturecommodityexposuresthatarenoteasilydecomposedintotheirunderlyingcomponents.Examplesincludestructurednoteslinkedtocommoditybasketsandcustomindices.

Tenors

Thematurities/maturitybucketsincolumnBmaybemodifiedtofitwhatthefirmhasavailableandallshouldbeconsideredasrelativetotheeffectivedateofthissubmission.Pleaseprovidemonthlydataforthefirst12months.Maturitiesgreaterthan12monthsbutlessthan10yearsfromtheeffectivedatemustbesuppliedonamonthly,quarterlyorannualbasis.Maturitiesgreaterthan10Yearsfromtheeffectivedatemaybegroupedtogether.

Informationalsection

Thecolumnsinthe"Informational"sectionaremeanttobeSUBSETSofthetotalexposuresenteredintheothercolumnstotheleftofthe"TotalEnergy"column.Additionalinformationalcolumns(e.g.Coal,Emissions,etc.)maybeinsertedifdesired.

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F.10—MetalsGeneralInstructions



Vegamaybereportedinabsolute($MM/+1volpoint)orrelative($MM/+10%Rel)termsregardlessofwhetherrelativeorabsolutevolsareprovidedontheCommoditySpot‐VolGridsworksheet,butshouldbeconsistentacrosstheEnergy,Metals,Ags&SoftsandCommodityIndicesworksheets.TheappropriatevegaunitsmaybeselectedfromthelistprovidedintheVegatitlecelloftheEnergyworksheet.


Tenors

Thematurities/maturitybucketsincolumnBmaybemodifiedtofitwhatthefirmhasavailableandallshouldbeconsideredasrelativetotheeffectivedateofthissubmission.Pleaseprovidemonthlydataforthefirst12months.Maturitiesgreaterthan12monthsbutlessthan10yearsfromtheeffectivedatemustbesuppliedonamonthly,quarterlyorannualbasis.Maturitiesgreaterthan10yearsfromtheeffectivedatemaybegroupedtogether.

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F.11—Ags&SoftsGeneralInstructions





Tenors

Thematurities/maturitybucketsincolumnBmaybemodifiedtofitwhatthefirmhasavailableandallshouldbeconsideredasrelativetotheeffectivedateofthissubmission.Providemonthlydataforthefirst12months.Maturitiesgreaterthan12monthsbutlessthan10yearsfromtheeffectivedatemustbesuppliedonamonthly,quarterlyorannualbasis.Maturitiesgreaterthan10yearsfromtheeffectivedatemaybegroupedtogether.

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F.12—CommodityIndicesGeneralInstructions





FirmsshoulddecomposetheirexposurestodiversifiedcommodityindicesintotheirindividualconstituentsandenterthemontheEnergy,MetalsandAgs&Softsworksheetstotheextentpossible.Anyresidualexposurestodiversifiedcommodityindicesshouldbeenteredonthisworksheet.

ThecolumnforLong/ShortCommodityIndicesismeanttocaptureexposurestoindicesthatdonotcontainoutrightcommodityexposuresbutinsteadseektogeneratealphathroughlong/shortcommoditystrategies.

Tenors

Thematurities/maturitybucketsincolumnBmaybemodifiedtofitwhatthefirmhasavailableandallshouldbeconsideredasrelativetotheeffectivedateofthissubmission.Providemonthlydataforthefirst12months.Maturitiesgreaterthan12monthsbutlessthan10yearsfromtheeffectivedatemustbesuppliedonamonthly,quarterlyorannualbasis.Maturitiesgreaterthan10yearsfromtheeffectivedatemaybegroupedtogether.

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F.13—CommoditySpot‐VolGridsGeneralInstructions

Pleaseusefullrevaluation,ifpossible,incalculatingthegridentries.

Ideallystorageandothermodelswhichdonotqualifyforderivativesaccountingtreatmentshouldbeexcludedfromthisschedulewhiletheunderlying(exposureandP/Lcontribution)shouldbeincluded.Incaseswheresuchexclusioniscomputationallydifficultduetosystemconstraints,firmsmayincludetheimpactsofstorageandothermodelsprovideditisimmaterial(i.e.theabsolutevalueoftheincrementalP/Lcontributedbythemodelatbothspotup+75%andspotdown‐75%areboth<$50mm).

Incalculatingthegridentries,shocktheentirevolsurfacebythespecifiedvolshockandshockallspotpricesbythespecifiedspotshock.Recalculatethevalueofalloptionsundertheseconditionsandcomputethechangeinmarketvaluerelativetocurrentmarketvalue.Thischangeinmarketvalueiswhatshouldbeenteredintheappropriategridcells.

DiversifiedCommodityIndices:

ThegridforDiversifiedCommodityIndicesshouldcorrespondtothoseexposureslistedontheCommodityIndicesworksheet.ItshouldnotincludetheimpactfromdiversifiedindexexposureswhichweredecomposedandenteredintoothercolumnsontheEnergy,MetalsorAgs&Softsworksheets.Theimpactfromthesedecomposedindexpositionsshouldbefactoredintotheotherspot‐volgridsonthispage.FirmchoosingtodecomposealldiversifiedcommodityindexexposuresintotheircomponentswouldleavetheSpot‐VolgridforDiversifiedCommodityIndicesblank.

Long/ShortIndexexposures(detailedontheCommodityIndicesworksheet)shouldbeexcludedfromtheSpot‐Volgrids.

Spot/VolatilityShocks:

Thespecificspotandvolshockschosenneednotbethesameacrosseachofthecommoditygrids.

Rowsandcolumnsforadditionalshockvaluesmaybeadded.Unusedrowsorcolumnsshouldbeleftblank.

Volshocksmaybespecifiedaseitherabsolutemovesinvolpointsorasarelative(%)changeinvolatility.

Indicateinthegreencellsaboveeachgridwhichvolatilityunitsarebeingprovided.

Thespotandvolatilityshockslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasreadilyavailablesubjecttothefollowingconstraints:

Spotshocksmustataminimumspan‐75%to+75%.Atleast5distinctspotshockslessthan0%and3distinctspotshocksgreaterthan0%mustbeprovided. Thedifferencebetweenadjacentspotshocksmustnotexceed25%. Ifvolatilityshocksarespecifiedintermsofabsolutemoves,volatilityshocksmustspanatleast0to+50volpts.Atleast4distinctvolatilityshocksgreaterthan0mustbeprovidedandadjacentshocksmustbenomorethan15volpointsapart.

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Ifvolatilityshocksarespecifiedintermsofrelative(%)moves,thentheguidanceabovemustbeconvertedtorelativespaceusingtheatthemoneyspotvolatilitiesontheeffectivedateofthissubmission.

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F.14—SecuritizedProductsNotionalandMVamountsshouldbereported,byratingandvintage,forallrelevantproducts.*MVforCDSshouldbereportedasthenotionalamountminusthecurrentMTMoftheCDS,i.e.thebond‐equivalentmarketvalueoftheCDS.Ratingsinformationreflectscurrentratingandnotoriginalrating.Ifvintageinformationforagivenproductisnotavailable,pleaseenterexposures(MVandnotional)intheunspecifiedvintagebucketfortheappropriaterating.AgencyloansthatareinforwardcontractshouldbeincludedontheAgenciesworksheet,otherwisetheyshouldbeenteredhereunderWholeLoans.Warehouseshouldonlyincludeexposuretowhichthereisfirstlossprotectionprovided.Otherwise,allresidentialwholeloansandcommercialrealestatewholeloansusedfortradingorwarehousedwithoutfirstlossprotectionshouldbeincludedintherespectivewholeloancategories.ForCLOWarehouseexposures,thetradedamountshouldbereported..TheTotalProtectioncolumnshouldcontainthetotalfirstlossprotectionthatisapplicabletothefirm’swarehouseexposures.Thereportedfirstlossprotectioncanbeintheformofcashorassets.Firmsshouldspecifyintheirsupportingdocumentationhowmuchofthisprotectionisintheformofcashvs.assets.AcategoryforEuropeanRMBSisprovided.EuropeanABSandCMBSexposuresshouldnotbeincludedinthiscolumn,butinsteadenteredintheexistingABSandCMBSsectionsofthisworksheet.

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F.15—AgenciesGeneral:

ThetopsectionaboveshouldcontainsensitivitiesforUSAgencysecuritiesonly.

Thelowersectionshouldcontainsensitivitiesfornon‐USAgencieswithoutanexplicitsovereigngovernmentguarantee.ThisincludesbondsaswellasCDS.

Non‐USAgencysecuritiesthatdohaveanexplicitgovernmentguaranteeshouldnotbeenteredhere.TheyshouldbetreatedasgovernmentbondsandenteredontheRatesDV01worksheetand/ortheSovereignCreditworksheetsinaccordancewiththeinstructionsonthosepages.

LoansshouldbeincludedonthisworksheetonlyiftheyareinforwardcontractoriftheloanshaveFHAIDsandareinprocessofbeingreviewedforFHAinsurance.Otherwise,theloansshouldbeenteredontheSecuritizedProductsworksheetunderWholeLoans.

NotethatthespreadsensitivitieshererefertoOptionAdjustedSpread(OAS).

SpreadShocks:

Thespreadwideningslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasreadilyavailablesubjecttothefollowingconstraints:

OASshocksmustataminimumrangefrom100bpstoatleast400bpsandatleast4distinctspotshocksgreaterthan1bpmustbeprovided.

Additionalcolumnsforothershocklevelsmaybeadded.Unusedcolumnsshouldbeleftblank.

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F.16—Munis General:

*MVforCDSshouldbereportedasthenotionalamountminusthecurrentMTMoftheCDS,i.e.thebond‐equivalentmarketvalueoftheCDS.

ThisworksheetshouldcontainexposurestoallMunicipals,regardlessofgeographyandcurrency.

Municipalsrefertolocalgovernmententitiesthatdonothaveanexplicitguaranteefromthesovereigncentralgovernment.IssuerswithanexplicitsovereignguaranteeshouldbetreatedasgovernmentbondsandenteredoneithertheRatesDV01and/ortheSovereignCreditworksheet.

Profit/(Loss)Calculation:

Profit/(Loss)shouldbecalculatedassumingfullrevaluationwherepossible.IncompletingtheProfit/(Loss)section,firmsshouldrunfullrevaluationsassumingallcreditspreads(acrossallgeographiesandproducts‐Munis,Corporates,CDS,etc.)moveagivenamountandthenallocatetheresultingP/Ltothevariousrowsandsectionsacrossallcreditworksheets.

Forexample,firmsshouldrunasinglefull‐revaluationsimulationinwhichallspreadswidenby100%regardlessofgeography/product.P/Lfromthissinglesimulationwouldthenbeallocatedamongthevariousrowsandworksheetscorrespondingtodifferentproducts,countriesandindices.

SpreadShocks:

Profit/(Loss)fromspreadwideningsshouldbeenteredusingeithertherelative(%)sectionortheabsolute(bps)section,butnotinboth.

Columnsforadditionalslidepointsmaybeinserted,howeverdonotremoveormodifyanyoftheexistingslidepointsshowningray.

Tenors:

Inthetermstructuresection,replacethetenorpointsshowningreenwiththosethefirmhasavailable.

Insertadditionaltermstructurerowsasneeded.Unusedrowsshouldbeleftblank.

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F.17—AuctionRateSecurities(ARS) General:

ThisworksheetismeanttocollectbasicsensitivitiesrelatedtoAuctionRateSecurities(ARS).

Tenors:

Inthetermstructuresection,replacethetenorpointsshowningreenwiththosethefirmhasavailable.

Insertadditionaltermstructurerowsasneeded.Unusedrowsshouldbeleftblank.

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F.18—CorporateCredit‐Advanced General:

ReferencetheRegionalGroupingsworksheetforthedefinitionofwhichcountriesareincludedinAdvancedEconomies.

NotionalandMVamountsshouldbereported,byratingandtenor,forallrelevantproducts.

*MVforCDSshouldbereportedasthenotionalamountminusthecurrentMTMoftheCDS,i.e.thebond‐equivalentmarketvalueoftheCDS.

"On‐the‐Run"referstothetwomostrecentseries(i.e.thecurrentandtheprior)oftheindex.

The<Bratingbucketforeachsectionisbrokeninto3categories‐onefordefaultedsecurities,onefornon‐defaultedsecurities,andonefor"DefaultStatusUnknown".The“Defaulted”categoryismeanttocapture(1)defaultedpositionsand(2)forBonds,SingleNameCDS,CoveredBondsandOther/Unspecifiedcategories,positionsthatdonothaveassociatedcreditspreadsensitivities,e.g.distressedpositionsorpositionsforwhichcreditspreadsensitivitiesarenotavailable,regardlessofrating.The"DefaultStatusUnknown"rowismeanttobeusedonlywhenfirmsdonothavetheabilitytocategorizeagivensecurityasbeingdefaultedornot.

Notethatnocreditwideningsensitivitiesarerequestedfor<Bdefaultedsecurities.

TheCDXOtherandItraxxOthercategoriesaremeanttocaptureexposurestoindicesthatarenotexplicitlylistedinthe‘CorporateCredit‐Advanced’tab.Forexample,CDXHiVolexposuresshouldbereportedunderthe“CDXOther”categoryandItraxxHiVolexposuresshouldbereportedinthe“ItraxxOther”category.

Decomposition:

BespokeCDOsandCreditBasketsshouldbedecomposedandincludedbyratingontheappropriateCorporateCreditworksheetunderthesectionfor"SingleNameCDS".

Indices,IndexTranchesandIndexOptionsSHOULDNOTBEDECOMPOSED.Theyshouldbeincludedbycategory(IG,HY,LoanIndex)intheIndices&IndexTranchesandtheIndexOptionssections.

Profit/(Loss)Calculation:

Profit/(Loss)shouldbecalculatedassumingfullrevaluationwherepossible.IncompletingtheProfit/(Loss)section,firmsshouldrunfullrevaluationsassumingallcreditspreads(acrossallgeographiesandproducts‐Munis,Corporates,CDS,etc.)moveagivenamountandthenallocatetheresultingP/Ltothevariousrowsandsectionsacrossallcreditworksheets.

Forexample,firmsshouldrunasinglefull‐revaluationsimulationinwhichallspreadswidenby100%regardlessofgeography/product.P/Lfromthissinglesimulationwouldthenbeallocatedamongthevariousrowsandworksheetscorrespondingtodifferentproducts,countriesandindices.

SpreadShocks:

Profit/(Loss)fromspreadwideningsshouldbeenteredusingeithertherelative(%)sectionortheabsolute(bps)section,butnotinboth.

Thespreadwideningslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasreadily

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availablesubjecttothefollowingconstraints:

Ifusingrelative(%)widenings:

The50%,100%and200%wideningsarerequired.Atleastonewideningmustbe400%orgreater.

Atleast3wideningsgreaterthan200%mustbeprovidedandnotwoadjacentwidening%'smaybemorethan100%apart.

Ifusingabsolute(bps)widenings:

The+50bps,+100bps,+500bpsand+1000bpswideningsarerequired.Atleastonewideningmustbe+2500bpsorgreater.

Atleast3additionalwideningsabove+1000bpsmustbeprovided.Thesemustbespacedsuchthatnotwoadjacentwideningsaremorethan1000bpsapart.

Notethattheguidanceinabsolutespaceisnecessarilyafunctionofspreadlevelsontheeffectivedateandthereforesubjecttochange.Firmsarestronglyencouragedtoproviderelative(%)spreadsensitivities.

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F.19—CorporateCredit‐EmergingMarketsGeneral: EmergingMarketsencompassesallcountriesnotdefinedasAdvancedEconomiesontheRegionalGroupingsworksheet. NotionalandMVamountsshouldbereported,byratingandtenor,forallrelevantproducts. *MVforCDSshouldbereportedasthenotionalamountminusthecurrentMTMoftheCDS,i.e.thebond‐equivalentmarketvalueoftheCDS. "On‐the‐Run"referstothetwomostrecentseries(i.e.thecurrentandtheprior)oftheinde The<Bratingbucketforeachsectionisbrokeninto3categories‐onefordefaultedsecurities,onefornon‐defaultedsecurities,andonefor"DefaultStatusUnknown".The“Defaulted”categoryismeanttocapture(1)defaultedpositionsand(2)forBonds,SingleNameCDS,CoveredBondsandOther/Unspecifiedcategories,positionsthatdonothaveassociatedcreditspreadsensitivities,e.g.distressedpositionsorpositionsforwhichcreditspreadsensitivitiesarenotavailable,regardlessofrating.The"DefaultStatusUnknown"rowismeanttobeusedonlywhenfirmsdonothavetheabilitytocategorizeagivensecurityasbeingdefaultedornot.

Notethatnocreditwideningsensitivitiesarerequestedfor<Bdefaultedsecurities. Decomposition: BespokeCDOsandCreditBasketsshouldbedecomposedandincludedbyratingontheappropriateCorporateCreditworksheetunderthesectionfor"SingleNameCDS".Indices,IndexTranchesandIndexOptionsSHOULDNOTBEDECOMPOSED.Theyshouldbeincludedbycategory(CDX,iTraxx,LoanIndex)intheIndices,IndexTranchesandtheIndexOptionssections. Profit/(Loss)Calculation: Profit/(Loss)shouldbecalculatedassumingfullrevaluationwherepossible.IncompletingtheProfit/(Loss)section,firmsshouldrunfullrevaluationsassumingallcreditspreads(acrossallgeographiesandproducts‐Munis,Corporates,CDS,etc.)moveagivenamountandthenallocatetheresultingP/Ltothevariousrowsandsectionsacrossallcreditworksheets.Forexample,firmsshouldrunasinglefull‐revaluationsimulationinwhichallspreadswidenby100%regardlessofgeography/product.P/Lfromthissinglesimulationwouldthenbeallocatedamongthevariousrowsandworksheetscorrespondingtodifferentproducts,countriesandindices. SpreadShocks: Profit/(Loss)fromspreadwideningsshouldbeenteredusingeithertherelative(%)sectionortheabsolute(bps)section,butnotinboth.Thespreadwideningslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasreadilyavailablesubjecttothefollowingconstraints:

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Ifusingrelative(%)widenings:The50%,100%and200%wideningsarerequired.Atleastonewideningmustbe400%orgreater. Atleast3wideningsgreaterthan200%mustbeprovidedandnotwoadjacentwidening%'smaybemorethan100%apart. Ifusingabsolute(bps)widenings: The+50bps,+100bps,+500bpsand+1000bpswideningsarerequired.Atleastonewideningmustbe+2500bpsorgreater.Atleast3additionalwideningsabove+1000bpsmustbeprovided.Thesemustbespacedsuchthatnotwoadjacentwideningsaremorethan1000bpsapart.Notethattheguidanceinabsolutespaceisnecessarilyafunctionofspreadlevelsontheeffectivedateandthereforesubjecttochange.Firmsarestronglyencouragedtoproviderelative(%)spreadsensitivities.

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F.20—SovereignCredit General: Exposuresrelatedtocentralgovernmentsandquasi‐sovereignsthatareexplicitlyguaranteedbythecentralgovernmentshouldbeincludedinthisworksheetandbucketedunderthecentralgovernmentrating.Sub‐sovereignexposures,suchasthosefrommunicipalities,shouldbereportedontheMunisWorksheet. NotionalandMVamountsshouldbereportedforallrelevantexposures. TheMVandNotionalincolumns(A)and(B)aretobeusedforsovereignbondsandsovereignCDSissuedinthesamecurrencyasthebasecurrencyoftheissuingsovereign.TheratessensitivitiesoftheseinstrumentsarecapturedontheRatesDV01worksheet.TheMVandNotionalincolumns(C)and(D),aretobeusedforsovereignbondsandsovereignCDSdenominatedincurrenciesotherthanthebasecurrencyoftheissuingsovereign.TheratessensitivitiesoftheseinstrumentsarecapturedontheRatesDV01worksheet.CreditspreadsensitivitiesforsovereignCDS(regardlessofcurrency)andforsovereignbondsdenominatedincurrenciesotherthanthebasecurrencyoftheissuingsovereignshouldbeenteredonthisworksheet.TheratessensitivitiesoftheseinstrumentsarecapturedontheRatesDV01worksheet. *MVforCDSshouldbereportedasthenotionalamountminusthecurrentMTMoftheCDS,i.e.thebond‐equivalentmarketvalueoftheCDS. ExposurestoSovXindices(includingoptionsonSovXindices)shouldbedecomposedandenteredontheindividualcountryrows. ReferencethedefinitionsontheRegionalGroupingsworksheetforwhichcountriesshouldbeincludedinrowslabeled"Other". Profit/(Loss)Calculation: Profit/(Loss)shouldbecalculatedassumingfullrevaluationwherepossible.IncompletingtheProfit/(Loss)section,firmsshouldrunfullrevaluationsassumingallcreditspreads(acrossallgeographiesandproducts‐Munis,Corporates,CDS,etc.)moveagivenamountandthenallocatetheresultingP/Ltothevariousrowsandsectionsacrossallcreditworksheets.Forexample,firmsshouldrunasinglefull‐revaluationsimulationinwhichallspreadswidenby100%regardlessofgeography/product.P/Lfromthissinglesimulationwouldthenbeallocatedamongthevariousrowsandworksheetscorrespondingtodifferentproducts,countriesandindices. SpreadShocks: Profit/(Loss)fromspreadwideningsshouldbeenteredusingeithertherelative(%)sectionortheabsolute(bps)section,butnotinboth.Thespreadwideningslistedinthegreencellsmaybemodifiedtofitwhatthefirmhasreadilyavailablesubjecttothefollowingconstraints:Ifusingrelative(%)widenings: The50%,100%,and200%wideningsarerequired.Atleastonewideningmustbe300%orgreater.Atleast2wideningsgreaterthan200%mustbeprovidedandnotwoadjacentwidening%'smaybemorethan100%apart.

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Ifusingabsolute(bps)widenings: The+50bps,+100bps,+500bpsand+1000bpswideningsarerequired.Atleastonewideningmustbe+2000bpsorgreater.Atleast2additionalwideningsgreaterthanorequalto+1500bpsmustbeprovided.Notethattheguidanceinabsolutespaceisnecessarilyafunctionofspreadlevelsontheeffectivedateandthereforesubjecttochange.Firmsarestronglyencouragedtoproviderelative(%)spreadsensitivities.

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F.21—CreditCorrelationGeneral:Thisworksheetismeanttocapturethebasecorrelationsensitivitiesofvariousstructuredcreditindicesbytenor and also notional amounts and MV of these positions.Thepercentagesinthefirstcolumnaredetachmentpointsfortheindextranches,wheretheattachmentpointforeachtrancheisthedetachmentpointoftheprevioustranche.Forexample,fortheIGindex,thesecondtranche(the7%rowofthetable)referstothe3‐7%tranchethatabsorbslossesbeyondthefirst3%andupto7%oflosses.

"Equity"tranchesaredefinedasanytranchehavinga0%attachmentpoint."SuperSenior"tranchesaredefinedasanytranchehavingadetachmentpointof60%orhigher."Mezzanine"tranchesaredefinedasallothertranches;thatisanytranchewithanon‐zeroattachmentpointandadetachmentpointlessthan60%.

Trancheswithnon‐standardattachmentpointsshouldbemappedtotheclosestattachmentpointsofthebest‐matchingindexcategory.MarketValue(MV)andNotionals:*MVforCDSshouldbereportedasthenotionalamountminusthecurrentMTMoftheCDS,i.e.thebond‐equivalentmarketvalueoftheCDS.Thenotional/MVofbespokeCDOsandindicesshouldbesplitbetweenthevariousindicesbaseduponthegeographicallocationofnamesinthebasket.Thenotional/MVofbespokeCDOsandindicesshouldbeassignedtotheclosestcurrentattachmentpoint.LongandShortexposuresshouldbereportedfromtheperspectiveoflongorshorttheunderlyingcredit.ForCDScontracts,thelongandshortdirectionshouldnotbefromtheperspectiveofboughtorsoldcreditprotection,butfromtheperspectiveoflongorshorttheunderlyingcreditexposure.Thus,soldprotectioninaCDSwouldbereportedasalongcreditposition.Theexposurestobereportedineachofthelongandshortcategoriesshouldbenettedagainstlikeexposuresasdescribedbelow:Firmsshouldconductallnettingatthefirm‐widelevel,notatthebusinessordesklevel.MV‐longs,andMV‐shorts,shouldbethesumofexposurestoobligors(issuers)towhichthefirmhasnetMVlong,andnetMVshort,positionsrespectively.ToarriveatthenetLong,ornetShortposition,exposurestothesameobligorshouldbenetted(ifJTDexposurestothatobligorareoffsetting)beforeaggregationacrossobligors.In determining the net exposure to an obligor, structured positions that are perfect replications of each other can be offset to arrive at the net position. For instance, long positions in a collection of tranches that when combined perfectly replicate short positions in another collection of tranches or an index can be offset against each other, if all the positions are to the exact same index and series (e.g. all are exposures to the CDX NA IG series 18). (For instance, a long position in a 10‐15% tranche can be offset against short positions composed of a 10‐12% tranche and a 12‐15% tranche, if all the tranches are on the exact same index and series.) When a perfect replication is not possible, then offsetting is not allowed (except in the case of a residual as described in the next sentence). Where the long and short positions are otherwise equivalent except for a residual, the net amount should show the entire residual exposure.

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Notional‐long,andNotional‐short,shouldsimilarlybethesumofthenotionalvaluesofobligorswithnetlongnotionals,andnetshortnotionals,positionsrespectively.Forindexproducts,fortheexactsameindexfamily(e.g.NAIG),series(e.g.series18),andtranche(e.g.0‐3%),positionsshouldbenettedacrossmaturities.Differenttranchesofthesameindexorseriesmaynotbenetted(except where replication is possible as specified above),differentseriesofthesameindexmaynotbenetted,anddifferentindexfamiliesmaynotbenetted.

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F.22—IDR‐CorporateCreditGeneralSeetheRegionalGroupingstabforthedefinitionofAdvancedEconomies.PleaseconsiderEmergingMarketstoencompassallcountriesnotdefinedasAdvancedEconomiesontheRegionalGroupingsworksheet.

1. Forreportinginthisschedule,exposuresinindexandstructuredproductsmaybe

decomposed/unbundledintotheirunderlyingsinglenameconstituentsifsuchdecompositionisnormallydoneinafirms'internalpositionmeasurementormodelsofdefaultrisk.Seeitem(2)belowonthedecomposition.TheoneexceptiontothisruleisforexposurestotheSovXfamilyofindices.SovXexposuresmustbedecomposedbycountryandenteredontheSovereignCreditworksheet.

2. ThedecompositionofstructuredproductsintotheMVofsinglenameequivalentsshouldbedoneonaJTDequivalentbasis‐e.g.thedifferenceinMVofthestructuredsecurityassumingthatthesinglenamedoesanddoesnotdefault,withzerorecovery.Similarly,thenotionalamountofdecomposedexposuresshouldbethenotionalamountcorrespondingtotheMVequivalentinthepreviousstep(assumingzerorecovery).

3. ThesinglenamepositionsinTableAshouldincludeonlyactualsinglenameproductssuchasbonds,loans,andsinglenameCDS.ThesinglenameexposuresinTablesDandEshouldincludethesinglenameexposuresinTableAandalsoequivalentsinglenameexposuresfromdecompositionofindexorstructuredproducts.IntablesA,DandE,thenetexposureacrossproductstothesameobligorshouldbereportedasspecifiedin(6)below.TheexposuresinTablesA(SingleNameProducts),B(IndexProducts)andC(Other/Unspecified)shouldbeexposureswithoutanydecomposition/unbundlingofindexofstructuredproducts.Ifthefirmwouldliketoprovideanall‐inclusiveviewofexposuresthatincludestheeffectofdecomposed/unbundledindexandstructuredproducts,theseshouldbereportedinthememorandumTablesD‐G.

4. TableBshouldincludeallindex,indextrancheandbespokeproductsbeforeanydecomposition,andTableFshouldincludeindex,indextrancheandbespokeexposuresthatwerenotdecomposedintosinglenameunderlyingexposures.Similarly,TableCshouldincludeallotherproductsbeforeanydecomposition,andTableGshouldincluderemainingotherproductsthatwerenotdecomposed.EmergingMarketCDXandiTraxxexposuresshouldbereportedintheCDXOtherandiTraxxOthercategories,respectively,inTableBandTableF.

5. ExposuresonTablesAthroughCshouldbereportedonlyonce(withnodoublecounting).6. Theexposurestobereportedineachofthelongandshortcategoriesshouldbenettedagainst

likeexposuresasdescribedbelow:Firmsshouldconductallnettingatthefirm‐widelevel,notatthebusinessordesklevel.MV‐longs,andMV‐shorts,shouldbethesumofexposurestoobligors(issuers)towhichthefirmhasnetMVlong,andnetMVshort,positionsrespectively.ToarriveatthenetLongornetShortposition,exposurestothesameobligorshouldbenetted(ifJTDexposurestothatobligorareoffsetting)beforeaggregationacrossobligors.Notional‐long,andNotional‐short,shouldsimilarlybethesumofthenotionalvaluesofobligorswithnetlongnotionals,andnetshortnotionals,positionsrespectively.Forindexproducts,fortheexactsameindexfamily(e.g.NAIG),series(e.g.series18),andtranche(e.g.0‐3%),positionsshouldbenettedacrossmaturities.Differenttranchesofthesameindexorseriesmaynotbenetted,differentseriesofthesameindexmaynotbenetted,anddifferentindexfamiliesmaynotbenetted.

7. MVforcreditderivatives(CDSandoptions)shouldbereportedasthenotionalamountminusthecurrentmark‐to‐marketvalue(MTM)ofthederivative‐‐i.e.reportinbondequivalentterms.

CDSshouldbereportedasthenotionalamountminusthemark‐to‐marketvalueoftheCDS.

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Optionsshouldbereportedonthebasisofbondequivalentmarketvalue,andnotintermsoftheMTMoftheoption.Theobjectiveofthereportedmarketvalueisthebondequivalentamountfordeterminationofthejump‐to‐defaultlossintheeventofanobligordefault.Specifically,bondoptionsshouldbereportedasspecifiedin(i),orifthatisnotfeasiblethenasinthealternativemethod(ii).Inbothcases,theLong/Shortreportingshouldbeonthebasisoflongorshorttheunderlyingcreditexposure(i.e.notboughtvs.soldoption).(i)AnOptiononabondshouldbereportedasfollows.SoldPut:MVofexposure=Strike–OptionPremiumBoughtPut:MVofexposure=OptionPremium–StrikeSoldCall:MVofexposure=–OptionPremiumBoughtCall:MVofexposure=OptionPremiumWherethestrikeisintermsofthebondprice(nottheyield).(ii)Asanalternative,ifthefirm’sdatasystemscannotreportasabove,thenthefirmshouldreportusingthedeltaadjustednotionalplustheoptionvalue.

8. Ifunabletoseparateintoemergingmarketsandsovereigns,thenreportundercorporatecredit

advancedeconomies.Ifunabletoreportseparately,clearlyindicatethisinsupportingdocumentation.

9. Theexposuresinthistabshouldincludeonlycorporatecredit.OtherstructuredproductsreportedontheSecuritizedProductsworksheet(i.e.RMBS,CMBSorABS)shouldnotbereportedonthistab.

10. LongandShortexposuresshouldbereportedfromtheperspectiveoflongorshorttheunderlyingcredit.ForCDScontracts,thelongandshortdirectionshouldbefromtheperspectiveoflongorshorttheunderlyingcreditexposure,andnotboughtorsoldcreditprotection.Thus,soldprotectioninaCDSwouldbereportedasalongcreditposition.Forbondoptions,thelongorshortdirectionshouldbereportedonthebasisoflongorshorttheunderlyingcreditexposure,andnotboughtorsoldoptions.

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F.23—IDR‐JumptoDefaultGeneral:ThedecompositionofindexandstructuredproductsintosinglenameequivalentsshouldbedoneonaJTDequivalentbasis‐i.e.thedifferenceinMVofthestructuredsecurityassumingthatthesinglenamedoesanddoesnotdefault,withzerorecovery.

Pleaseenterinformationforanyissuerforwhichthejumptodefault(usingthefirm'sstandardrecoveryassumptions)exceeds$25MM.Exposureslistedinthistableshouldincludedebtandequityrelatedinstruments,forcorporateexposures,includingexposurestostandalonenonpubliccompanies.ExposurestoSovereigns,Agencies,Munis,ARS,andcounterpartycreditexposuresfromderivativecontractsshouldnotbereportedhere.Insertadditionalrowsifneeded.Unusedrowsshouldbeleftblank.TheTotalssectionatthebottomshouldbethefirm‐widetotalJTDbyratingforallissuers,notjustthoselistedhere.Exposuresshouldincludeunbundledexposuresfromindexandstructuredproductsifsuchunbundlingisusedinthereportingfirm'sexposuresmeasurementorinternalmodels.Ifunbundledexposuresareincluded,clearlyindicatethisinthefirm'ssupportingdocumentation.

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F.24—PrivateEquityGeneral:ThisworksheetismeanttocapturecarryvalueofPrivateEquityinvestmentsacrossregionsandaggregatedbyGICScode.Realestate,minorityinterestinhedgefunds,fundseedcapital,infrastructurefundsandinvestmentswheretheGICScodeisnotclearlydefinedshouldbeenteredintheseparatesectionsbelowtheDatabyGICScodesection.Therowlabelled"UnspecifiedSector/Industry"ismeanttocapturethecarryingvalueofinvestmentsnoteasilycategorizedintooneofthespecifiedindustriesandsectors,investsinseveralsectorsandforwhichthereisinsufficientdetailtobreakoutthecarryingvalueoftheholdingsintocomponentsectors.Anexamplewouldbeafundthatinvestsinseveralsectorsandforwhichthereisinsufficientdetailtobreakoutthecarryingvalueoftheholdingsintocomponentsectors.UnfundedCommitmentsAllunfundedcommitmentbalancesareexpectedtobeincluded,regardlessofaccountingandregulatoryapproachesusedbythefirms.Thisapplieswhethertheinstitutionholdsalimitedorgeneralpartnerposition.RealEstateCategoriesCore/Existingrealestateinvestmentstypicallyinvolvethemanagementofdevelopedorexistingpropertieswheretheprimarypurposeistogeneratestablecashflows.Incomeistheprimaryinvestmentobjectiveofthistype.Opportunistic/Developmentismeanttocapturerealestateinvestmentsthatareinthedevelopingstageorinvolvemajorpropertyrestructuringfromoneprimarypurposetoadifferentprimarypurpose.Capitalappreciationwithincomeistheprimaryobjective.RegionalDefinitionsWesternEurope:Austria,Belgium,France,Germany,Greece,Ireland,Italy,Luxembourg,Monaco,Netherlands,Portugal,Spain,Sweden,Switzerland,UK.OtherDevelopedMarkets:All"AdvancedEconomies"definedontheRegionalGroupingsworksheet,excludingthoseinWesternEuropedefinedabove.EmergingMarkets:Allothercountries.UnspecifiedGeography:Useincaseswherecurrentsystemsdonotallowforthegeographicalsourcetobeeasilyidentified.

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F.25—OtherFairValueAssetsGeneral:Thisworksheetismeanttocapturethefairvalueofinvestmentsotherthanprivateequitywhicharesubjecttofair‐valueaccountingaggregatedbyGICScode.TheseentriesshouldbebrokenoutintowhethertheyareequityordebtinstrumentsandwhethertheyareUS‐basedornot.Investmentswherethesector/industryisnotclearlydefinedshouldbeenteredontheUnspecifiedSector/Industryline.

TaxcreditinvestmentinformationshouldbeenteredintheseparateTaxCreditssectionbelowtheDatabyNAICScodesection.DefinitionofOtherFairValueAssets:Pleaseseethegeneralinstructionsforthisschedule.

RealEstateCategoriesCore/Existingrealestateinvestmentstypicallyinvolvethemanagementofdevelopedorexistingpropertieswheretheprimarypurposeistogeneratestablecashflows.Incomeistheprimaryinvestmentobjectiveofthistype.Opportunistic/Developmentismeanttocapturerealestateinvestmentsthatareinthedevelopingstageorinvolvemajorpropertyrestructuringfromoneprimarypurposetoadifferentprimarypurpose.Capitalappreciationwithincomeistheprimaryobjective.BOLI,COLI,andStableValueWraps:Themaximuminstantaneous(post‐shock)amountreceivableunderwrappedBOLI/COLIpoliciesowned(directlyorindirectlythroughtheinsurancecarrier)byBHCsandIHCshouldbeenteredontherowlabeled"BOLI,COLIandStableValueWraps"inthecolumnforUSDebt.

Similarly,themaximuminstantaneous(post‐shock)amountpayableunderwrapswrittenbyBHCsandIHCsshouldbeenteredinthesamecell.Theseshouldbeenteredasanegativeasset(i.e.anegativefairvalue).

FirmsthathaveacombinationofunwrappedseparateaccountCOLI/BOLI,writtenstablevaluewrapsandpurchasedstablevaluewrapsshouldnettherespectiveentriesandentertheminthesamecell.

InnocaseshouldexposuresrelatedtoBOLI,COLIorstablevaluewrapsonthesepoliciesbeenteredanywhereelseinthisschedule.

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ScheduleG—PPNRA.GeneralTechnicalDetailsThissectionprovidesgeneralguidanceanddatadefinitionsforthePPNRSchedule.ThePPNRScheduleconsistsoffourworksheets:PPNRSubmissionCoverSheet,PPNRSubmissionworksheet,PPNRNetInterestIncome(NII)worksheet,andPPNRMetricsworksheet. Thefourworksheetsaredescribedindetailbelow.Certaincommonlyusedtermsandabbreviations,includingPPNR,aredefinedattheendofthissection.OtherdefinitionsareembeddedintheSchedule. UndefinedtermsshouldbeassumedtofollowFRY‐9Cdefinitions.IncaseswhereFRY‐9Cguidanceisunavailable,BHCsandIHCsshoulduseinternaldefinitionsandincludeinformationaboutthedefinitionsusedintheSupportingDocumentationsubmittedforFRY‐14Aprojections.AlllineitemdefinitionsandidentificationnumbersareconsistentbetweentheFRY‐14AandFRY‐14Qanddatashouldbereportedaccordingly. WherespecificFRY‐14PPNRand/orFRY‐9Cguidanceexistsforbusinesslineand/orotheritems,providebothhistoricalandprojectionsdataconsistentlythroughouttimeinaccordancewiththeinstructions.IfaBHCorIHCisunabletoconsistentlyadheretodefinitions,itcanrequestanexemption.IfaBHCorIHChastocorrectanerrorinpriorfilings,theBHCorIHCshouldrestateandresubmitgoingbacktofirstquarterof2009.Allquarterlyfiguresshouldbereportedonaquarterlybasis(notonayear‐to‐datebasis).Providedataforallnon‐shadedcells,exceptwherethedatarequestedisoptional.TheBHCorIHCisnotrequiredtopopulatecellsshadedgray.Iftherearenodataforcertainnumericalfields,thenpopulatethefieldswithazero(0).IfthefieldsareoptionalandaBHCorIHCchoosesnottoreportdata,leavethefieldsblank.Fornumericalfieldsrequestinginformationinpercent(e.g.averageratesearned),usestandardformatwhere.01=1%.Donotusenonnumericalcharactersinnumericalfields.IftheBHCorIHChasnoinformationtoreportinthedescriptivefieldsPPNRSubmissionfootnotes4,7,9,25or27,PPNRNIIfootnotes2or3,orPPNRMetricfootnotes14,19,20,21,23,31,32,or34,thenpopulatethefieldswith“N/A.”Donotleavedescriptivefieldsblank.TheBHCsandIHCsneedtoensurethat(a)revenuesandexpensesreportedalwaysreconcileonanetbasistothefollowingasdefinedintheFRY‐9C,ScheduleHI,item3plusScheduleHI,item5.mlessScheduleHI,item7.eplusScheduleHI,item7.c.(1)lessPPNRSubmissionworksheet,item40,ValuationAdjustmentforfirm’sowndebtunderfairvalueoption(FVO),(b)NetInterestIncomeisequalbetweenthePPNRSubmissionandPPNRNetInterestIncomeworksheets,andthat(c)AveragebalancesreportedforthepurposesofthePPNRNetInterestIncomeworksheetequalFRY‐9C,ScheduleHC‐K,item5foritem17,TotalAverageAssetBalancesandanaverageofFRY‐9C,ScheduleHC,item21foritem40,TotalAverageLiabilityBalances.BHCsandIHCsshouldfollowthesameguidancewhenrestatingdatatocorrectanyerrorseitherinternallyidentifiedoridentifiedbytheFederalReserve.MaterialityThresholdsAllBHCsandIHCsshouldcompleteallthreeworksheets,includingtheNetInterestIncomeworksheetandtheNetInterestIncomeworksheetsectionofthePPNRMetricsworksheet.

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ReportdataforallquartersforagivenbusinesssegmentinthePPNRSubmissionandPPNRMetricsworksheetsifthetotalrevenueofthatbusinesssegment(calculatedasthesumofnetinterestincomeandnoninterestincomeforthatsegment),relativetototalrevenueoftheBHCorIHCexceeded5percentinanyofthemostrecentfouractualquartersasprovidedbytheBHCorIHCintheFRY‐14Q.Ifinternationalrevenueexceeded5percentoftotalrevenueinanyofthemostrecentfouractualquartersasprovidedbytheBHCorIHCintheFRY‐14Q,provideregionalbreakouts(PPNRMetricsworksheet,lineitems42A‐42D)forallquartersinthePPNRMetricsworksheet.IfInternationalRetailandSmallBusinessrevenuesexceeded5percentofTotalRetailandSmallBusinessSegmentrevenueandTotalRetailandSmallBusinessSegmentrevenueswerematerialbasedonanapplicable5percentthresholdinanyofthemostrecentfouractualquartersasprovidedbytheBHCorIHCintheFRY‐14Q,providerelatedmetricsdataforallquarters(PPNRMetricsworksheet,lineitem10).NetInterestIncome:PrimaryandSupplementaryDesignationBHCsandIHCsareexpectedtoreportalllineitemsforallworksheetssubjecttoapplicablethresholdsasdetailedintheinstructions. Inaddition,forallBHCsandIHCsthatarerequiredtocompletethePPNRNetInterestIncomeworksheet,thePPNRNetInterestIncomeworksheetshouldbedesignatedas“PrimaryNetInterestIncome.”ThePPNRSubmissionworksheetforsuchBHCsandIHCswillbe“SupplementaryNetInterestIncome”bydefault.ForBHCsandIHCsthatarenotrequiredtocompletethePPNRNetInterestIncomeworksheetthePPNRSubmissionworksheetshouldbedesignatedas“PrimaryNetInterestIncome.”PPNRNetInterestIncomeWorksheetwillbe“SupplementaryNetInterestIncome”forsuchBHCsandIHCsbydefault,butisoptional.Notethatthisdesignationwouldreferonlytothenetinterestincomeportionoftheworksheets.B. CommonlyUsedTermsandAbbreviationsCreditcards:Unlessspecifiedotherwise,usethesamedefinitionsasprovidedintheFRY‐14MCreditCardschedule.DomesticRevenues:RevenuesfromtheUSandPuertoRicoonly.NotethatthisdiffersfromthedefinitionofdomesticontheFRY‐9C.InternationalRevenues:InternationalRevenuesshouldbethosegeneratedfromtransactionswithclientsthataredomiciledoutsidetheU.S.andPuertoRico.Pre‐provisionNetRevenue(PPNR):Sumofnetinterestincomeandnoninterestincomenetofnoninterestexpense,withcomponentsexpectedtoreconcilewiththosereportedintheFRY‐9Cwhenadjustedforcertainitems.AspresentedonthePPNRschedules,theadjustmentsincludeexclusionsofValuationAdjustmentforBHC’sandIHC’sdebtunderfairvalueoption(FVO),goodwillimpairment,lossresultingfromtradingshockexercise(ifapplicable),aswellasadjustmentsrelatedtooperationalriskexpenserequiredforPPNRpurposes.Fortherelateditems,referencethePPNRSubmissionworksheetandrelatedinstructionsforthelineitems29,40‐42. GainsandlossesonAFSandHTMsecurities,includingotherthantemporaryimpairments(OTTI)estimates,arenotacomponentofPPNR.Allrevenueandexpensesrelatedtomortgageservicingrights(MSRs)arecomponentsofPPNRtobereportedintheassociatednoninterestincomeandnoninterestexpenselineitemsonthePPNRschedule.TotalLoansHeldforSaleandLoansAccountedforundertheFairValueOption(asdefinedintheFRY‐14A,ScheduleA.1.a,lineitem57)areexcludedonlyiftheyarearesultofamarketshockexercise.OtherLosses(as

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definedintheFRY‐14A,ScheduleA.1.a,lineitem66)areexcludedasapplicableandareexpectedtobeinfrequent.Revenues:Sumofnetinterestincomeandnoninterestincomeadjustedforselectedexclusions,asreportedonlineitem27ofthePPNRSubmissionworksheet.Run‐OfforLiquidatingBusinesses:operationsthatdonotmeetanaccountingdefinitionof“discontinuedoperations”butwhichtheBHCorIHCintendstoexit.InordertofacilitatethecalculationofthepropernetinterestincomeontheNetInterestIncomeworksheet,reporttotalbalancesrelatedtodiscontinuedoperationsasanegativenumberin“Other”inlines15and38andthecorrespondingaverageratesearnedinlines31and46.BHCsandIHCsshouldprovideadetailedlistingofthetype(bycorrespondinglineitemontheNetInterestIncomeworksheet)ofsuchbalancesreportedasnegativeitemsin“Other”andthecorrespondingratesinthesubmissiondocumentation.

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G.1—PPNRSubmissionWorksheetThePPNRSubmissionworksheetisbasedonstandardizedreportingofeachcomponentofPPNR,usingbusinesssegment/lineviewsasdiscussedbelow. IfthereisadifferencebetweentheFRY‐14standardizedreportingrequirementsandtheBHCs’orIHCs’internalviewusedforinternalcapitalplanningpurposes,theBHCsorIHCsshouldreportdatainthePPNRworksheetsonlyperthestandardizedFRY‐14requirements.TheBHCsandIHCsareencouragedtoprovidedataconsistentwiththeirowninternalviewinsupportingdocumentationaccompanyingtheFRY‐14AProjectionsanddiscussdatadifferences.IftheBHCsandIHCsareunabletocomplywiththerequirements,theycanrequestatemporaryexemption.ThisguidanceappliestoPPNRSubmissionandPPNRNetInterestIncomeworksheets.PleaseseeguidanceforPPNRMetricsinthePPNRMetricssectionoftheinstructions.RevenueComponentsRevenueitemsaredividedintonetinterestincomeandnoninterestincome,withtotalsexpectedtoreconcilewithwhatwouldbereportedintheFRY‐9CwhenadjustedforValuationAdjustmentforfirm’sowndebtunderfairvalueoption(FVO),lossresultingfromtradingshockexercise(ifapplicable),andoperationalriskexpenseadjustmentsrequiredforPPNRpurposes.Forrelateditems,referencePPNRSubmissionworksheetandrelatedinstructionsforthelineitems29,40,and42.InthedocumentationsupportingtheFRY‐14APPNRsubmission,BHCsandIHCsareencouragedtodiscussoperationalrisklossesreportedascontra‐revenuesforFRY‐9CpurposesandtheirreallocationtoOperationalRiskexpenseinaccordancewiththePPNRinstructions.DonotreportgainsandlossesonAFSandHTMsecurities,includingotherthantemporaryimpairments(OTTI)estimates,asacomponentofPPNR.Reportallitemseitherinthesegmentsthatgeneratedthemand/orsegmentsthattheywereallocatedtothroughfundstransferpricing(FTP). NetinterestincomeallocationtothedefinedsegmentsshouldbebasedonthecostoffundsapplicabletothosesegmentsasdeterminedbytheBHCorIHC.SupportingdocumentationregardingmethodologyusedshouldbeprovidedinthememorequiredwiththeFRY‐14AProjections. Businesssegmentsandrelatedsub‐componentsdonothavetocorrespondtobutmayincludecertainlineitemsontheFRY‐9Cschedule. TheBusinesssegmentstructureoftheworksheetisdefinedbyproduct/service(e.g.,creditcards,investmentbanking)andclienttype(e.g.,retail,mediumsizebusinesses);itisnotdefinedbyclientrelationship.BHCsandIHCsareencouragedtonotewhichlineitemscontainDebtValuationAdjustments(DVA)and/orCreditValuationAdjustments(CVA)(note:thesearedifferentfromfairvalueadjustmentontheBHC'sorIHC’sowndebtundertheFairValueOption(FVO)whichisexcludedfromPPNRbydefinition),includingamountsifavailable,andwhetherthesearegeneratedwiththepurposetogenerateprofit.Allrevenueandexpensesrelatedtomortgageservicingrights(MSRs)andtheassociatednoninterestincomeandnoninterestexpenselineitemsshouldbeevolvedovertheninequarterprojectionhorizons,andreportedinthepreprovisionnetrevenue(PPNR)schedules. Gainsorlossesonloansheldforsaleandloansaccountedforunderthefairvalueoption(HFS/FVOloans)shouldbereportedintherelevantitemsonthePPNRSubmissionWorksheetinaccordancewiththeBHC’sandIHC’snormalaccountingprocedures.BusinessSegmentDefinitionsSubjecttoapplicablethresholds,reportingofnetinterestincomeandnoninterestincomeitemsisrequestedbasedonabusinesssegment/lineview,withbusinesssegments/linesdefinedas

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follows:

Asgeneralguidance,smallbusinessclientsarethosewithannualsalesoflessthan$10million.Business,government,not‐for‐profit,andotherinstitutionalentitiesofmediumsizearethosewithannualsalesbetween$10millionand$2billion.Largebusinessandinstitutionalentitiesarethosewithannualsalesofmorethan$2billion.IfaBHC’sorIHC’sinternalreportingfortheseclientsegmentsdeviatesfromthisgeneralguidance,continuetoreportaccordingtointernaldefinitionsanddescribehowtheBHCorIHCdefinedtheseorsimilarclientsegmentsandthescopeofrelatedbusinesssegments/lines(internalandthosedefinedintheFRY‐14PPNRworksheets)inthememosupportingtheFRY‐14Asubmission.

ABHCorIHCmayincludepublicfundsinthesegmentreportingbasedonthetypeoftherelationshipthatexistsbetweenthepublicfundsandtheBHCorIHC.Forexample,iftheBHCorIHCactsinacustodialoradministrativecapacity,theBHCorIHCmayreportpublicfundsinInvestorServices.IfaBHCorIHCisinvolvedinthemanagementoffunds,theBHCorIHCmayreportthepublicfundsinInvestmentManagement.

NetInterestIncomebyBusinessSegment(unlessspecifiedotherwise,allnumbersareglobal).

Lineitem1 RetailandSmallBusinessThisitemisashadedcellandisderivedfromthesumofitems1Aand1G.Foritems1Athrough1F,domesticincludesU.S.andPuertoRicoonly.Reportintheappropriatesub‐itemallnetinterestincomerelatedtoretailandsmallbusinessbankingandlending,includingbothongoingaswellasrun‐offandliquidatingbusinesses1F

9.ExcludeanyrevenuesrelatedtoWealthManagement/PrivateBanking(WM/PB)clientseveniftheyareinternallyclassifiedasretail.BHCsandIHCsmayincludesuchrevenuesinWM/PBlineitemsinstead.IncaseofWM/PBmortgagerepurchasecontra‐revenues,ifany,reportthemasoutlinedinthePPNRSubmissionworksheet.Lineitem1A DomesticThisitemisashadedcellandisderivedfromthesumofitems1Bthrough1F.Lineitem1B CreditandChargeCardsReportnetinterestincomefromdomesticBHCandIHCissuedcreditandchargecardstoretailcustomersincludingthosethatresultfrompartnershipagreements.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactions.Excludethefollowing: otherunsecuredborrowinganddebitcards; smallbusinesscards(reportinOtherRetailandSmallBusinessLending,item1F); wholesaleandcommercialcards(reportinTreasuryServices,item8). CardstoWealthManagement/PrivateBankingclients(reportinWealthManagement/Private

Banking,line19B)Lineitem1C MortgagesReportnetinterestincomefromdomesticresidentialmortgageloansofferedtoretailcustomers.Lineitem1D HomeEquityReportnetinterestincomefromdomestichomeequityloansandlinesofcredit(HELOANs/HELOCs)providedtoretailcustomers. 9 See“CommonlyUsedTermsandAbbreviations”forthedefinition.

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Lineitem1E RetailandSmallBusinessDepositsReportnetinterestincomefromdomesticbranchbankinganddeposit‐relatedproductsandservicesprovidedtoretailandsmallbusinesscustomers.Includedebitcardrevenuesinthisline.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactions.Thisitemdoesnotincludeanylendingrevenues.Lineitem1F OtherRetailandSmallBusinessLendingReportnetinterestincomefromotherdomesticretailandsmallbusinesslendingproductsandservices.Theseinclude,butarenotlimitedto,smallbusinesscards,loans,autoloans,studentloans,orpersonalunsecuredcredit.AlldomesticlendingrevenuesnotcapturedinCreditCards,Mortgages,andHomeEquityshouldbereportedhere.Lineitem1G InternationalRetailandSmallBusinessReportnetinterestincomefromretailandsmallbusinessgeneratedoutsideoftheU.S.andPuertoRico.Includes,butisnotlimitedto,allinternationalrevenuesfromcredit/charge/debitcards,mortgages,homeequity,branchanddepositservices,auto,student,andsmallbusinessloans.Lineitem2 CommercialLendingReportnetinterestincomefromlendingproductsandservicesprovidedtobusiness,government,not‐for‐profit,andotherinstitutionalentitiesofmediumsize,aswellastocommercialrealestateinvestorsandowners.Excludetreasury,deposit,andinvestmentbankingservices.Lineitem3 InvestmentBankingReportintheappropriatesub‐itemallnetinterestincomegeneratedfrominvestmentbankingservicesprovidedtobusinessandinstitutionalentitiesofbothmediumandlargesize.Includerevenuesfromnewissuesecuritizationsforthirdparties.Businesslinesaredefinedasfollows: Advisory:Corporatestrategyandfinancialadvisory,suchasservicesprovidedformergersand

acquisitions(M&A),restructuring,financialriskmanagement,amongothers. EquityCapitalMarkets:Equityinvestmentbankingservices(e.g.,IPOsorsecondaryofferings). DebtCapitalMarkets:Generallynon‐loandebtinvestmentbankingservices. Syndicated/CorporateLending:Lendingcommitmentstolargercorporateclients,including

eventortransaction‐drivenlending(e.g.,tofinanceM&A,leveragedbuyouts,bridgeloans).Generally,allsyndicatedlendingoriginationactivityshouldbeincludedhere(notinCommercialLending).

Lineitem4 MerchantBanking/PrivateEquityReportnetinterestincomefromprivateequity(PE),realestate,infrastructure,andprincipalinvestmentsinhedgefunds.Mayincludeprincipalinvestmentrelatedtomerchantbankingactivities.Lineitem5 SalesandTradingThisitemisashadedcellandisderivedfromthesumofitems5Aand5B.Reportintheappropriatesub‐itemallnetinterestincomegeneratedfromsalesandtradingactivities.AnyinterestincomefromcarryshouldbeincludedinSales&Tradingnetinterestincome.Mayincludeshort‐termtradingmadeforpositioningorprofitgenerationrelatedtotheSales&Tradingactivitiesinthislineitem.Lineitem5A PrimeBrokerageReportnetinterestincomegeneratedfromsecuritiesfinancing,securitieslending,custody,clearing,settlement,andotherservicesforhedgefundsandotherprimebrokerageclients.Includeallprimebrokeragerevenuesinthislineandnotinanyotherbusinesssegments/lines.

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Lineitem5B OtherReportnetinterestincomefromallotherSales&Tradingactivities.Theseinclude,butarenotlimitedto: Equities:Commissions,fees,dividends,andtradinggainsandlossesonequityproducts.Exclude

primebrokerageservices. FixedIncome:Commissions,fees,andtradinggainsandlossesonrates,credit,andotherfixed

incomeproducts.Excludeprimebrokerageservices. Rates:GenerallyU.S.Treasury,investmentgradesovereign,U.S.agencybonds,andinterest

rateswaps.RatesrevenuesrelatedtotradingactivitiesoutsideoftheSales&TradingdivisionneednotbeincludedintotheRatestradinginthissection,butdescribewheretheyareallocatedintheBHC’sorIHC’sdocumentationsupportingtheFRY‐14Asubmission.

Credit:Generallycorporatebonds,loans,ABS,muni,emergingmarkets,CDS.IfaBHCorIHCclassifiessomeofthecreditrelatedtrading(suchasdistresseddebt)insegmentsotherthan“Sales&Trading,”itcancontinuetoreportitasinitsinternalfinancialreportsbutindicatewheretheyarereportedinthedocumentationsupportingFRY‐14Asubmission.

Other:e.g.,FX/Currenciesifnotincludedabove. Commodities:Commissions,fees,andtradinggainsandlossesoncommodityproducts.Exclude

primebrokerageservices.Lineitem6 InvestmentManagementReportallnetinterestincomegeneratedfrominvestmentmanagementactivities.Businesslinesaredefinedasfollows: AssetManagement:Professionalmanagementofmutualfundsandinstitutionalaccounts.

Institutionalclientsmayincludeendowments,not‐for‐profitentities,governments,andothers. WealthManagement/PrivateBanking(WM/PB):Professionalportfoliomanagementand

advisoryservicesforindividuals.Individualclientsmaybedefinedasmassmarket,affluent,andhighnetworth.Activitiesmayalsoincludetaxplanning,savings,inheritance,andwealthplanning,amongothers.MayincludedepositandlendingservicestoWM/PBclientshereandretailbrokerageservicesforbothWM/PBandnonWM/PBclients.

Lineitem7 InvestmentServicesReportallnetinterestincomegeneratedfrominvestmentservicing.Excludeprimebrokeragerevenues.Businesslinesaredefinedasfollows: AssetServicing:Custody,fundservices,securitieslending,liquidityservices,collateral

management;andotherassetservicing.Includerecordkeepingservicesfor401Kandemployeebenefitplans,butexcludefundingorguaranteeproductsofferedtosuchclients.

IssuerServices:Corporatetrust,shareownerservices,depositoryreceipts,andotherissuerservices.

OtherInvestmentServices:Clearingandotherinvestmentservices.Lineitem8 TreasuryServicesReportallnetinterestincomefromcashmanagement,globalpayments,workingcapitalsolutions,depositservices,andtradefinancefrombusinessandinstitutionalentitiesofbothmediumandlargesize.Includewholesale/corporateandcommercialcards.Lineitem9 InsuranceServicesReportallnetinterestincomefrominsuranceactivitiesincluding,butnotlimitedto,individual(e.g.,life,health),autoandhome(propertyandcasualty),titleinsuranceandsuretyinsurance,andemployeebenefitsinsurance.

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Lineitem10 Retirement/CorporateBenefitProductsReportpremiums,fees,andothernetinterestincomegeneratedfromretirementandcorporatebenefitfundingproducts,suchasannuities,guaranteedinterestproducts,andseparateaccountcontracts.Thefees/revenuesthatmayberecordedherearegenerallygeneratedasaresultoftheBHCorIHCacceptingrisksrelatedtoactuarialassumptionsortheestimationofmarketreturnswhereguaranteesoffutureincomestreamshavebeenmadetoclients.Lineitem11 Corporate/OtherReportnetinterestincomeassociatedwith: Capitalandasset‐liabilitymanagement(ALM)activities.Amongotheritems,mayinclude

investmentsecuritiesportfolios(butnotgainsandlossesonAFSandHTMsecurities,includingOTTI,astheseareexcludedfromPPNRbydefinition).Alsomayincludeprincipalinvestmentsupportingthecorporatetreasuryfunctiontomanagefirm‐widecapital,liquidity,orstructuralrisks.

Run‐offorliquidatingbusinesses 2F

10(butexcluderetailandsmallbusinessrun‐off/liquidatingbusinesses,perRetailandSmallBusinesssegmentdefinition)

Non‐financialbusinesses(e.g.,publishing,travelservices) Corporatesupportfunctions(e.g.,HumanResources,IT) Othernon‐corerevenuesnotincludedinothersegments(e.g.,intersegmenteliminations).Lineitem12 OptionalImmaterialBusinessSegmentsBHCsandIHCshavetheoptiontoreportlessmaterialbusinesssegmentrevenueinOptionalImmaterialBusinessSegments. Thereportedtotaloptionalimmaterialbusinesssegmentrevenuerelativetototalrevenuecannotexceed10percent.Ifthetotalimmaterialbusinesssegmentrevenuerelativetototalrevenuewouldbegreaterthan10percentinanyofthemostrecentfouractualquartersasprovidedbytheBHCorIHCintheFRY‐14Q,reportdataforthelargestbusinesssegmentamongtheimmaterialbusinesssegmentsforallquartersinthePPNRSubmissionandPPNRMetricsworksheetssuchthattheamountreportedintheOptionalImmaterialBusinesssegmentslineitemsdoesnotexceed10percent. BHCsandIHCsshouldprovidecomprehensiveinformationinthesupportingdocumentationonwhichbusinesssegmentsareincludedintheOptionalImmaterialBusinesssegmentslineitemsinbothFRY‐14QandFRY‐14Aschedules,theirrelativecontributiontothetotalsreportedinbothschedulesandthemannerinwhichtherevenueswereprojectedforFRY‐14Apurposes.ListsegmentsincludedinthislineiteminFootnote7.Lineitem13 TotalNetInterestIncomeThisitemisashadedcellandisderivedfromthesumofitems1,2through5,and6through12.Lineitem13shouldequalitem49onPPNRNIIWorksheet,ifcompleted.NoninterestIncomebyBusinessSegment(unlessspecifiedotherwise,allnumbersareglobal).Lineitem14 RetailandSmallBusinessThisitemisashadedcellandisderivedfromthesumofitems14Aand14T.Lineitem14ADomesticThisitemisashadedcellandisderivedfromthesumofitems14B,14E,14O,and14S.Reportintheappropriatesub‐itemalldomesticrevenuesrelatedtoretailandsmallbusinessbankingandlending,includingbothongoingaswellasrun‐offandliquidatingbusinesses3F

11.Exclude

10See“CommonlyUsedTermsandAbbreviations”forthedefinition.

11See“CommonlyUsedTermsandAbbreviations”forthedefinition.

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anyrevenuesrelatedtoWealthManagement/PrivateBanking(WM/PB)clientseveniftheyareinternallyclassifiedasretail.BHCsandIHCsmayincludesuchrevenuesinWM/PBlineitemsinstead.IncaseofWM/PBmortgagerepurchasecontra‐revenues,ifany,reportthemasoutlinedinthePPNRSubmissionworksheet.Lineitem14BCreditandChargeCardsThisitemisashadedcellandisderivedfromthesumofitems14Cand14D.Reportintheappropriatesub‐itemallnoninterestincomegeneratedfromdomesticBHCandIHCissuedcreditandchargecardstoretailcustomersincludingthosethatresultfromapartnershipagreements.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactionsandcorporatecards.Excludethefollowing: otherunsecuredborrowinganddebitcards; smallbusinesscards(reportinOtherRetailandSmallBusinessLending,item14S); wholesaleandcommercialcards(reportinTreasuryServices,item21); CardstoWealthManagement/PrivateBankingclients(reportinWealth

Management/PrivateBanking,line19B)Lineitem14CCreditandChargeCardInterchangeRevenues‐GrossReportinterchangerevenuesfromalldomesticBHCandIHCissuedcreditandchargecardsincludingthosethatresultfromapartnershipagreement.Reportbeforeanycontra‐revenues(e.g.,rewards,etc.).Lineitem14DOtherReportallotherfeeincomeandrevenueearnedfromcreditandchargecardsnotcapturedinline14C.Lineitem14EMortgageandHomeEquityThisitemisashadedcellandisderivedfromthesumofitems14F,14Iand14N.Reportintheappropriatesub‐itemnoninterestincomegeneratedfromdomesticresidentialmortgageloansofferedtoretailcustomersanddomestichomeequityloansandlinesofcredit(HELOANs/HELOCs)providedtoretailcustomers.Lineitem14FProductionThisitemisashadedcellandisderivedfromthesumofitems14Gand14H.Lineitem14GGains/LossesonSaleReportgains/(losses)fromthesaleofdomesticmortgagesandhomeequityoriginatedthroughallproductionchannels(retail,broker,correspondent,etc.)withtheintenttosell.Suchgains/lossesshouldincludedeferredfeesandcoststhatarereportedasadjustmentstothecarryingbalanceofthesoldloan,fairvaluechangesonloancommitmentswithratelocksthatareaccountedforasderivatives,fairvaluechangesonmortgageloansheld‐for‐saledesignatedforfairvaluetreatment,lower‐of‐costormarketadjustmentsonmortgageloansheld‐for‐salenotdesignatedforfairvaluetreatment,fairvaluechangesonderivativeinstrumentsusedtohedgeloancommitmentsandheld‐of‐salemortgages,andvalueassociatedwiththeinitialcapitalizationoftheMSRuponsaleoftheloan.Lineitem14HOtherReportallotherfeeincomeandrevenueearnedfrommortgageproductionnotcapturedinline14G.Lineitem14I ServicingThisitemisashadedcellandisderivedfromthesumofitems14J,14K,14L,and14M.

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Lineitem14J Servicing&AncillaryFeesReportfeesreceivedfromactivitiesrelatingtotheservicingofmortgageloans,including(butnotlimitedto)thecollectionprincipal,interest,andescrowpaymentsfromborrowers;paymentoftaxesandinsurancefromescrowedfunds;monitoringofdelinquencies;executionofforeclosures;temporaryinvestmentoffundspendingdistribution;remittanceoffeestoguarantors,trustees,andothersprovidingservices;andaccountingforandremittanceofprincipalandinterestpaymentstotheholdersofbeneficialinterestsinthefinancialassets.Lineitem14KMSRAmortizationIncludeeconomicamortizationorscheduledandunscheduledpayments,netofdefaultsunderbothFVandLOCOMaccountingmethods.Lineitem14LMSRValueChangesduetoChangesinAssumptions/ModelInputs/OtherNetofHedgePerformanceReportchangesintheMSRvaluehereandnotinanyotheritems.ReportchangesintheMSRhedgeshereandnotinanyotheritems.IncludeMSRchangesunderbothFVandLOCOMaccountingmethods.Lineitem14MOtherReportallotherrevenueearnedfromservicingactivitiesnotcapturedinlines14Jthrough14L.Lineitem14NProvisionstoRepurchaseReserve/LiabilityforResidentialMortgageRepresentationsandWarranties(contra‐revenue)Reportprovisionstobuildanynon‐litigationreserves/accruedliabilitiesthathavebeenestablishedforlossesrelatedtosoldorgovernment‐insuredresidentialmortgageloans(firstorsecondlien).Donotreportsuchprovisionsinanyotheritems;reportthemonlyinlineitems14Nor30,asapplicable.Excludeallprovisionstolitigationreserves/liabilityforclaimsrelatedtosoldresidentialmortgages(reportinitem29).Lineitem14ORetailandSmallBusinessDepositsThisitemisashadedcellandisderivedfromthesumofitems14P,14Qand14R.Reportintheappropriatesub‐itemnoninterestincomefromdomesticbranchbankinganddeposit‐relatedproductsandservicesprovidedtoretailandsmallbusinesscustomers.Includedebitcardrevenuesinthisline.Mayincluderevenuethatisgeneratedondomesticaccountsduetoforeignexchangetransactions.Lineitem14PNon‐SufficientFunds/OverdraftFees–GrossReportnoninterestincomefromfeesearnedfrominsufficientfunddepositbalancesandoverdrawnclientdepositaccounts.Reportbeforeanycontra‐revenues(e.g.,waivers,etc.).Lineitem14QDebitInterchange–GrossReportnoninterestincomefrominterchangefeesearnedondebitcards.Reportbeforeanycontra‐revenues(e.g.,rewards,etc.).Lineitem14ROtherAmongitemsincludedherearedebitcardcontra‐revenues,andoverdraftwaivers,asapplicable.Lineitem14S OtherRetailandSmallBusinessLendingReportnoninterestincomefromotherdomesticretailandsmallbusinesslendingproductsandservices.Theseinclude,butarenotlimitedto,smallbusinesscards,othersmallbusinessloans,autoloans,studentloans,orpersonalunsecuredcredit.

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Lineitem14TInternationalRetailandSmallBusinessReportnoninterestincomefromretailandsmallbusinessgeneratedoutsideoftheUSandPuertoRico.Includes,butisnotlimitedto,allrevenuesfromcredit/charge/debitcards,mortgages,homeequity,branchanddepositservices,auto,student,andsmallbusinessloans.Lineitem15 CommercialLendingReportnoninterestincomefromlendingproductsandservicesprovidedtobusiness,government,not‐for‐profit,andotherinstitutionalentitiesofmediumsize,aswellastocommercialrealestateinvestorsandowners.Excludetreasury,deposit,andinvestmentbankingservicesprovidedtocommerciallendingclients.Lineitem16 InvestmentBankingThisitemisashadedcellandisderivedfromthesumofitems16Athrough16D.Reportintheappropriatesub‐itemnoninterestincomegeneratedfrominvestmentbankingservicesprovidedtobusinessandinstitutionalentitiesofbothmediumandlargesize.Includerevenuesfromnewissuesecuritizationsforthirdparties.Lineitem16AAdvisoryCorporatestrategyandfinancialadvisory,suchasservicesprovidedformergersandacquisitions(M&A),restructuring,financialriskmanagement,amongothers.Lineitem16BEquityCapitalMarketsEquityinvestmentbankingservices(e.g.,IPOsorsecondaryofferings).Lineitem16CDebtCapitalMarketsGenerallynon‐loandebtinvestmentbankingservices.Lineitem16DSyndicated/CorporateLendingLendingcommitmentstolargercorporateclients,includingeventortransaction‐drivenlending(e.g.,tofinanceM&A,leveragedbuyouts,bridgeloans).Generally,allsyndicatedlendingoriginationactivityshouldbeincludedhere(notinCommercialLending).Lineitem17 MerchantBanking/PrivateEquityThisitemisashadedcellandisderivedfromthesumofitems17Athrough17C.Reportintheappropriatesub‐itemrevenuesfromthesponsorshipof,managementof,orfrominvestingin,distinctlong‐terminvestmentvehicles,suchasrealestatefunds,privateequityfunds,hedgefundsorsimilarvehicles.Alsoincludedirectlong‐terminvestmentsinsecuritiesandassetsmadeprimarilyforcapitalappreciation,orinvestmentswheretheBHCorIHCislikelytoparticipatedirectlyincorporategovernance.Donotincluderevenuesfromsales&tradingoperations,corporatelendingoutsideofafundstructure,investinginaHTMorAFSsecuritiesportfolio,brokerageormutualfundoperations.Lineitem17ANetInvestmentMark‐to‐MarketReportthenetgainorlossfromsaleorfromtheperiodicmarkingtomarketofMerchant Banking/PrivateEquityinvestments.Lineitem17BManagementFeesReportfeesandcommissionspaidbythirdpartiestotheBHCorIHCinconnectionwithsale,placementorthemanagementofabovedescribedinvestmentactivities.

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Lineitem17COtherReportanynoninterestincomeitemsnotincludedinitems17Aand17B.AlsoincludetheBHC’sorIHC’sproportionateshareoftheincomeorotheradjustmentsfromitsinvestmentsinequitymethodinvestees.Lineitem18 SalesandTradingThisitemisashadedcellandisderivedfromthesumofitems18A,18D,18H,and18K.Reportintheappropriatesub‐itemnoninterestincomegeneratedfromsalesandtradingactivities.AnyinterestincomefromcarryshouldbeincludedinSales&Tradingundernetinterestincome.Mayincludeshort‐termtradingmadeforpositioningorprofitgenerationrelatedtotheSales&Tradingactivitiesinthislineitem.Lineitem18AEquitiesThisitemisashadedcellandisderivedfromthesumofitems18Band18C.Lineitem18BCommissionandFeesReportcommissions,fees,anddividendsonequityproducts.Excludeprimebrokerageservices.Lineitem18COtherReportallnoninterestincomeforequitiessalesandtrading,excludingprimebrokerage(tobereportedasaseparatelineitem)andexcludingcommissionsandfees.Thisincludestradingprofitsandothernoninterestnon‐commissionincome.Lineitem18DFixedIncomeThisitemisashadedcellandisderivedfromthesumofitems18E,18F,and18G.Reportintheappropriatesub‐itemcommissions,fees,andtradinggainsandlossesonrates,credit,andotherfixedincomeproducts.Excludeprimebrokerageservices.Lineitem18ERatesGenerallyU.S.Treasury,investmentgradesovereign,U.S.agencybonds,andinterestrateswaps.RatesrevenuesrelatedtotradingactivitiesoutsideoftheSales&TradingdivisionneednotbeincludedintotheRatestradinginthissection,butdescribewheretheyareallocatedintheBHC’sandIHC’sdocumentationsupportingtheFRY‐14Asubmission.Lineitem18FCreditGenerallycorporatebonds,loans,ABS,muni,emergingmarkets,CDS.IfaBHCorIHCclassifiessomeofthecreditrelatedtrading(suchasdistresseddebt)insegmentsotherthan“Sales&Trading,”itcancontinuetoreportitasinitsinternalfinancialreportsbutindicatewheretheyarereportedinthedocumentationsupportingFRY‐14Asubmission.Lineitem18GOtherReportotherfixedincomeproductsifnotincludedabove(e.g.,FX/Currencies).Lineitem18HCommoditiesThisitemisashadedcellandisderivedfromthesumofitems18Iand18J.Lineitem18I CommissionandFeesReportcommissions,fees,andtradinggainsandlossesoncommodityproducts.Excludeprimebrokerageservices.Lineitem18J Other

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Reportothernoninterestincomegeneratedfromcommodityproducts,excludingprimebrokerageservices.Lineitem18KPrimeBrokerageThisitemisashadedcellandisderivedfromthesumofitems18Land18M.Reportintheappropriatesub‐itemnoninterestincomefromsecuritiesfinancing,securitieslending,custody,clearing,settlement,andotherservicesforhedgefundsandotherprimebrokerageclients.Includeallprimebrokeragerevenuesinthislineandnotinanyotherbusinesssegments/lines.Lineitem18LCommissionandFeesReportcommissionsandfeesonprimebrokerageservices.Lineitem18MOtherReportothernoninterestincomegeneratedfromprimebrokerageservices.Lineitem19 InvestmentManagementThisitemisashadedcellandisderivedfromthesumofitems19Aand19B.Reportintheappropriatesub‐itemallnoninterestincomegeneratedfrominvestmentmanagementactivities.Lineitem19AAssetManagementProfessionalmanagementofmutualfundsandinstitutionalaccounts.Institutionalclientsmayincludeendowments,not‐for‐profitentities,governments,andothers.Lineitem19BWealthManagement/PrivateBanking(WM/PB)Professionalportfoliomanagementandadvisoryservicesforindividuals.Individualclientsmaybedefinedasmassmarket,affluent,andhighnetworth.Activitiesmayalsoincludetaxplanning,savings,inheritance,andwealthplanning,amongothers.MayincludedepositandlendingservicestoWM/PBclientshereandretailbrokerageservicesforbothWM/PBandnonWM/PBclients.Lineitem20 InvestmentServicesThisitemisashadedcellandisderivedfromthesumofitems20A,20D,and20E.Reportintheappropriatesub‐itemallnoninterestincomegeneratedfrominvestmentservicing.Excludeprimebrokeragerevenues.Lineitem20AAssetServicingThisitemisashadedcellandisderivedfromthesumofitems20Band20C.Reportintheappropriatesub‐itemallnoninterestincomefromcustody,fundservices,securitieslending,liquidityservices,collateralmanagement,andotherassetservicing.Includerecordkeepingservicesfor401Kandemployeebenefitplans,butexcludefundingorguaranteeproductsofferedtosuchclients.Lineitem20BSecuritiesLendingReportnoninterestincomegeneratedfromsecuritieslending.Lineitem20COtherReportallothernoninterestincomeassetservicing,excludingsecuritieslending.Lineitem20DIssuerServicesCorporatetrust,shareownerservices,depositoryreceipts,andotherissuerservices.Lineitem20EOther

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Reportnoninterestincomefromclearingandotherinvestmentservicesnotincludedabove.Lineitem21 TreasuryServicesReportcashmanagement,globalpayments,workingcapitalsolutions,depositservices,andtradefinancefrombusinessandinstitutionalentitiesofbothmediumandlargesize.Includewholesaleandcommercialcards.Lineitem22 InsuranceServicesReportallnoninterestincomefrominsuranceactivitiesincluding,butnotlimitedto,individual(e.g.,life,health),autoandhome(propertyandcasualty),titleinsuranceandsuretyinsurance,andemployeebenefitsinsurance.Lineitem23 Retirement/CorporateBenefitProductsReportpremiums,fees,andothernoninterestincomegeneratedfromretirementandcorporatebenefitfundingproducts,suchasannuities,guaranteedinterestproducts,andseparateaccountcontracts.Thefees/revenuesthatmayberecordedherearegenerallygeneratedasaresultoftheBHCandIHCacceptingrisksrelatedtoactuarialassumptionsortheestimationofmarketreturnswhereguaranteesoffutureincomestreamshavebeenmadetoclients.Lineitem24 Corporate/OtherReportnoninterestincomeassociatedwith: Capitalandasset‐liabilitymanagement(ALM)activities.Amongotheritems,mayinclude

investmentsecuritiesportfolios(butnotgainsandlossesonAFSandHTMsecurities,includingOTTI,astheseareexcludedfromPPNRbydefinition).Alsomayincludeprincipalinvestmentsupportingthecorporatetreasuryfunctiontomanagefirm‐widecapital,liquidity,orstructuralrisks.

Run‐offorliquidatingbusinesses12(butexcluderetailandsmallbusinessrun‐off/liquidatingbusinesses,perRetailandSmallBusinesssegmentdefinition)

Non‐financialbusinesses(e.g.,publishing,travelservices) Corporatesupportfunctions(e.g.,HumanResources,IT) Othernon‐corerevenuesnotincludedinothersegments(e.g.,intersegmenteliminations).Lineitem25 OptionalImmaterialBusinessSegment.BHCsandIHCshavetheoptiontoreportlessmaterialbusinesssegmentrevenueinseparatelineitems“OptionalImmaterialBusinessSegments”. Thereportedtotaloptionalimmaterialbusinesssegmentrevenuerelativetototalrevenuecannotexceed10percent.ListsegmentsincludedinthislineiteminFootnote7.Lineitem26 TotalNoninterestIncome.Thisitemisashadedcellandisderivedfromthesumofitems14,15,16,17,18,19,20,and21through25.ExcludesValuationAdjustmentforfirm'sowndebtunderfairvalueoption(FVO)reportedinitem40andtheresultoftradingshockexercise(whereapplicable),asitisreportedinitem42.Lineitem27 TotalRevenuesThisitemisashadedcellandisderivedfromthesumofitems13and26.NoninterestExpenseComponentsNoninterestExpensefiguresaretobebrokenoutasdetailedontheworksheet. ThetotalisexpectedtoreconcilewithwhatwouldbereportedintheFRY‐9Cwhenadjustedforcertainitems.AspresentedonthePPNRworksheets,theadjustmentsincludeexclusionsofgoodwill

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impairmentandadjustmentsrelatedtooperationalriskexpenserequiredforPPNRpurposes. Fortherelateditems,referencePPNRSubmissionworksheetandrelatedinstructionsforthelineitems29and41.ExpensedataonthePPNRSubmissionworksheetareonlyintendedtobereportedasfirm‐wideBHCorIHCexpenses,withexceptionoflineitem34A,i.e.MarketingExpenseforDomesticCreditCards. ThislineitemisforDomesticCreditCardsbusinesslineonly. SeethedescriptionoftheDomesticCreditCardbusinesslineintheBusinessSegmentDefinitionssectionofthedocument. IftheWorker’sCompensationexpenseisanexpecteditem,orisregularlybudgetedandpaidoutsimilartoaninsurancepremiumoraccrualofagreed‐uponexpenses,thenaBHCorIHCwouldreportitasCompensationexpenseorlineitem28.IftheWorker’sCompensationresultsfromalegalsettlement,orispartofalargepayouttopreventlitigation,solveacomplaint,orsatisfyapenaltyorfine,thenaBHCorIHCwouldreportitinlineitem29withOperationalRiskExpenses.Lineitem28 CompensationExpenseThisitemisashadedcellandisderivedfromthesumofitems28Athrough28E.Lineitem28ASalaryExcludestockbasedandcashvariablepaycompensationandreportinitems28Dand28E,respectively.Lineitem28BBenefitsExcludestockbasedandcashvariablepaycompensationandreportinitems28Dand28E,respectively.Lineitem28CCommissions.Reportcommissionsonlyin"Commissions"lineitem28C;donotreportcommissionsinanyothercompensationlineitems.Lineitem28DStockBasedCompensationReportallexpensesrelatedtostockbasedcompensationasdefinedbyASCTopic718,Compensation‐StockCompensation(formerlyFASBStatementNo.123(R),Shared‐BasedPayment).Lineitem28ECashVariablePayReportexpensesrelatedtoalldiscretionaryvariablecompensationpaid(ortobepaid)intheformofcash.IncludedeferredvariablecompensationplansnotassociatedwithBHCorIHCstock.Lineitem29 OperationalRiskExpenseThisitemisashadedcellandisderivedfromtheitemontheOpRiskProjectedLossesWorksheet.Alloperationallossitems,includingoperationallossesthatarecontrarevenueamountsorcannotbeseparatelyidentified,shouldbereportedintheoperationalriskexpense.AnylegalconsultationorretainerfeesspecificallylinkedtoanoperationalriskeventshouldbeincludedintheOperationalRiskExpense.Includeallprovisionstolitigationreserves/liabilityforclaimsrelatedtosoldresidentialmortgagesandalllitigationsettlementsandpenaltiesinthislineitemandnotinanyotherlineitem.ThereportingoftheoperationalriskexpenseitemwillnotnecessarilybeconsistentwithFRY‐9Creporting.Lineitem30 ProvisionstoRepurchaseReserve/LiabilityforResidentialMortgageRepresentationsandWarranties

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Provisionstobuildanynon‐litigationreserves/accruedliabilitiesthathavebeenestablishedforlossesrelatedtosoldorgovernment‐insuredresidentialmortgageloans(firstorsecondlien).Donotreportsuchprovisionsinanyotheritems;reportthemonlyinlineitems14Nor30,asapplicable.Excludeallprovisionstolitigationreserves/liabilityforclaimsrelatedtosoldresidentialmortgages(reportinitem29).

Lineitem31 ProfessionalandOutsideServicesExpensesAmongitemsincludedareroutinelegalexpenses(i.e.,legalexpensesnotrelatedtooperationallosses),auditandconsultingfees,andotherfeesforprofessionalservices.Lineitem32 ExpensesofPremisesandFixedAssetsReportexpensesofpremisesandfixedassets,asdefinedintheFRY‐9C,ScheduleHI,item7.b.Lineitem33 AmortizationExpenseandImpairmentLossesforOtherIntangibleAssetsReportamortizationexpenseandimpairmentlossesforotherintangibleassets,asdefinedintheFRY‐9C,ScheduleHI,item7.c.(2).Lineitem34 MarketingExpenseThisitemisashadedcellandisderivedfromthesumofitems34Aand34B.Lineitem34ADomesticCreditandChargeCardMarketingExpenseIncludedomesticBHCandIHCissuedcreditandchargecards,asdefinedinlineitem1.b,includingthosethatresultfromapartnershipagreement.Includebothdirectandallocatedexpenses.Reportanyexpensesthataremadetoexpandthecompany’scardmemberand/ormerchantbase,facilitategreatersegmentpenetration,enhancetheperceptionofthecompany’screditcardbrand,and/orincreasetheutilizationoftheexistingcardmemberbaseacrossthespectrumofmarketingandadvertisingmediums.SeeInstructionsfordescriptionofstandardizedBusinessSegments/Lines.Unlessspecifiedotherwise,allnumbersareglobal.Lineitem34BOtherReportallmarketingexpensesnotrelatedtodomesticcreditandchargecardscapturedinline34A.Lineitem35 OtherRealEstateOwnedExpenseAllexpensesassociatedwithotherrealestateownedthatwouldnormallybereportedintheFRY‐9C,ScheduleHI,item7.d.,‘‘Othernoninterestexpense’’.Lineitem36 ProvisionforUnfundedOff‐BalanceSheetCreditExposures(tobuild/decreaseitem141(BHCKB557)inBalanceSheet)Reporttheprovisionforcreditlossesonoff‐balancesheetcreditexposuresnormallyreportedasoneoftheitemsinFRY‐9C,ScheduleHI,item7.d.Lineitem37 OtherNoninterestExpenseProvideafurtherbreakoutofsignificantitemsincludedinOtherNoninterestExpenseinfootnote4,suchthatnomorethan5%ofNoninterestExpensearereportedwithoutfurtherbreakout.Reportthelineitembreakoutforthecombined9quartersofprojected“Othernoninterestexpense”(lineitem37).Aquarterlybreakoutofthesedatashouldbeincludedinthesupportingdocumentation.Lineitem38 TotalNoninterestExpense

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Thisitemisashadedcellandisderivedfromthesumofitems28,29through34,and35through37.ExcludesGoodwillImpairmentincludedinitem41.Lineitem39 ActualPPNRThisitemisashadedcellandisderivedfromitem27less38.Bydefinition,PPNRwillcalculateasnetinterestincomeplusnoninterestincomelessnoninterestexpense,excludingitemsbrokenoutinitems40through42.

Lineitem40 ValuationAdjustmentforFirm’sOwnDebtUnderFairValueOption(FVO)ListsegmentsfromwhichitemwasexcludedinFootnote9.ListFRY‐9C,ScheduleHIitemsfromwhichthisitemisexcludedinFootnote27.Lineitem41 GoodwillImpairmentReportimpairmentlossesforgoodwill,asdefinedintheFRY‐9C,ScheduleHI,item7.c.(1). UnderGAAP(ASC350‐20‐35‐30),"Goodwillofareportingunitshallbetestedforimpairmentbetweenannualtestsifaneventoccursorcircumstanceschangethatwouldmorelikelythannotreducethefairvalueofareportingunitbelowitscarryingamount."However,itisacceptableforpurposesofthisexercisetoprovideannualestimatesaslongastheresultingquarterlycapitalprojectionswouldnotdiffermateriallyfromthosegeneratedusingquarterlyimpairmentprojections.Lineitem42 LossResultingfromTradingShockExercise(ifapplicable)Thisitemisashadedcellandisderivedfromthesumofitems58through62ontheWorksheet1.a,IncomeStatement.BHCsandIHCsshouldnotreportchangesinvalueoftheMSRassetorhedgeswithinthetradingbook.ListsegmentsfromwhichitemwasexcludedinFootnote25.

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G.2—PPNRNetInterestIncome(NII)Worksheet AllBHCsandIHCsarerequiredtosubmittheNetInterestIncomeworksheet.BHCsandIHCsshouldcompletenon‐shadedcellsonly;allshadedcellswithembeddedformulaswillself‐populate.ThisworksheetrequiresBHCsandIHCstoprovideaverageassetandliabilitybalancesandaverageyieldstocalculatenetinterestincome.Thetotalnetinterestincomecalculatedshouldequalthetotalnetinterestincomereportedusingabusinesssegment/lineviewinthePPNRSubmissionworksheet.Theaveragebalancesandratesaremeanttoreflecttheaverageovereachquarterasbestaspossible.TheFederalReserveunderstandsthatbecauseofchangesinbalancesovertheperiod,thesimplemultiplicationofaverageloanratesandbalancesmaynotyieldtheactualinterestincome.Inthesecases,theBHCsandIHCsmayreporttheaverageloanratesothatitequalsaweightedaveragerateovertheperiodandtheinterestincometotalforeachquarterreflectshistoricalresultsortheBHC'sorIHC’sprojection,asapplicable.Iftheaverageratesaremateriallyimpactedbylargeshiftsinbalancesovertheperiod,highlightthisindocumentationsupportingtheFRY‐14Asubmission.Ratesonthisworksheetareintendedtoprovideaproductlevelviewexclusiveoftransferpricingactivityandshouldbereportedonagrossbasis.ThereportingofnetinterestincomeonthePPNRSubmissionworksheetsprovideabusinesslineviewandshouldbereportednetoftransferpricingadjustments.AverageAssetsBHCsandIHCsshouldreferenceFRY‐9CandotherdefinitionsprovidedinthePPNRNetInterestIncomeworksheetwhencompletingthissection. Aligntheassetcategoriesdefinitions,wherenoFRY9Ccodeisprovided,withthoseontheBalanceSheetworksheetoftheFRY‐14ASummarySchedule.TheFRY‐9Ccodereferencesareintendedonlytoprovideguidanceforthetypesofitemstobeincludedorexcluded;butNOTthetypeofbalancetobeprovided.Allrequestedbalanceitemsareaverages.Inthecaseofloans,aligndefinitionswiththe“totalloans”sectionoftheBalanceSheetworksheet.IncludepurchasedcreditimpairedloansPCIloanbalancesandtheinterestincomerecognizedontheseloans.However,reporttheaggregateofallnonaccrualloansaslineitem9ratherthanincludingthemineachloantype.Althoughnonaccrualloansarereportedinaggregateforreportingpurposes,BHCsandIHCsareencouragedtoprovidedetailsonthenonaccrualloansbyBalanceSheetworksheetdefinition,ifavailable,inthedocumentationsupportingtheirFRY‐14Asubmission.AveragebalancesonthePPNRNetInterestIncomeworksheets(bothonFRY‐14QandFRY‐14A)areintendedtobereportedinamannerconsistentwithitemsontheBalanceSheetworksheetofFRY‐14Aschedule.Assuch,averageassetbalancesonPPNRNetInterestIncomeworksheetaretoreconciletoaverageofassetbalancesbasedonFRY‐9CBHCK2170(whichreflectsfairvalueofAFSsecurities).Ifthisreportingresultsinrecordingcertainnon‐earningassetsintheaveragetradingassetslineonthePPNRNetIIworksheet(oranyotherlineitemwithanassociatedrate),aBHCorIHCshouldsimplyreducetheweightedaveragerateappliedtothatbalancetoensurethatincomeforecastsarecalculatedappropriately.Lineitem1 FirstLienResidentialMortgages(indomesticoffices)Reporttheaveragebalanceoffirstlienresidentialmortgagesindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a),columnB).

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Lineitem2 Second/JuniorLienResidentialMortgages(indomesticoffices)Thisitemisashadedcellandisderivedfromthesumofitems2Aand2B.Lineitem2A Closed‐EndJuniorLiensReporttheaveragebalanceofsecond/juniorlienresidentialmortgagesindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b),columnB).Lineitem2B HomeEquityLinesofCredit(HELOCs)Reporttheaveragebalanceofhomeequitylinesofcreditindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1),columnB).Lineitem3 C&ILoansReporttheaveragebalanceofC&IGraded,SmallBusiness(Scored/DelinquencyManaged),CorporateCard,andBusinessCardloans.Lineitem4 CRELoans(indomesticoffices)ReporttheaveragebalanceofCREloansindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1),and1.e.(2),columnB.Lineitem5 CreditCardsReporttheaveragebalanceofcreditcards(asdefinedintheFRY‐9C,ScheduleHC‐C,item6.a,columnA).Lineitem6 OtherConsumerThisitemisashadedcellandisderivedfromthesumofitems6Athrough6C.Lineitem6A AutoLoansReporttheaveragebalanceofautoloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.c,columnA.Lineitem6B StudentLoansReporttheaveragebalanceofstudentloans.Lineitem6C Other(includingloansbackedbysecurities(non‐purposelending))Reporttheaveragebalanceofotherloans.Lineitem7 RealEstateLoans(notindomesticoffices)Thisitemisashadedcellandisderivedfromsumofitems7Aand7B.(Also,definedasFRY‐9C,ScheduleHC‐C,item1,columnA,lessaboveitems1,2,5,andFRY‐9C,ScheduleHC‐C,item1.b,columnB.)Lineitem7A ResidentialMortgages(firstandsecondlien)Reporttheaveragebalanceoffirstandsecondlienresidentialmortgagesnotindomesticoffices.Lineitem7B OtherReporttheaveragebalanceofotherrealestateloansnotindomesticoffices.Lineitem8 OtherLoansandLeasesReporttheaveragebalanceofotherloansandleases.IncludeloanssecuredbyfarmlandasdefinedinFRY‐9C,ScheduleHC‐C,item1.b,columnB,andotherloansnotaccountedforintheabove

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categories.IftotalnetinterestincomedoesnotreconciletoFRY‐9CtotalperPPNRdefinitionusingfairvalueaveragebalancesforAFSsecurities,use“Other”balances(lineitems15and38)andcorrespondingrates(lineitems31and46)tooffsetthedifference.Lineitem9NonaccrualLoansReporttheaveragebalanceofnonaccrualloans,asdefinedintheFRY‐9C,ScheduleHC‐N,item10(ColumnC)lessScheduleHC‐N,item9(ColumnC).Institutionsaretoprovideadditionaldetailswithinthesupportingdocumentation;thecompositionofthenon‐accrualloansbykeyloantypeoverthereportedtimeperiodsforeachofthescenarios.Lineitem10Securities(AFSandHTM)–TreasuriesandAgencyDebenturesReporttheaveragebalanceofAFS/HTMbalancesinTreasuryandAgencydebentures,asdefinedintheFRY‐9C,ScheduleHC‐B,items1,2.aand2.b,columnsAandD.Lineitem11Securities(AFSandHTM)–AgencyRMBS(bothCMOsandpass‐throughs)ReporttheaveragebalanceofAFS/HTMbalancesinAgencyRMBS,asdefinedintheFRY‐9C,ScheduleHC‐B,items4.a.(1),4.a.(2),4.b.(1)and4.b.(2),columnsAandD.

Lineitem12Securities(AFSandHTM)‐OtherReporttheaveragebalanceofallAFS/HTMinvestmentsnotreportedinlineitems10and11(definedintheFRY‐9C,ScheduleHC,items2.aand2.blessNetIIWorksheetlineitems10&11.

Lineitem13 TradingAssets.ReporttheaveragebalanceoftradingassetsasdefinedintheFRY‐9C,ScheduleHC‐K,item4.a.Lineitem14 DepositswithBanksandOtherReporttheaveragebalanceofdepositswithbanks.Lineitem15 OtherInterest/Dividend‐BearingAssetsReporttheaveragebalanceofotherinterest/dividend‐bearingassetnotaccountedforintheabovecategories(e.g.FedFundsSold,Repos,etc.).InFootnote2,breakoutandexplainnatureofsignificantitemsincludedinotheraverageinterest‐bearingassetbalancessuchthatnomore5%oftotalaverageinterest‐bearingassetbalancesarereportedwithoutafurtherbreakout.Lineitem16OtherAssetsReporttheaveragebalanceofallnon‐interestbearingassets.Line16oftheNetInterestIncomeWorksheetisintendedforaBHCorIHCtoreportnoninterestbearingassets,andaccordinglyisexcludedfromthecalculationofinterestincome.Lineitem17 TotalAverageAssetBalancesThisitemisashadedcellandisderivedfromsumofitems1,2,3through6,7,and8through16.AverageRatesEarnedAllratesareannualized.Lineitem18 FirstLienResidentialMortgages(indomesticoffices)ReporttheearnedaveragerateoffirstlienresidentialmortgagesindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a),columnB.Lineitem19 Second/JuniorLienResidentialMortgages(indomesticoffices)Thisitemisashadedcellandisderivedfromsumofitems19Aand19B.

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Lineitem19AClosed‐EndJuniorLiensReporttheearnedaveragerateofsecond/juniorlienresidentialmortgagesindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b),columnB.Lineitem19BHomeEquityLinesofCredit(HELOCs)ReporttheearnedaveragerateofhomeequitylinesofcreditindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1),columnB.Lineitem20 C&ILoans(excludingsmallbusiness(scored/delinquencymanaged)Reportearnedaveragerateoflargecommercialcreditsandsmallbusiness(graded)loans.NotethatthedefinitionsforLargeCommercialCreditsandSmallBusiness(Graded)arealignedwithBalanceSheetdefinitions(e.g.,inthecurrentreports,consistentwithCCAR2012BalanceSheetworksheet).Lineitem21CRELoans(indomesticoffices)ReporttheearnedaveragerateofCREloansindomesticofficesasdefinedintheFRY‐9C,ScheduleHC‐C,items1.a.(1),1.a.(2),1.d,1.e.(1),and1.e.(2),columnB.Lineitem22CreditCardsReportearnedaveragerateofcreditcardsasdefinedintheFRY‐9C,ScheduleHC‐C,item6.a,columnA.Lineitem23 OtherConsumerThisitemisashadedcellandisderivedfromthesumofitems23Athrough23C.Lineitem23AAutoLoansReportearnedaveragerateofautoloansasdefinedintheFRY‐9C,ScheduleHC‐C,item6.c,columnA.Lineitem23BStudentLoansReportearnedaveragerateofstudentloans.Lineitem23COther,incl.loansbackedbysecurities(non‐purposelending)Reportearnedaveragerateofotherloans.Lineitem24 RealEstateLoans(notindomesticoffices)Item24isashadedcellandisderivedfromsumofitems24Aand24B.(Also,definedasFRY‐9C,ScheduleHC‐C,item1,columnA,lessaboveitems18,19,21,andFRY‐9C,ScheduleHC‐C,item1.b,columnB.)Lineitem24AResidentialMortgages(firstandsecondlien)Reporttheearnedaveragerateoffirstandsecondlienresidentialmortgagesnotindomesticoffices.Lineitem24BOtherReporttheearnedaveragerateofotherrealestateloansnotindomesticoffices.Lineitem25 OtherLoansandLeasesReporttheearnedaveragerateofotherloansandleases.IncludeloanssecuredbyfarmlandasdefinedinScheduleHC‐C,FRY‐9C,ScheduleHC‐C,item1.b,columnB,andotherloansnotaccountedforintheabovecategories.IftotalnetinterestincomedoesnotreconciletoFRY‐9CtotalperPPNRdefinitionusingfairvalueaveragebalancesforAFSsecurities,use“Other”balances(line

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items15and38)andcorrespondingrates(lineitems27and43)tooffsetthedifference.Lineitem26 NonaccrualLoansReporttheearnedaveragerateofnonaccrualloans.Interestincomeearnedonnonaccrualbalancesisgenerallyexpectedtobesmall.Lineitem27 Securities(AFSandHTM)–TreasuriesandAgencyDebenturesReporttheearnedaveragerateearnedonAFS/HTMbalancesinTreasuryandAgencydebentures.Lineitem28Securities(AFSandHTM)–AgencyRMBS(bothCMOsandpass‐throughs)ReporttheearnedaveragerateearnedonAFS/HTMbalancesinAgencyRMBS.Lineitem29Securities(AFSandHTM)‐OtherReporttheearnedaveragerateearnedonallotherAFS/HTMbalances.Lineitem30 TradingAssetsReporttheearnedaveragerateoftradingassetsasdefinedintheFRY‐9C,ScheduleHC‐K,item4.a.Lineitem31 DepositswithBanksandOtherReporttheearnedaveragerateofdepositswithbanks.

Lineitem32 OtherInterest/Dividend‐BearingAssetsReporttheearnedaveragerateofotherinterest/dividend‐bearingassetnotaccountedforintheabovecategories.Lineitem33 TotalInterestIncomeThisitemisashadedcellandisderivedfromsumoftheproductsofitems1and18,2Aand19A,2Band19B,3and20,4and21,5and22,6Aand23A,6Band23B,6Cand23C,7and24,7Band24B,8and25,9and26,10and27,11and28,12and29,13and30,14and31,&15and32annualized.AverageLiabilityBalancesFortheclassificationofdomesticandforeigndepositliabilities,BHCsandIHCsshouldreportbasedoninternaldefinitions(thosedeemedtobestrepresentthebehaviorcharacteristicsofdeposits).Forallotherliabilities,BHCandIHCshouldreferenceFRY‐9CandotherdefinitionsprovidedinthePPNRNetinterestIncomeworksheetwhencompletingthissection.Lineitem34 Deposits‐DomesticThisitemisashadedcellandisderivedfromsumofitems34Athrough34E.AsumofaveragedomesticandforeigndepositsshouldbeequaltoasumofaverageFRY‐9C,ScheduleHC,items13.a.(1),13.a.(2),13.b.(1),and13.b.(2).Lineitem34ANoninterest‐bearingDemandReportbalancesusinginternaldefinitions.Lineitem34BMoneyMarketAccountsReportbalancesusinginternaldefinitions.Lineitem34CSavingsReportbalancesusinginternaldefinitions.

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Lineitem34DNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andotherTransactionAccountsReportbalancesusinginternaldefinitions.Lineitem34ETimeDepositsReportbalancesusinginternaldefinitions.Lineitem35 Deposits‐ForeignThisitemisashadedcellandisderivedfromthesumofitems35Aand35B.AsumofaveragedomesticandforeigndepositsshouldbeequaltoasumofaverageFRY‐9C,ScheduleHC,items13.a.(1),13.a.(2),13.b.(1),and13.b.(2).Lineitem35AForeignDepositsReportbalancesusinginternaldefinitions.Lineitem35BForeignDeposits‐TimeReportbalancesusinginternaldefinitions.Lineitem36 FedFunds,Repos,&OtherShortTermBorrowingThisitemisashadedcellandisderivedfromthesumofitems36Athrough36C.

Lineitem36AFedFundsReporttheaveragebalanceofFedFundspurchasedindomesticofficesasdefinedintheFRY‐9C,ScheduleHC,item14.a.Lineitem36BReposReporttheaveragebalanceofSecuritiessoldunderagreementtorepurchaseasdefinedintheFRY‐9C,ScheduleHC,item14.b.Lineitem36COtherShortTermBorrowingReporttheaveragebalanceofliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebentures(asdefinedintheFRY‐9C,ScheduleHC,items16anditems19.a.whichthefirmwoulddefineasshorttermborrowings).

Asumoflineitems36C(“othershorttermborrowing”)and39(“otherinterestbearingliabilities”)equalsasumofaverageBHCK3190,averageBHCK4062,andaverageinterest‐bearingliabilitiesreportedinBHCK2750;lineitem40(“otherliabilities”)capturesaveragenon‐interestbearingliabilitiesinBHCK2750.

Lineitem37 TradingLiabilitiesReporttheaveragebalanceofTradingLiabilitiesasdefinedintheFRY‐9C,ScheduleHC,item15.

Lineitem38 SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTrustPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReporttheaveragebalanceofPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesasdefinedintheFRY‐9C,ScheduleHC,item19b.

Lineitem39OtherInterest‐BearingLiabilitiesReporttheaveragebalanceofliabilitiesreportedasOtherBorrowedMoneyandSubordinatedNotesandDebenturesasdefinedintheFRY‐9C,ScheduleHC,items16anditems19awhichare

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notalreadyreportedinlineitem35cOtherShortTermBorrowing.Thisincludesalllong‐termdebtnotincludedinlineitem38above.Asumoflineitems36C(“othershorttermborrowing”)and39(“otherinterestbearingliabilities”)equalsasumofaverageBHCK3190,averageBHCK4062,andaverageinterest‐bearingliabilitiesreportedinBHCK2750;lineitem40(“otherliabilities”)capturesaveragenon‐interestbearingliabilitiesinBHCK2750.Lineitem40OtherLiabilitiesReporttheaveragebalanceofliabilitiesreportedasOtherLiabilitiesasdefinedintheFRY‐9C,ScheduleHC,item20.Asumoflineitems36C(“othershorttermborrowing”)and39(“otherinterestbearingliabilities”)equalsasumofaverageBHCK3190,averageBHCK4062,andaverageinterest‐bearingliabilitiesreportedinBHCK2750;lineitem40(“otherliabilities”)capturesaveragenon‐interestbearingliabilitiesinBHCK2750.

Lineitem41 TotalAverageLiabilityBalancesThisitemisashadedcellandisderivedfromsumofitems34,35,36,and37to40.AverageLiabilityRatesAllratesareannualized.Lineitem42 Deposits—DomesticThisitemisashadedcellandisderivedfromsumofitems42Athrough42E.Lineitem42ANoninterest‐bearingDemandThisitemisashadedcell;ratesareequaltozerobydefinition.Lineitem42BMoneyMarketAccountsReporttheearnedaveragerateofMoneyMarketAccountsreportedinitem34B.

Lineitem42CSavingsReporttheearnedaveragerateofSavingsAccountsreportedinitem34C.

Lineitem42DNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andotherTransactionAccountsReporttheearnedaveragerateofNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andotherTransactionAccountsreportedinitem34D.

Lineitem42ETimeDepositsReporttheearnedaveragerateofTimeDepositsreportedinitem34E.

Lineitem43 Deposits‐ForeignThisitemisashadedcellandisderivedfromthesumofitems43Aand43B.Lineitem43AForeignDepositsReporttheearnedaveragerateofForeignDepositsreportedinitem35A.Lineitem43BForeignDeposits‐TimeReporttheearnedaveragerateofForeignDeposits—Timereportedinitem35B.Lineitem44 FedFunds,Repos,&OtherShortTermBorrowingThisitemisashadedcellandisderivedfromthesumofitems44Athrough44C.

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Lineitem44AFedFundsReporttheaverageratepaidforFedFundspurchasedindomesticofficesasdefinedintheFRY‐9C,ScheduleHC,item14a.

Lineitem44BReposReporttheaverageratepaidforSecuritiesSoldunderagreementstorepurchaseasdefinedintheFRY‐9C,ScheduleHC,item14b.

Lineitem44COtherShortTermBorrowingReporttheaverageratepaidonliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebenturesasdefinedintheFRY‐9C,ScheduleHC,items16anditems19awhichthefirmdefinedasshorttermborrowings.

Lineitem45 TradingLiabilitiesReporttheaveragerateofTradingLiabilitiesasdefinedintheFRY‐9C,ScheduleHC,item15.

Lineitem46 SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTrustPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReporttheaveragerateofPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntitiesasdefinedintheFRY‐9C,ScheduleHC,item19b.

Lineitem47 OtherInterest‐BearingLiabilitiesReporttheaverageratepaidontheliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebenturesasdefinedintheFRY‐9C,ScheduleHC,items16and19awhichthefirmdefinedasOtherInterestBearingLiabilities.Lineitem48 TotalInterestExpenseThisitemisashadedcellandisderivedfromsumoftheproductsofitems34Aand42A,34Band42B,34Cand42C,34Dand42D,34Eand42E,35Aand43A,35Band43B,36Aand44A,36Band44B,36Cand44C,37and45,38and46,and39and47,annualized.Lineitem49 TotalNetInterestIncomeThisitemisashadedcellandisderivedfromitem33minusitem48.AmountshouldequalWorksheet7.a,PPNRSubmissionWorksheet,item13.

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G.3—PPNRMetricsThePPNRMetricsworksheetrequestsinformationoncertainmetricsrelevantfortheassessmentofvariouscomponentsofPPNR.AllmetricsarerequiredofallBHCsandIHCs,subjecttoapplicablethresholds.MetricsinSectionA,"MetricsbyBusinessSegment/Line,"correspondtoBusinessSegments/LinesonPPNRSubmissionworksheet.Incontrast,SectionsBandCarebothforfirm‐widemetrics.Inprovidingindustrymarketsizeinformation,BHCsandIHCscanusethirdpartydataandarenotrequiredtoindependentlyderivethesemetrics. Anysupportinginformationshouldbedescribedindetail,includingthedatasource,andcorrespondingdatashouldbeprovidedintheworksheet.ABHCorIHC,ifrelyinguponthirdpartydataforbuildingprojections,shouldstillbecognizantofhowtheirestimateswouldbeappropriateacrosstherangeofassumedmacro‐economicconditionsinvariousscenariosorifsomeadjustmentmaybeappropriate.BHCsandIHCsshoulduseinternaldefinitionsofproprietarytradingandclearlydescribethecoveredactivitiesandtransactionsinmethodologynarratives.IfaBHCorIHCisunabletoprovideametriconthePPNRMetricsworksheet,itshouldofferadataseriesforalternativemetricsthatareconsideredbytheBHCorIHCinprojectingtherelevantcomponent(s)ofPPNRandincludeintheSupportingDocumentationrequiredwiththeFR‐14AProjectionsadiscussionofwhythestandardmetriccouldnotbeprovided.A.MetricsbyBusinessSegment/Line(unlessspecifiedotherwise,allnumbersareglobal)."MetricsbyBusinessSegment/Line"correspondtoBusinessSegments/LinesonthePPNRSubmissionWorksheet.ThismeansthateachmetricisreflectiveofrevenuesreportedonthePPNRSubmissionworksheetforagivenbusinesssegment/line,unlessexplicitlystatedotherwise.RetailandSmallBusinessSegmentDomesticForlineitems1through9,domesticincludesU.S.andPuertoRicoonly.CreditandChargeCardsLineitem1 TotalOpenAccounts–EndofPeriodReportnumberoftotalopenaccountsattheendofperiodforcreditandchargecards.Lineitem2 CreditandChargeCardPurchaseVolumeReportcreditandchargecardpurchasevolume,netofreturns.Excludecashandbalancetransfervolumes.Lineitem3 CreditandChargeCardRewards/PartnerSharingExpenseReportcreditcardrewards/partnersharingexpenseforcreditandchargecards.InFootnote23,listwhichlineitem(s)onPPNRSubmissionWorksheetcontain(s)theCardsRewards/PartnerSharingcontra‐revenuesand/orexpenses.Noteifthisitemincludesanycontra‐revenuesotherthanRewards/PartnerSharing(e.g.

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MarketingExpenseAmortization)infootnote34.MortgagesandHomeEquity Lineitem4 AverageThird‐PartyResidentialMortgagesServicedReporttheaverageoutstandingprincipalbalanceforresidentialmortgageloanstheBHCorIHCservicesforothers.Lineitem5 ResidentialMortgageOriginationsIndustryMarketSize–VolumeReporttotalvolumeofdomesticmortgagesthatoriginatedduringthequarter.ABHCorIHCwouldprovideUSindustry‐wideoriginationvolume($millions)forclosed‐endloanssecuredbyfirstlienson1to4familyresidentialpropertiesduringagivenquarter.Thiswouldnotincludeanyhomeequityloansorlinesofcredit.Lineitem6 MortgagesandHomeEquitySoldDuringtheQuarterReportfirstandjuniorlienmortgagesandhomeequityloanssoldduringthequarterasdefinedinFRY‐9C,ScheduleHC‐P,items3.a,3.b,3.c.(1),3.c.(2).FRY‐9Cnameis"ResidentialMortgagesSoldDuringtheQuarter";thismetricneednotbelimitedtoMortgagesandHomeEquitybusinessline.Lineitem7 ServicingExpensesReportexpensesforservicingfirstandjuniorlienmortgagesandhomeequityloans.Includebothdirectandallocatedexpenses.RetailandSmallBusinessDepositsLineitem8 TotalOpenCheckingandMoneyMarketAccounts–EndofPeriodReportonlythenumberofcheckingandmoneymarketaccountsthataredepositaccountsunderFRY‐9Cguidanceandareconsistentwiththedefinitionsprovidedfor“Retailandsmallbusinessbankingandlendingservices”segmentand“Retailandsmallbusinessdeposits”businesslinewithinthissegmentinthePPNRinstructions.Lineitem9 DebitCardPurchaseTransactionsReportnumberoftransactions(notdollarvalue).InternationalRetailandSmallBusinessInternationalretailandsmallbusinesslocatedinregionsoutsidetheU.S.andPuertoRico.Lineitem10 CreditandChargeCardRevenuesProvidemetricsdataforallquarters,butonlyifinternationalretailandsmallbusinesssegmentrevenuesexceeded5%oftotalretailandsmallbusinesssegmentandtotalretailandsmallbusinessrevenueexceeded5%oftotalrevenuesinanyofthelastfouractualquartersrequestedinthePPNRschedule.InvestmentBankingSegmentOnlyfirmsthatreportgreaterthan$100millionanyquarterinitem16,InvestmentBanking,ofScheduleG.1(PPNRSubmission)shouldreporttheinvestmentbankingmetricsbelow(Lines11to26).

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Lineitem11NumberofEmployeesReportthenumberoffull‐timeequivalentemployeesatendofcurrentperiodasdefinedintheFRY‐9C,ScheduleHI,Memorandumitem5,forinvestmentbankingsegment.Lineitem12 Compensation–TotalIncludebothdirectandallocatedexpensesforinvestmentbankingsegment.Lineitem13 StockBasedCompensationandCashVariablePayIncludebothdirectandallocatedexpensesforinvestmentbankingsegment.AdvisoryLineitem14 DealVolumeReporttheglobaldollarvolumeofallcompleteddealsforthereportingBHCorIHC.Lineitem15 IndustryMarketSize‐FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem16 IndustryMarketSize‐CompletedDealVolumeReporttheglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.Lineitem17 BacklogAbacklogshouldbebasedonprobabilityweightedfees.Thedatashouldbeconsistentwithhistoricalinternalreporting,notbymarketmeasurement.ThelastquartershouldbetheBHC’sorIHC’slatestbacklogestimate.Backlogreportingisnotrequiredonaprojectionsbasis.EquityCapitalMarketsLineitem18 DealVolumeReporttheglobaldollarvolumeofalldealsforthereportingBHCorIHC.Lineitem19 IndustryMarketSize–FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem20 IndustryMarketSize‐VolumeReportglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.DebtCapitalMarketsLineitem21 DealVolumeReporttheglobaldollarvolumeofalldealsforthereportingBHCorIHC.Lineitem22 IndustryMarketSize–FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem23 IndustryMarketSize–VolumeReporttheglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.

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SyndicatedLendingLineitem24 DealVolumeReporttheglobaldollarvolumeofalldealsforthereportingBHCorIHC.Lineitem25 IndustryMarketSize‐FeesReportglobalfeesearnedbyallrelevantindustryparticipantsinthisarea.Lineitem26 IndustryMarketSize‐VolumeReporttheglobaldollarvolumeofcompleteddealsforallrelevantindustryparticipants.SalesandTradingSegmentLineitem27 NumberofEmployeesReportthenumberoffull‐timeequivalentemployeesatendofcurrentperiodasdefinedintheFRY‐9C,ScheduleHI,Memorandumitem5,forsalesandtradingsegment.Lineitem28 Compensation–TotalIncludebothdirectandallocatedexpensesforsalesandtradingsegment.Lineitem29 StockBasedCompensationandCashVariablePayIncludebothdirectandallocatedexpensesforsalesandtradingsegment.EquitiesLineitem30 AverageAssetBalanceReportaverageassetbalanceforthequarterofallmark‐to‐marketassetsassociateddirectlywiththeequitysalesandtradingbusinesses.FixedIncomeLineitem31 AverageAssetBalanceReportaverageassetbalanceforthequarterofallmark‐to‐marketassetsassociateddirectlywiththefixedincomesalesandtradingbusinesses.CommoditiesLineitem32 AverageAssetBalanceReportaverageassetbalanceforthequarterofallmark‐to‐marketassetsassociateddirectlywiththecommoditiessalesandtradingbusinesses.PrimeBrokerageLineitem33 AverageClientBalancesReportthegrossedup"interestbalances"thatresultfromprimebrokerageactivities.

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Lineitem34 TransactionVolumeReporttotaldollarvolumeofalltransactionsduringthequarter.InvestmentManagementSegmentAssetManagementLineitem35 AUM–TotalThisitemisashadedcellandisderivedfromthesumofitems35Athrough35C.Lineitem35AAUM–EquitiesReporttotalassetsundermanagementforwhichtheinvestmentmandate/strategyisprimarilyequities.Lineitem35BAUM–FixedIncomeReporttotalassetsundermanagementforwhichtheinvestmentmandate/strategyisprimarilyfixedincome.Lineitem35CAUM–OtherReporttotalassetsundermanagementforwhichtheinvestmentmandate/strategycannotbeclassifiedaseitherEquitiesorfixedincome.Forexample,includealternativeinvestments,currencyproducts,etc.Lineitem36NetInflows/OutflowReportimpactofnetinflows/outflowsonassetsundermanagement.

WealthManagement/PrivateBankingLineitem37 FeeEarningClientAssets–TotalThisitemisashadedcellandisderivedfromthesumofitems37Athrough37C.Lineitem37AFeeEarningClientAssets–EquitiesReporttotalFeeEarningclientAssetsinvesteddirectlyorindirectlyprimarilyinequities.Lineitem37BFeeEarningClientAssets–FixedIncomeReporttotalFeeEarningClientAssetsinvesteddirectlyorindirectlyprimarilyinfixedincome.Lineitem37CFeeEarningClientAssets–OtherReporttotalFeeEarningClientAssetsforwhichtheinvestmentcannotbeclassifiedaseitherEquitiesorfixedincome.Forexample,includesometypesofalternativeinvestments,currencyproducts,etc.Lineitem38 NetInflows/OutflowReportimpactofnetinflows/outflowsonFeeEarningClientAssets.Lineitem39 NumberofFinancialAdvisorsProvidearelevantheadcountnumber(e.g.financialadvisors,portfoliomanagers)tofacilitatetheassessmentofrevenueproductivityintheWealthManagement/PrivateBankingbusinessline.

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InvestmentServicesSegmentAssetServicingLineitem40 AssetsunderCustodyandAdministrationReporttotalassetsundercustodyandadministrationasoftheendofthequarter.B.FirmWideMetrics:PPNRProjectionsWorksheetLineitem41 NumberofEmployeesReportthenumberoffull‐timeequivalentemployeesatendofcurrentperiodasdefinedintheFRY‐9C,ScheduleHI,Memorandumitem5.Lineitem42 Revenues–InternationalThisitemisashadedcellandisderivedfromthesumofitems42Athrough42D.Theseitemsarebasedonholdingcompanyconsolidatedreportingandnotonlegal‐entitybasis.Lineitem42ARevenues‐APACProvideAsiaandPacific(includesSouthAsia,Australia,andNewZealand)regionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Forspecificcountryassignments,useinternaldefinitions.Lineitem42BRevenues‐EMEAProvideEurope,MiddleEast,andAfricaregionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Forspecificcountryassignments,useinternaldefinitions.Lineitem42CRevenues‐LatAmProvideLatinAmerica,includingMexicoregionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Forspecificcountryassignments,useinternaldefinitions.Lineitem42DRevenues‐CanadaProvideCanadaregionbreakoutsforallquarters,butonlyifinternationalrevenueexceeded5%ofthetotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Lineitem43 Revenues–DomesticThisitemisashadedcellandisderivedfromPPNRSubmissionWorksheetitem27lessitem42.Theitemwillcaptureallrevenuessolongasinternationalrevenuesdonotexceed5%oftotalrevenueinanyofthelastfouractualquartersrequestedinthePPNRschedule.Lineitem44 SeveranceCostsInFootnote14,listitemsonPPNRSubmissionworksheetthatincludethisitemifany.Lineitem45 CollateralUnderlyingOperatingLeasesforWhichtheBankistheLessorThisitemisashadedcellandisderivedfromthesumofitems45Aand45B.Referstothebalancesheetcarryingamountofanyequipmentorotherassetrentedtoothersunderoperatingleases,netofaccumulateddepreciation.ThisitemshouldcorrespondtotheamountprovidedintheFRY‐9C,ScheduleHC‐Fitem6(seeitem13intheinstructions).Theamountincludedshouldonlyreflectcollateralrentedunderoperatingleasesandnotinclude

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collateralsubjecttocapital/financingtypeleases.Lineitem45AAutoReportthecarryingamountofautomobilesrentedtoothersunderoperatingleases,netofaccumulateddepreciation.Theamountreportedshouldonlyreflectcollateralrentedunderoperatingleasesandshouldnotincludecollateralsubjecttocapital/financingtypeleases.Lineitem45BOtherReportthecarryingamountofanyequipmentorotherassets(otherthanautomobiles)rentedtoothersunderoperatingleases,netofaccumulateddepreciation.Theamountreportedshouldonlyreflectcollateralrentedunderoperatingleasesandshouldnotincludecollateralsubjecttocapital/financingtypeleases.Lineitem46 OREOBalanceThisitemisashadedcellandisderivedfromthesumofitems46Athrough46C.ReportingofOREOitemsonFRY‐14QPPNRMetricsisexpectedtobeconsistentwithreportingofOREOitemsonFRY‐14APPNRMetricsworksheetwhichsourcesthedatadirectlyfromFRY‐14ABalanceSheetworksheet.Thus,reportingofOREOitemsonFRY‐14QPPNRMetricsworksheetisconsistentwithreportingofOREOitemsonFRY‐14ABalanceSheetworksheet.Lineitem46ACommercialReportthenetbookvalueofallotherrealestateownedintheformof,orforwhichtheunderlyingrealestateconsistsof,commercialrealestate.Lineitem46BResidentialReportthenetbookvalueofallotherrealestateownedintheformof,orforwhichtheunderlyingrealestateconsistsof,residentialrealestate.Lineitem46CFarmlandReportthenetbookvalueofallotherrealestateownedintheformof,orforwhichtheunderlyingrealestateconsistsof,farmland.Lineitem47Non‐RecurringPPNRItemsReportthetotalincomestatementimpactofallmaterialnon‐recurringandinfrequentitems.Examplesofsuchitemsincludegainsorlossesonsalesofbusinesslines,gainsorlossesonextinguishmentofdebt,gainsorlossesonmergers/jointventures,etc.Breakoutandexplaintheseexcludeditemsinfootnote32.Lineitem48 TradingRevenueReporttradingrevenueasdefinedintheFRY‐9C,ScheduleHI,item5.c.Lineitem49 NetGains/(Losses)onSalesofOtherRealEstateOwnedReporttradingrevenueasdefinedintheFRY‐9C,ScheduleHI,item5.j.InFootnote19,listbusinesssegmentsreportedonPPNRSubmissionWorksheetthatincludethisitem,ifany.

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C.FirmWideMetrics:NetInterestIncomeWorksheet(RequiredonlyforBHCsorIHC’sthatwererequiredtocompletetheNetInterestIncomeWorksheet)Lineitem50 CarryingValueofPurchasedCreditImpaired(PCI)LoansReporttradingrevenueasdefinedintheFRY‐9C,ScheduleHC‐C,memorandumitemM.5.b.Lineitem51 NetAccretionofdiscountonPCILoansincludedininterestRevenuesReportthenetaccretionofdiscountonPCIloansincludedinnetinterestincomeasincludedonthePPNRSubmissionWorksheetandNetInterestIncomeWorksheet.Lineitem52LoansHeldforSale–FirstLienResidentialLiensinDomesticOffices(AverageBalances)ReportaveragebalanceoffirstlienresidentialloansheldforsaleasincludedintheNetInterestIncomeWorksheet.Lineitem53AverageRateonLoansHeldforSale–FirstLienResidentialLiensinDomesticOfficesReportaverageratepaidonfirstlienresidentialloansheldforsaleasincludedintheNetInterestIncomeWorksheet.QuarterEndWeightedAverageLifeofAssetsTheWeightedAverageLife(WAL)shouldreflectthecurrentposition,theimpactofnewbusinessactivity,aswellastheimpactofbehavioralassumptionssuchasprepaymentsordefaults,basedontheexpectedremaininglives,inclusiveofbehavioralassumptions.Itshouldreflecttheweightedaverageoftimetoprincipalactualrepayment(asmodeled)forallpositionsinthatportfolio,roundedtothenearestmonthlyterm.Forrevolvingproducts,theWALshouldreflecttheunderlyingrepaymentbehaviorassumptionsassumedbytheinstitution,whichwouldincludecontractualrepayments,anyassumedexcesspaymentsorprepayments,anddefaults.TheWALfortheFRY‐14Qdisclosuresshouldreflectthespotbalancesheetpositionforeachtimeperiod.TheWALshouldbereflectiveofthetimingassumedbytheinstitutionsforthoseassets/liabilitiestradingportfoliostobeheldonthebalancesheetandnotattheindividualpositionlevel.FortheFRY‐14A,giventhatitcoversforecastedtimeperiods,theWALshouldbeforward‐lookingwhichincorporatesthechangestotheprojectedWAL,includingnewbusinessactivity.ReferencethePPNRNetInterestIncomeworksheetforproductdefinitions.Lineitem54 FirstLienResidentialMortgages(inDomesticOffices)Reportthequarterendweightedaveragelifeofdomesticfirstlienresidentialmortgages(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(a),columnB).Lineitem55 Closed‐EndJuniorResidentialLiens(inDomesticOffices)Reportthequarterendweightedaveragelifeofdomesticclosed‐endjuniorresidentialliens(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(2)(b),columnB).Lineitem56 HomeEquityLinesOfCredit(HELOCs)Reportthequarterendweightedaveragelifeofdomestichomeequitylinesofcredit(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.c.(1),columnB).Lineitem57 C&ILoansReportthequarterendweightedaveragelifeofC&IGraded,SmallBusiness(Scored/DelinquencyManaged),CorporateCard,andBusinessCardloans.

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Lineitem58 CRELoans(inDomesticOffices)ReportthequarterendweightedaveragelifeofdomesticCREloans(asdefinedintheFRY‐9C,ScheduleHC‐C,thesumofitems1.a.(1),1.a.(2),1.d.,1.e.(1)1.e.(2)),ColumnB.Lineitem59 CreditCardsReportthequarterendweightedaveragelifeofcreditcards(asdefinedintheFRY‐9C,ScheduleHC‐C,item6.a.,columnA).Lineitem60 AutoLoansReportthequarterendweightedaveragelifeofautoloans(asdefinedintheFRY‐9C,ScheduleHC‐C,item6.c.,columnA).Lineitem61 StudentLoansReportthequarterendweightedaveragelifeofstudentloans.Lineitem62 Other,incl.loansbackedbysecurities(non‐purposelending)ReportthequarterendweightedaveragelifeofOtherConsumerLoans,incl.loansbackedbysecurities(non‐purposelending).Lineitem63 ResidentialMortgages(FirstandSecondLien,NotinDomesticOffices)Reportthequarterendweightedaveragelifeofallresidentialmortgages(firstandsecondlien)notindomesticoffices.Lineitem64 OtherRealEstateLoans(NotinDomesticOffices)Reportthequarterendweightedaveragelifeofotherrealestateloansnotindomesticoffices.Lineitem65 OtherLoans&LeasesReportthequarterendweightedaveragelifeofotherloansandleases.Includeloanssecuredbyfarmland(asdefinedintheFRY‐9C,ScheduleHC‐C,item1.b,columnB),andotherloansnotaccountedforintheabovecategories.Lineitem66Securities(AFSandHTM)‐TreasuriesandAgencyDebenturesReportthequarterendweightedaveragelifeofAFS/HTMbalancesinTreasuryandAgencyDebentures(asdefinedintheFRY‐9C,ScheduleHC‐B,items1,2.aand2.b,columnsAandD).TheWALreportingitems(items66‐68)onPPNRMetricswithintheSummaryScheduleisintendedtoreflecttheweightaverageremaininglifeforthereportedperiod.Thenumberistoreflectboththeweightedaveragelifeofthecurrentpositionsaswellastheimpactofassumednewbusiness.Lineitem67Securities(AFSandHTM)‐AgencyRMBS(bothCMOsandpass‐throughs)ReportthequarterendweightedaveragelifeofAFS/HTMbalancesinAgencyRMBS(asdefinedintheFRY‐9C,ScheduleHC‐B,items4.a.(1),4.a.(2),4.b.(1)and4.b.(2),columnsAandD).TheWALreportingitems(items66‐68)onPPNRMetricswithintheSummaryScheduleisintendedtoreflecttheweightaverageremaininglifeforthereportedperiod.Thenumberistoreflectboththeweightedaveragelifeofthecurrentpositionsaswellastheimpactofassumednewbusiness.Lineitem68Securities(AFSandHTM)‐OtherReportthequarterendweightedaveragelifeofallotherAFS/HTM(definedintheFRY‐9C,ScheduleHC,asitems2.aand2.blessPPNRMetricsWorksheetlineitems66&67).TheWALreportingitems(items66‐68)onPPNRMetricswithintheSummaryScheduleisintendedtoreflecttheweightaverageremaininglifeforthereportedperiod.Thenumberistoreflectboththeweightedaveragelifeofthecurrentpositionsaswellastheimpactofassumednewbusiness.

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Lineitem69 TradingAssetsReportthequarterendweightedaveragelifeoftradingassets(asdefinedintheFRY‐9C,ScheduleHC‐K,item4.a.).Fortradingassets,WALshouldbereflectiveofthetimingassumedbytheinstitutionsforthoseassetstobeheldonthebalancesheetandnotnecessarilythedurationoftheunderlyingpositions.Lineitem70AllOtherEarningAssetsReportthequarterendweightedaveragelifeofallotherinterest‐bearingassetsnotaccountedforintheabovecategories.QuarterEndWeightedAverageLifeofLiabilitiesTheWeightedAverageLife(WAL)shouldreflectthecurrentposition,theimpactofnewbusinessactivity,aswellastheimpactofbehavioralassumptionssuchasprepaymentsordefaults,basedontheexpectedremaininglives,inclusiveofbehavioralassumptions.Itshouldreflecttheweightedaverageoftimetoprincipalactualrepayment(asmodeled)forallpositionsinthatportfolio,roundedtothenearestmonthlyterm.Forrevolvingproducts,theWALshouldreflecttheunderlyingrepaymentbehaviorassumptionsassumedbytheinstitution,whichwouldincludecontractualrepayments,anyassumedexcesspaymentsorprepayments,anddefaults.TheWALfortheFRY‐14Qdisclosuresshouldreflectthespotbalancesheetpositionforeachtimeperiod.FortheFRY‐14A,giventhatitcoversforecastedtimeperiods,theWALshouldbeforward‐lookingwhichincorporatesthechangestotheprojectedWAL,includingnewbusinessactivity.ReferencePPNRNetInterestIncomeworksheetforproductdefinitions.Lineitem71 DomesticDeposits–TimeReportthequarterendweightedaveragelifeforDomesticTimeDeposits(usinginternaldefinitions).Lineitem72 ForeignDeposits–TimeReportthequarterendweightedaveragelifeofForeignTimeDeposits(usinginternaldefinitions).Lineitem73 FedFundsReportthequarterendweightedaveragelifeofFedFundspurchasedindomesticoffices(asdefinedintheFRY‐9C,ScheduleHC,item14.a.).Lineitem74 ReposReportthequarterendweightedaveragelifeofSecuritiessoldunderagreementtorepurchase(asdefinedintheFRY‐9C,ScheduleHC,item14.b.).Lineitem75 OtherShortTermBorrowingReportthequarterendweightedaveragelifeofliabilitiesreportedasotherborrowedmoneyandsubordinatednotesanddebentures(asdefinedintheFRY‐9C,ScheduleHC,items16.and19.a.,ofwhichthefirmwoulddefineasshorttermborrowings).Lineitem76 TradingLiabilitiesReporttheweightedaveragelifeofTradingLiabilities(asdefinedintheFRY‐9C,ScheduleHC,item15.).Fortradingliabilities,WALshouldbereflectiveofthetimingassumedbytheinstitutionsforthoseassetstobeheldonthebalancesheetandnotnecessarilythedurationoftheunderlyingpositions.

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Lineitem77SubordinatedNotesPayabletoUnconsolidatedTrustsIssuingTruPSandTruPSIssuedbyConsolidatedSpecialPurposeEntitiesReportthequarterendweightedaveragelifeofPreferredSecurities(TruPS)andTruPSIssuedbyConsolidatedSpecialPurposeEntities(asdefinedintheFRY‐9C,ScheduleHC,item19.b.).Lineitem78AllOtherInterestBearingLiabilitiesReportthequarterendweightedaveragelifeofalllong‐termdebtnotincludedinlineitem77above.AverageDomesticDepositRepricingBetaDomesticdepositrepricingisratemovementinanenvironmentwheretherepricingassumptionassumedbyeachofthemajordepositproductsisnotrestrictedbyacap,floor,orzero.Betashouldbereportedasthebalance‐weightedaverageofthebetasofthelineitemsthatcontributetotherolluppointrequested,withanas‐of‐dateequaltothereportingdate.Thebetashouldbethebetautilizedforforecastingpurposes‘normalenvironment’.Forthebalance‐weightedaveragebeta,eachdepositcategoryshouldbereportedusingablendofbrokeredandretaildeposits.Betareferstotheaveragerepricingresponseratethefirmprojectsforeachofthedepositproductsrelativetomovementsininterestrates.Thebetasforlineitems79through82shouldbereportedinbasispoints(bp)andreflectmovementintheyieldcurve,eitherupordowninrelationshiptoanassumed100bpsmovement.Forbeta‐relatedlineitems79to84onthePPNRMetricstemplate,anegativenumbercanbereportedinthedownwardratemovements.However,anegativewouldbeindicatingthatthefirmisprojectingan“increase”inthebetawhenratesmovementsaredown.Lineitem79MoneyMarketAccountsReport(inbasispoints)thebalance‐weightedaveragebetaofdomesticmoneymarketaccounts(usinginternaldefinitionsforthisproduct).Lineitem80SavingsReport(inbasispoints)thebalance‐weightedaveragebetaofdomesticsavingsaccounts(usinginternaldefinitionsforthisproduct).Lineitem81NOW,ATS,andotherTransactionAccountsReport(inbasispoints)thebalance‐weightedaveragebetaofNegotiableOrderofWithdrawal(NOW),AutomaticTransferService(ATS),andothertransactionaccounts(usinginternaldefinitionsfortheseproducts).Lineitem82TimeDepositsReport(inbasispoints)thebalance‐weightedaveragebetaoftimedeposits(usinginternaldefinitionsforthisproduct).AverageForeignDepositRepricingBetaForeigndepositrepricingisratemovementinanenvironmentwheretherepricingassumptionassumedbyeachofthemajordepositproductsisnotrestrictedbyacap,floor,orzero.Betashouldbereportedasthebalance‐weightedaverageofthebetasofthelineitemsthatcontributetotherolluppointrequested,withanas‐of‐dateequaltothereportingdate.Forthebalance‐weightedaveragebeta,eachdepositcategoryshouldbereportedusingablendof

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brokeredandretaildeposits.Betareferstotheaveragerepricingresponseratethefirmprojectsforeachofthedepositproductsrelativetomovementsininterestrates.Thebetaratiosforlineitems83through84shouldbereportedinbasispoints(bp)movementintheyieldcurve,eitherupordowninrelationshiptoanassumed100bpsmovementLineitem83 ForeignDepositsReport(inbasispoints)thebalance‐weightedaveragebetaofforeigndeposits(usinginternaldefinitionsforthisproduct).Lineitem84 ForeignDeposits‐TimeReport(inbasispoints)thebalance‐weightedaveragebetaofforeigntimedeposits(usinginternaldefinitionsforthisproduct).Itisappropriatetoreportthisitemasa“balance‐weightedaveragebetaofforeigntimedeposits.Lineitem85 NewDomesticBusinessPricingforTimeDepositsNewbusinesspricingfortimedepositsreferstotheanticipatedaveragerateonnewlyissuedtimedeposits,includingrenewals.Giventhattimedepositshaveastatedmaturity,alltimedepositsissuedforthattimeperiodareconsiderednewbusiness.Theworksheetisrequestingre‐pricingbetaundernormalratescenariosforbothanupwardanddownwardratemovement.Lineitem85ACurve(ifmultipletermsassumed)Reporttheprimaryreferencecurveusedbythefirmforpricingtimedeposits.Ifmorethanonecurveforthepricingoftimedepositsisused,thecurveusedtopricethemajorityofthetimedepositsshouldbenotedonthescheduleandadditionalpricinginformationshouldbeprovidedinthesupplementaryinformation.Iftheinstitutiononlyassumesasinglematuritytermfornewissuance,thentheinstitutionshouldprovidetherelativeindex(lineitem85B)andspreadusedtoestimatenewbusinesspricinginlieuofthecurve(lineitem85C).Theterm“curve”referstothereferencerateusedtopricetimedeposits.Giventhatthepricingoftimedepositsisdependentontheterm,theinstitutionshouldprovidetheoverallcurveusedtopricetimedeposits.Lineitem85BIndexRate(ifsingletermassumed)Reporttheindex(e.g.“30dayLIBOR”)usedtopricetimedepositswhenasinglematuritytermfornewissuancesisassumed.Theindexshouldbetheonetowhichthebetainlineitem82isapplied.Lineitem85CSpreadrelativetotheIndexRateReporttheweightedaveragespreadusedtopricetimedepositsabovetheindexratewhenasinglematuritytermfornewissuancesisassumed.

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ScheduleH—WholesaleRiskH.1‐ CorporateLoanDataScheduleTheCorporateLoanDataSchedulecollectsloanleveldetailoncorporateloansandleases.Thedatacollectionhastwosections:(1)LoanandObligorDescriptionsection(Fields1through51,andFields83through101),whichcollectsinformationrelatedtotheobligorandtheloanitself;and(2)ObligorFinancialDatasection(Fields52through82),whichcollectsdatarelatedtothefinancialhealthoftheobligorortheentitythatistheprimarysourceofrepaymentfortheloan.Bothsectionsarecompletedataloanleveldetail.

A. LoanPopulationTheloanpopulationincludescorporateloansandleasesthatareheldforinvestment(HFI)(asdefinedintheFRY‐9C,ScheduleHC‐CGeneralInstructions)andheldforsale(HFS)asofthereportdate(i.e.quarterend).IncludeHFIandHFSloansthattheholdingcompanyhaselectedtoreportatfairvalueunderthefairvalueoption.Excludeallloansandleasesclassifiedastrading(reportableontheFRY‐9C,ScheduleHC,item5).

IncludeallcorporateloansthatareattheconsolidatedBankHoldingCompany(BHC)andIntermediateHoldingCompany(IHC)levelandnotjustthoseofthebankingsubsidiaries,aswellasanyunusedcommitmentsthatarereportedonScheduleHC‐LthatwouldbereportedintherelevantFRY‐9Ccategory(asoutlinedbelow)ifsuchloansweredrawn(includingallundrawncommitmentsextendedtonon‐consolidatedvariableinterestentitiesandcommitmentstocommitasdefinedintheFRY‐9C).Excludeinformal“advisedlines”(i.e.,arevocablecommitmentbythebanktolendfundsforuptoaspecifiedperiodoftime,usuallyoneyear,sometimesreferredtoasaguidanceline)fromcommitments.

ReportpotentialexposuresfromthesyndicatedloanpipelineincludingexposureswheretheBHCorIHChassignedacommitmentletterandhasextendedtermstotheborrower,eveniftheborrowerhasnotcountersignedthecommitmentletter(i.e.singlesignedcommitment).Commitmentsaretobereportedregardlessofwhethertheycontain“materialadversechange”clausesorotherprovisionsthatareintendedtorelievetheBHCorIHCofitsfundingobligationsundercertainconditions.Inadditiontocorporateloansandleasesthatarecurrentlyactiveasofthereportingdate,theloanpopulationshouldalsoincludecorporateloansandleasesthatweredisposedofduringthereportingquarter.Forpurposesofthisschedule,refertoField98(DispositionFlag)forspecificinstructionsoninstancesofdisposedcorporateloansandleases.Theloanpopulationislimitedtocorporateloansandleaseswithacommittedbalancegreaterthanorequalto$1million.Althoughcorporateloansandleaseswithacommittedbalanceunder$1millionarenotreportedontheFRY‐14QCorporateLoansSchedule,thesumoftheoutstandingbalanceoftheseloanswouldbeincludedintherelevantfieldsontheFRY‐14QSupplementalScheduleandtheFRY‐14ASummarySchedulepursuanttotheinstructionsforthoseschedules.

Ingeneral,useloanclassificationsontheFRY‐9C,ScheduleHC‐Casaguideindeterminingthepopulationofcorporateloansandleases.RefertotheFRY‐9C,ScheduleHC‐Cinstructionsforspecificguidanceonloanclassifications.IndeterminingloanclassificationsontheFRY‐14QCorporateLoanDataSchedule, look to thesecurity,borrower,orpurposeof the loan.BelowisalistofFRY‐9C,ScheduleHC‐Ccategoriesthatareconsideredcorporateloans:

1) LoanstoU.S.banksandotherU.S.depositoryinstitutions(FRY‐9C,ScheduleHC‐C,item2.a);

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2) Loanstoforeignbanks(FRY‐9C,ScheduleHC‐C,item2.b);3) Loanstofinanceagriculturalproductionandotherloanstofarmers(FRY‐9C,ScheduleHC‐C,

item3);4) CommercialandindustrialloanstoU.S.addresses(FRY‐9C,ScheduleHC‐C,item4.a);5) Commercialandindustrialloanstonon‐U.S.addresses(FRY‐9C,ScheduleHC‐C,item4.b);6) Loanstoforeigngovernmentsandofficialinstitutions(includingforeigncentralbanks)(FRY‐

9C,ScheduleHC‐C,item7);7) Loanstonon‐depositoryfinancialinstitutions(FRY‐9C,ScheduleHC‐C,item9.a);8) Allotherloans,excludingconsumerloans(FRY‐9C,ScheduleHC‐C,item9.b(2));9) Allotherleases,excludingconsumerleases(FRY‐9C,ScheduleHC‐C,item10.b);10) Loanssecuredbyowner‐occupiednonfarmnonresidentialpropertiesoriginatedindomestic

offices(FRY‐9C,ScheduleHC‐C,item1.e(1));and11) Loanssecuredbyowner‐occupiednonfarmnonresidentialpropertiesoriginatedinnon‐

domesticoffices(reportedwithinFRY‐9C,ScheduleHC‐C,item1).

Reportloanssecuredbyowner‐occupiednonfarmnonresidentialpropertiesontheFRY‐14QCorporateLoansSchedule,eveniftheyarecross‐collateralizedwithaloanreportedontheFRY‐14QCommercialRealEstateSchedule.Loanssecuredbyowner‐occupiednonfarmnonresidentialpropertiesarethosenonfarmnonresidentialpropertyloansforwhichtheprimarysourceofrepaymentisthecashfromtheongoingoperationsandactivitiesconductedbytheparty,oranaffiliateoftheparty,whoownstheproperty.Thus,forloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,theprimarysourceofrepaymentisnotderivedfromthirdparty,nonaffiliated,rentalincomeassociatedwiththeproperty(i.e.,anysuchrentalincomeislessthanfiftypercent(50%)ofthesourceofrepayment)ortheproceedsofthesale,refinancing,orpermanentfinancingoftheproperty.Consequently,suchloansareconsideredcorporateloansratherthancommercialrealestateloans.

ExcludesmallbusinessloansfromtheloanpopulationastheyarereportableontheFRY‐14QUSSmallBusinessScheduleandtheInternationalSmallBusinessSchedule.Themaindifferentiatingfactorbetweencorporateloansandsmallbusinessloansishowtheconsolidatedholdingcompanyevaluatesthecreditworthinessoftheborrower.Forcorporatelending,bankslookatthecommercialoperationsprocess(commercialgradingorinternalriskrating)toassesscreditrisk.Therefore,corporateloansareloansthatare“graded”or“rated”usingtheconsolidatedholdingcompany’scommercialcreditratingsystem,asitisdefinedintheconsolidatedholdingcompany’snormalcourseofbusiness.Meanwhile,forsmallbusinesslending,bankslookatthecreditscoreoftheborrower(scoredrating)and/orusedelinquencymanagement.Therefore,smallbusinessloansareloansthatare“scored”or“delinquencymanaged”forwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloans.

Reportnon‐purposeloansreportableintherelevantFRY‐9C,ScheduleHC‐CcategoriesoutlinedaboveandinField26‘LineReportedonFRY‐9C’regardlessofwhetherthoseloansare“graded.”Forpurposesofthisschedule,non‐purposeloansareloanscollateralizedbysecuritiesmadeforanypurposeotherthanpurchasingorcarryingsecurities.

Excludeunplannedoverdrafts(asdefinedintheFRY‐9C,ScheduleHC‐C,item9).

ExcludedomesticandinternationalbusinessandcorporatecreditcardorchargecardloansincludedintheFRY‐14Q/M,CreditCardDataCollections(seetheFRY‐14M,CreditCardDataCollectionDataDictionaryforthedefinitionofbusinessandcorporatecreditcardorchargecardloans).Forexample,ifthereisanyindividualliabilityassociatedwiththesub‐linessuchthatindividualborrowercharacteristicsaretakenintoaccountduringtheunderwritingdecision,and/orperformanceonthecreditisreportedtothecreditbureaus,theloanshouldbereportedontheFRY‐14Q/MCreditCardDataCollections.Alternatively,

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loanswithacommittedbalancegreaterthan$1millionforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlossesincurredshouldbereportedintheFRY‐14QCorporateLoanschedule.

Thepopulationofloansshouldbereportedatthecreditfacilitylevel.Forpurposesofthiscollection,acreditfacilityisdefinedasacreditextensiontoalegalentityunderaspecificcreditagreement. Acreditfacilitymaybesecuredorunsecured,termorrevolving,drawnorundrawn(excludinginformaladvisedlines).Thecreditfacilitymayalsoallowformultipleextensionsofcredit(ordraws)withuniqueborrowingtermssuchasinterestrateorrepaymentdate;however,ultimatelytheaggregationofsuchextensionsofcreditaregovernedunderonecommoncreditagreement. DescriptionsoftypicalcreditfacilitytypesareoutlinedinField20.The$1milliondollarreportingthresholdappliestoanysetof`commitmentswherethesumofthosecommitments,governedunderonecommoncreditagreement,isgreaterthanorequalto$1million.Thesecriteriaarethesameforallextensionsofcreditandalltypesofstandbylettersofcredit.Corporateborrowersmayalsohavemultiplefacilitiesfromthesamebank.Eachfacilityshouldbereportedseparately,butmultipledrawswithinafacilityshouldbeconsolidatedatthefacilitylevel.Ifaborrowerhasmorethanonelegallyseparatecreditfacilityeachwithacommittedamountoflessthan$1million,thosefacilitieswouldbeexcludedfromtheCorporateLoansDatacollectioneveniftheyarecrossdefaultedand/orcrosscollateralized.

CreditfacilitiescontainingloanswhichfallunderoneormoreoftheFRY‐9ClineitemsoutlinedaboveshouldbereportedontheFRY‐14QCorporateLoanDatascheduleatthecreditfacilitylevel.ForcreditfacilitiesalsocontainingloansreportedonFRY‐9Clineitemsnotoutlinedabove,theunderlyingloansshouldbeaggregatedandreportedontherespectiveFRY‐14Qschedulesbasedontherelevantscheduleinstructions.Forexample,consideracreditfacilitywhichhasthefollowingunderlyingloancommitments:

Loan1:$2millioncommittedbalancereportedonFRY‐9C,ScheduleHC‐C,item4.a

Loan2:$1millioncommittedbalancereportedonFRY‐9C,ScheduleHC‐C,item4.b

Loan3:$500,000committedbalancereportedonFRY‐9C,ScheduleHC‐C,item1.e(1)

Loan4:$500,000committedbalancereportedonFRY‐9C,ScheduleHC‐C,item1.d

TheBHCorIHCshouldaggregateloans1,2,and3andreportonefacilitywitha$3.5millioncommittedbalanceontheFRY‐14QCorporateLoanscheduleandonefacilitywitha$500,000committedbalanceontheFRY‐14QCommercialRealEstateschedule.Notethatallloanswithinthefacilityarereported,includingthoseunderthecreditfacilitythreshold.Intheaboveexample,the$500,000committedbalanceisreportedontheFRY‐14QCREschedulebecauseoftheoverallfacilitycommitmentisgreaterthan$1million.

B. ReportingSpecificationsConsistentwiththeFRY‐9C,reportallloansnetofcharge‐offs,fairvalueadjustments(FVA)andASC310‐30(originallyissuedasSOP03‐3)adjustments,ifapplicable,butgrossofASC310‐10(originallyissuedasFAS114AccountingbyCreditorsforImpairmentofaLoan)reserveamounts.Charge‐offs,FVA,ASC310‐10reserveamounts,andASC310‐30adjustmentsshouldbereportedseparatelyinthedesignatedfields(28,30,31,84,and85respectively).

Onceacreditfacilityisclosedandsettled(Option‘4’inField100),alldollaramountsintheLoanandObligorDescriptionsectionshouldrepresentonlytheconsolidatedholdingcompany’spro‐rataportionofanysyndicatedorparticipatedloan.

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Theloanpopulationalsoincludescreditfacilitieswhichincludeafrontingexposure.FrontingexposuresarethosethatrepresentaBHC’sorIHC’sexposuretofundcertainobligations(e.g.,swinglineorlettersofcredit)onbehalfofotherparticipantlenders.Forsuchexposures,BHCsandIHCsshouldindicateOption18inField20‘CreditFacilityType’andreporttheirpro‐rataportionofthestatedcommitmentamountasonefacilitytotheborrowerandthefrontingobligationsasseparatecreditfacilitiestoeachofthelendinggroupparticipants.Forexample,considerafacilitywith$400millioncommittedbalancewheretheBHCorIHCistheagentbankandtheBHC’sorIHC’spro‐ratashareofthecommitmentis10%or$40million.Assumefurtherthatthecreditfacilitycontainsa$50millionsublimit.thattheBHCorIHC,asagent,hasanobligationtoadvanceonbehalfoflendinggroupparticipantswhichmayincludeswinglines,lettersofcreditandotherfrontingobligations.Inthisexample,theagentBHCorIHCwouldreporta$40millionpro‐ratacommitmentasonecreditfacilitytotheborrowerandwouldreport90%ofthe$50millionsublimit(or$45million)asseparatepro‐ratacreditfacilitiestothelendinggroupparticipants.

AllamountsshouldbereportedinUSdollars.

C. ObligorFinancialDataSectionInstructionsFields52through82(ObligorFinancialDatasection),mustbereportedforallcorporateloansandleasesasofthereportdate,excludingloanswith:

(i) Anobligordomiciled(asdefinedintheFRY‐9CGlossaryentryfor“domicile”)outsideoftheUS(Field6);

(ii) AnobligorwithaNAICScodebeginningwith52(FinanceandInsurance),or5312(RealEstateAgentsandBrokers),or551111(OfficesofBankorIntermediateHoldingCompanies);

(iii) Anobligorthatisanonprofitorganizationorfederal,state,orlocalgovernmentorrelatedagencies;or

(iv) AnobligorthatisaNaturalPerson(includingindividualsdoingbusinessas(DBA)anotherentitywheretheprimarysourceofrepaymentanalyzedisthepersonalcreditofthenaturalpersonbehindtheDBA).

Forloansthatmeettheexclusionsabove,Fields52through82shouldbeleftblank.TheexclusionsoutlinedabovefortheObligorFinancialDatasectionareattheobligororprimarysourceofrepaymententitylevel.

TheObligorFinancialDataSectionrelatestothelegalentitythatprovidestheprimarysourceofrepaymentforthecreditfacilityidentifiedinField15. Ifthelegalentityusedbyunderwritingastheprimarysourceofrepaymentisdifferentfromthelegalentityactuallymakingthepayment,reporttheObligorFinancialDataSectionfortheentityusedbyunderwriting.Note,thelegalentitythatprovidestheprimarysourceofrepaymentwillgenerallybedifferentfromtheguarantor,whichprovidessecondarysupportforrepayment.InformationrelatedtotheguarantorshouldbereportedinFields44through48oftheLoanandObligorDescriptionsection.

IfthislegalentitythatprovidestheprimarysourceofrepaymentisthesameastheObligoridentifiedinField2,theObligorFinancialDataSectionshouldreflectfinancialinformationofthatObligorandFields49through51andField95shouldbeleftblank. However,iftheprimarysourceofrepaymentisprovidedbyanentitythatisdifferentthantheObligoridentifiedinField2,theentityshouldbeidentifiedinFields49‐51andField95andtheObligorFinancialDatasectionshouldreflectthefinancialinformationforthisentity.AllotherObligorFieldsreportedintheLoanandObligorDescriptionsectionshouldcontinuetoreflecttheObligoridentifiedinField2.

Foracreditfacilityforwhichthereisnoclearpredominantborrowerthatservesastheprimarysourceofrepayment,theObligorFinancialDataSectionshouldreflectthefinancialinformationof

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theentitythatbestrepresentsthecreditrepaymentcapacityforthecreditfacility.Forloanssecuredbyowneroccupiedrealestateforwhichtheprimarysourceofrepaymentisanoperatingcompanythatoccupiestherealestateandisanaffiliateofthepropertycompanywhichownstheproperty,theObligorFinancialDataSectionshouldreflectthefinancialinformationoftheoperatingcompany.

DatainFields54through82shouldbereportedorcalculatedinaccordancewithGAAPstandards.NotedescriptionsintheObligorFinancialDataSectionprovideguidanceonwhatshouldbereportedineachfieldbasedoncommonly‐useddefinitions;unlessotherwiseinstructed,areportingbankshouldreporttheFieldsasdefinedbyitsfinancialspreadingsystems(i.e.,softwareprogramsonwhichtheBHCorIHCspreadsandanalyzesthefinancialstatementsofitscustomers)inaccordancewithitscreditpolicy.Thefinancialstatementdatafieldsshouldbepopulatedwiththemostrecentfinancialstatementdataavailableasofthereportdate(i.e.themostrecentfinancialdatafoundintheconsolidatedholdingcompany’sfinancialspreadingsystemasofthereportdate)andshouldnotbeboundbyfinancialstatementdatathatwasusedintheconsolidatedholdingcompany’smostrecentformalratingreview.Fields54,56,57,58, 59,and82shouldbereportedforthemostrecentlyavailabletrailingtwelvemonth(TTM)period,withtheendingdateindicatedinField52.IfanobligorlackstrailingtwelvemonthsoffinancialinformationsufficientforFields54,56,57,58,59,and82,providetheunderwrittenannualinformationforFields54,56,57,58,59and82,withtheendingdateindicatedinField52. Fields55and60shouldbereportedfortheTTMperiodendedoneyearpriortothedateindicatedinField52.IfanobligorlackstrailingtwelvemonthsoffinancialinformationsufficientforFields55and 60,providetheunderwrittenannualinformationforFields55and60,withtheendingdateoneyearpriortothedateindicatedinField52.DataFormat

Datashouldbeprovidedinasingleextensiblemarkuplanguagefile(.xml).Noquotationmarksshouldbeusedastextidentifiers.Donotprovideaheaderroworarowcount.Thisfilewillcontainonerecordperactiveloaninthecontributor’sinventory.

Forfieldsthattheschedulespecifiesasadate,buttheXSDspecifiesasadatetime,provideT00:00:00asthetime.

D. CorporateLoanDataFields

Thetableonthefollowingpagesshowsthefieldsthatshouldbecontainedinthesubmissionfile.Reportallfieldswithdataasofthereportdate.Forcorporateloansandleasesdisposedofduringthequarter,reportallfieldsasofthedateofdisposition,unlessotherwiseinstructedinindividualfielddescriptions.

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FieldNo.

FieldName;(TechnicalField

Name)MDRM Description AllowableValues

1 CustomerID

(CustomerID)

CLCOM047 Reporttheuniqueinternalidentifierforthecustomerrelationshipunderwhichtheobligor'sexposureisaggregatedinthereportingentity's credit systems. Customer ID is a relationship conceptunderwhichmultipleborrowersareaggregatedbecausetheyhaverelated risks, including, but not limited to parent/subsidiaryrelationships. For stand‐alone or ultimate parent obligors, theCustomerIDmaybethesameastheuniqueinternalidentifierfortheobligorprovidedinField2.

Mustnotcontainacarriagereturn,linefeed,commaoranyunprintablecharacter.

2 InternalID

(InternalObligorID)

CLCOM300 Report the reporting entity’s unique internal identifier for theobligor.InternalIDisaborrowerconceptthatidentifiestheentityunderwhichmultipleloansareaggregated.


3 OriginalInternalID

(OriginalInternalObligorID)

CLCOG064 Reporttheinternalidentificationcodeassignedtotheobligorintheprevious submission. If there is no change from the priorsubmission,orifthisisthefirstsubmission,theInternalIDreportedinField2shouldbeusedastheOriginalInternalID.


4 ObligorName

(ObligorName)

CLCO9017 Reporttheobligornameonthecreditfacility.

Fulllegalcorporatenameisdesirable.Iftheborrowingentityisanindividual(s)(NaturalPerson(s)),donotreportthename;insteadsubstitutewiththetext:"Individual."

Forfrontingexposures,reportlegalnameoftheparticipantlender.

Must not contain a carriagereturn, linefeed,commaoranyunprintablecharacter.

5 City

(City)

CLCO9130 Reportthenameofthecityinwhichtheobligorisheadquartered. FreetextindicatingtheCitywheretheObligorisphysicallyheadquartered.

187

FieldNo.



6 Country

(Country)

CLCO9031 Reportthecountryinwhichtheobligorisheadquartered.

Usethe2letterCountryCode12

7 ZipCode

(ZipCodeForeignMailingCode)

CLCO9220 Reportthefive‐digitzipcodeforlocationswithinthe50USstates,Washington DC, Puerto Rico, the US Virgin Islands, Guam, Palau,Micronesia,theNorthernMarianas,ortheMarshallIslands.Forallother locations report the foreign mailing code of the physicallocationoftheobligor’sheadquarters.

Forlocationswithinthe50USstates,WashingtonDC,PuertoRico,theUSVirginIslands,Guam,Palau,Micronesia,theNorthernMarianas,ortheMarshallIslands:five‐digitZIPcode.IftheZIPcodebeginswithzeroes,leadingzeroesmustbespecifiedwithnopunctuation.ForInternational:usecountryspecificpostalcode.

12 SeelinkbelowforlistofISOstandardcountrycodes.

http://www.iso.org/iso/home/standards/country_codes.htm

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FieldNo.



8 IndustryCode

(IndustryCode)

CLCO4537 Report the numeric code that describes the primary businessactivity of the obligor according to theNorthAmerican IndustryClassificationSystem(NAICS). If theNAICScode isnotavailable,provideeithertheStandardIndustrialClassification(SIC),orGlobalIndustryClassificationStandard(GICS).

If the obligor is an individual, the industry code should beconsistentwiththeindustryinwhichthecommercialpurposeoftheloanoperates.

If the business or individual operates inmultiple industries, theBHC or IHC should report the industry that best represents thecommercialriskoftheloan(i.e.,thepredominantindustry).

Report4to6digitnumber. Ifthiscodeisnotavailable,thenprovideaSICorGICSindustrycode.

9 IndustryCodeType

(IndustryCodeType)

CLCOM297 SelectthetypeofindustrycodeidentificationschemeusedinField8.

1.NAICS2.SIC3.GICS

10 ObligorInternalRiskRating

(InternalRating)

CLCOG080 Reporttheobligorratinggradefromthereportingentity’sinternalrisk ratingsystem.For frontingexposures, report theparticipantlender’sratinggradefromthereportingentity’sinternalriskratingsystem.

Thisisthereportingentity’sprobabilityofdefault(PD)rating.Ifthereportingentityusesaone‐dimensionalriskratingsystem,recordthatratinghere.

Freetextindicatingtheobligorratinggrade.

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FieldNo.



11 TIN

(TIN)

CLCO6191 Report theTaxpayerIdentificationNumber(TIN)assignedtotheobligor by the U.S. Internal Revenue Service (IRS) in theadministration of tax laws. If the borrowing entity is anindividual(s) (Natural Person(s)), do not report Social SecurityNumber;insteadenter‘NA’.If,theborrowingentitydoesnothaveaTIN,enter‘NA’.

The9digitassignedbytheInternalRevenueServicefortheobligoridentifiedinfield2.

Allowableformsareeither##‐#######,#########,or‘NA’.

12 StockExchange

(StockExchange)

CLCO4534 ReportthenameoftheStockExchangeonwhichtheprimarystockoftheobligor,or itsparent, trades. If theborrowingentityisnotpublicly traded, enter ‘NA’. In cases where the subsidiary is theobligor and the subsidiary is publicly traded, report the StockExchange and Ticker Symbol (field #13) of the subsidiary,regardlessofownershipstructure.Ifthesubsidiaryisnotpubliclytraded, but its parent is, report the stock exchange and tickersymbol of the parent. Report in the same manner when thesubsidiaryisminorityowned.

Freetext

13 TickerSymbol

(TKR)

CLCO4539 Report the Stock Symbol for stocks listed and traded on theregulatedexchangeprovidedinField12.Forsubsidiariesofpubliccompanies, use parent ticker symbol from its primary StockExchange. Iftheborrowingentityisnotpubliclytraded,enter‘NA’.Incaseswherethesubsidiaryistheobligorandthesubsidiaryispubliclytraded,reporttheStockExchange(field#12)andTickerSymbolofthesubsidiary,regardlessofownershipstructure.Ifthesubsidiaryisnotpubliclytraded,butitsparentis,reportthestockexchange and ticker symbol of the parent. Report in the samemannerwhenthesubsidiaryisminorityowned.

Freetext

190

FieldNo.



14 CUSIP

(CUSIP)

CLCO9161 ReporttheCUSIPoftheobligor,ifavailable.CUSIPsareidentifierscreatedanddeliveredbytheCSB(CUSIPServiceBureau).TheCSBis managed on behalf of the American Bankers Association byStandard&Poor’s.Issuercodesareassignedalphabeticallyfromaseriesthatincludesdeliberatebuilt‐in“gaps”forfutureexpansion.

Report the first six characterswhich are known as the base (orCUSIP‐6)anduniquelyidentifytheissuer.IfaCUSIPdoesnotapply,enter‘NA’.

Mustbevalid6digitCUSIPnumberissuedbytheCUSIPServiceBureau.

15 InternalCreditFacilityID

(InternalCreditFacilityID)

CLCOM142 Report the reporting entity’s unique internal identifier for thiscreditfacilityrecord.Itmustidentifythecreditfacilityforitsentirelifeandmustbeunique.

IntheeventtheinternalfacilityIDchanges(i.e.,loanwasconvertedto a new system throughmigration or acquisition), also provideOriginalInternalcreditfacilityIDinField16.

For fronting exposures, report the unique internal identifierassignedtotheparticipantlender’sfrontingallocation.

Mustbeuniquewithinasubmissionandovertime.Thatis,thesamesubmissionfilemustnothavetwofacilitieswiththesameCreditFacilityID.

Maynotcontainacarriagereturn,linefeed,commaoranyunprintablecharacter.

16 OriginalInternalCreditFacilityID

(OriginalInternalCreditFacilityID)

CLCOM296 Reportthe Internalidentification codeassigned to thecredit facilityrecordintheprevioussubmission.Ifthecreditfacilityrepresentsthefulfillmentofacommitmenttocommitorasyndicatedpipelineloanreportedintheprevioussubmission,reportthecreditfacilityIDusedforthatformerlyreportedexposure.Ifthereisnochangefromthepriorsubmission,orifthisisthefirstsubmission,thentheInternalcreditfacilityIDreportedinField15shouldbeusedastheOriginalInternalcreditfacilityID.


17 DONOTUSE

191

FieldNo.



18

OriginationDate

(OriginationDate)

CLCO9912 Reporttheoriginationdate.Theoriginationdateisthecontractualdateofthecreditagreement. (Inmostcases,thisisthedatethecommitment to lend becomes a legally binding commitment). Ifthere has been a major modification to the loan such that theobligorexecutesaneworamendedandrestatedcreditagreement,use the revised contractual date of the credit agreement as theorigination date. The following independent examples wouldgenerallynotresultinachangeinthecontractualdateoftheloan,and thus would not be considered major modifications: (1)extension options at the sole discretion of the borrower; (2)covenants; (3)waivers; (4) change in thematurity date; (5) re‐pricing; or (6) periodic credit reviews. Additionally, exclude allrenewalswhichmeetthedefinitioninthe‘RenewalDate’Field91.Forcorporate loansand leases in thesyndicatedpipeline, reportthe date on which the BHC or IHC has extended terms to theborrowerinthesignedcommitmentletter(option1infield100).Oncethedeal isreportedasclosedandsettled(option4inField100),reporttheupdatedoriginationdateperthedefinitionabove.Forcommitmentstocommitwhicharenotsyndicated,reportthedateonwhichtheBHCorIHCextendedtermstotheborrower.


Mustbebeforeorequaltothequarterenddateofthedata.

192

FieldNo.



19 MaturityDate

(MaturityDate)

CLCO9914 Reportthematuritydate.Thematuritydateisthelastdateuponwhichthefundsmustberepaid,inclusiveofextensionoptionsthataresolelyattheborrower’sdiscretion,andaccordingtothemostrecent terms of the credit agreement. If extension options areconditionaloncertaintermsbeingmet,suchextensionsshouldbeconsideredtobeatthesolediscretionoftheborroweronlywhensuchconditionsareincompliancewiththecreditagreement. Fordemand loan, enter ‘9999‐01‐01’.For corporate loans in thesyndicatedpipeline,untilthesyndicatedloanisreportedasclosedandsettled(option4inField100),reporttheestimatedmaturitydatebasedonthetenorstatedinthecommitmentletter.

Forcommitmentstocommitwhicharenotsyndicated,reporttheestimatedmaturitydatebasedonthetenorinthetermsextendedtotheborrower.


193

FieldNo.



20 CreditFacilityType

(FacilityType)

CLCOG072 Reportthecreditfacilitytype.Usethefollowingcreditfacilitytypedescriptions,only. Notethatthesedescriptionsandcodesmirrorthe requirements for Shared National Credit reporting andthereforenotallwillberelevantforCorporateLoanreporting.IftheCreditfacilitytypeis“Other,”providedescriptioninField21.0 OTHER1 REVOLVINGCREDIT2 REVOLVINGCREDITCONVERTINGTOTERMLOAN3 REVOLVINGCREDIT‐ASSETBASED4 REVOLVINGCREDIT–DIP(Debtor‐In‐Possession)5 NON‐REVOLVINGLINEOFCREDIT6 NON‐REVOLVINGLINEOFCREDITCONVERTINGTOTERM

LOAN7 TERMLOAN8 TERMLOAN–A9 TERMLOAN–B10 TERMLOAN–C11 TERMLOAN–BRIDGE12 TERMLOAN‐ASSETBASED13 TERMLOAN–DIP(Debtor‐In‐Possession)14 CAPITALIZEDLEASEOBLIGATION15 STANDBYLETTEROFCREDIT16 OTHERREALESTATEOWNED17 OTHERASSET18 FRONTINGEXPOSURE

Enternumbercodeofthedescription.

21 OtherCreditFacilityTypeDescription

(OtherFacilityType)

CLCOG107 If the credit facility is listed as “Other” in Field 20, provide adescriptionofthe“othercreditfacilitytype.”LeavethisfieldblankifField20isnotzero.

FreeText

194

22 CreditFacilityPurpose

(CreditFacilityPurpose)

CLCOG073 Reportthecreditfacilitypurpose.Use the followingcredit purposedescriptions,only.NotethatthesedescriptionsandcodesmirrortherequirementsforSharedNationalCreditreportingandthereforenotallwillberelevantforCorporateLoanreporting..Ifthecreditfacilitypurposeis“Other,”providedescriptioninField23.Forfrontingexposures,reportthecreditfacilitypurposebasedontheprimarycreditfacility.

0 OTHER1 ACQUISITIONAND/ORMERGERFINANCING2 ASSETSECURITIZATIONFINANCING3 CAPITALEXPENDITURESEXCLUDINGREALESTATE4 COMMERCIALPAPERBACK‐UP5 INDUSTRIALREVENUEBONDBACK‐UP6 MORTGAGEWAREHOUSING7 TRADEFINANCING8 PERFORMANCEGUARANTEE9 WORKINGCAPITAL‐SHORTTERM/SEASONAL10 WORKINGCAPITAL–PERMANENT11 GENERALCORPORATEPURPOSES12 DEBTREFINANCE/CONSOLIDATION13 ESOPFINANCING14 AGRICULTUREAND/ORLIVESTOCKPRODUCTION15 AGRICULTUREAND/ORRANCHINGREALESTATE16 STOCKBUYBACK17 PORTFOLIOACQUISITIONINCLUDINGNOTEPURCHASE

AGREEMENTS18 REALESTATEACQUISITION/DEVELOPMENT/CONSTRUCTION–

LAND19 REALESTATEACQUISITION/DEVELOPMENT/CONSTRUCTION–

RESIDENTIAL

Enternumbercodeofthedescription

20 REAL ESTATEACQUISITION/DEVELOPMENT/CONSTRUCTION‐COMML&INDL

21 REALESTATEINVESTMENT/PERMANENTFINANCING‐RESIDENTIAL

195

FieldNo.



22 REAL ESTATEINVESTMENT/PERMANENT FINANCING ‐COMMERCIALANDINDUSTRIAL

23 BUSINESSRECAPITALIZATION/DIVIDENDS24 NEWPRODUCTDEVELOPMENT25 PROJECTFINANCING26 DEALERFLOORPLAN27 EQUIPMENTLEASING28 NON‐PURPOSELOANCOLLATERALIZEDBYSECURITIES29 BRIDGEFINANCING

23 OtherCreditFacilityPurposeDescription

(OtherFacilityPurpose)

CLCOG108 Ifthecreditfacilitypurposeislistedas“Other”inField22,provideadescriptionofthe“othercreditfacilitytype.”LeavethisfieldblankifField22isnotzero.

FreeText

196

FieldNo.



24 CommittedExposureGlobal

(CommittedExposure)

CLCOG074 ReportthecurrentdollaramounttheobligoriscontractuallyallowedtoborrowaccordingtothecreditagreementorcommitmentletteridentifiedinField15,regardlessofwhetherthecommitmentislegallybinding,netofanycharge‐offs,ASC310‐30(originallyissuedasSOP03‐03)adjustments,orfairvalueadjustmentstakenbytheReportingBHCorIHC,butgrossofASC310‐10reserveamounts.Includebothdrawnandundrawncommittedamounts.

Reportthetotalcommitmentamountandnottheconstrainedcommitmentamount.Forexample,iftheborrowerhasacontractfor$1.1milliontotalcommitment,butisconstrainedbyborrowingbaseto$900thousand,reportthetotalcommitmentamountof$1.1million.

Forfacilitieswithmultiplelenders,onlyprovidethereportingentity’spro‐ratacommitment,netoftheabovenotedadjustments.

Forcorporateloansandleasesinthesyndicatedpipeline,reportedasoptions1(single‐signed),2(dual‐signed)or3(closedbutnotsettled)inField100,reportthetotalcommitmentamountapprovedandstatedinthecommitmentletter.

Forcommitmentstocommitwhicharenotsyndicated,reportthetotalcommitmentamountapprovedandofferedtotheborrower.

Roundedwholedollaramount,e.g.:20000000

Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).

197

FieldNo.



25 UtilizedExposureGlobal

(UtilizedExposure)

CLCOG075 Reportthecurrentdollaramounttheobligorhasdrawnwhichhasnotbeenrepaid,netofanycharge‐offs,ASC310‐30(originallyissuedasSOP03‐03)adjustments,orfairvalueadjustmentstakenbytheReportingBHCorIHC,butgrossofASC310‐10reserveamounts.

For facilities with multiple lenders, only provide the reportingentity’s pro‐rata utilized exposure, net of the above notedadjustments.

Forfullyundrawncommitments,enter0(zero).Forfrontingexposures,reportanyfundsadvancedtotheborroweronbehalfoftheparticipantlenderasidentifiedinfield4(ObligorName).Fordisposedcreditfacilities,report0(zero).

Roundedwholedollaramountwithnocents,e.g.:20000000


198

FieldNo.



26 LineReportedonFRY‐9C

(LineReportedOnFRY9C)

CLCOK449 ReporttheintegercodecorrespondingtothelinenumberontheFR Y‐9C, Schedule HC‐C, in which the outstanding balance isrecorded or, in the case of an unused commitment, the linenumberinwhichthecreditfacilitywouldberecordedifitweredrawn. Refer to the FR Y‐9C instructions for definitions ofScheduleHC‐Clineitemcategories.Ifthecreditfacilityincludesmultipleloans,reporttheintegercodecorrespondingtothetypeofloanwhichaccountsforthelargestshareofthecreditfacilitycommittedbalance.

Forfrontingexposures,reporttheintegercodecorrespondingtothelinenumberontheHC‐Cinwhichtheexposurewouldberecordedifitweredrawnbytheborrower.

1. LoanstoU.S.banksandotherU.S.depositoryinstitutions(FRY‐9C,ScheduleHC‐C,item2.a);

2. Loanstoforeignbanks(FRY‐9C,ScheduleHC‐C,item2.b);3. Loans to finance agricultural production and other loans to

farmers(FRY‐9C,ScheduleHC‐C,item3);4. Commercial and industrial loans to U.S. addresses (FR Y‐9C,

ScheduleHC‐C,item4.a);5. Commercialandindustrialloanstonon‐U.S.addresses(FRY‐9C,

ScheduleHC‐C,item4.b);6. Loanstoforeigngovernmentsandofficialinstitutions(including

foreigncentralbanks)(FRY‐9C,ScheduleHC‐C,item7);7. Loanstonondepositoryfinancialinstitutions(FRY‐9C,Schedule

HC‐C,item9.a);8. Allotherloans,excludingconsumerloans(FRY‐9C,ScheduleHC‐

C,item9.b(2));


199

FieldNo.



9. All other leases, excluding consumer leases (FR Y‐9C, ScheduleHC‐C,item10.b);

10. Loans secured by owner‐occupied nonfarm nonresidentialpropertiesoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.e(1));and

11. Loans secured by owner‐occupied nonfarm nonresidentialpropertiesoriginatedinnon‐domesticoffices(reportedwithinFRY‐9C,ScheduleHC‐C,item1).

27 Lineofbusiness

(LineOfBusiness)

CLCOK458 Providethenameoftheinternallineofbusinessthatoriginatedthe credit facility using the institutions own departmentdescriptions.

FreetextdescribingtheLineofbusiness.Forexample:PrivateBanking,CorporateBanking,Asset‐BasedLending,etc.

28 CumulativeCharge‐offs

(CumulativeChargeoffs)

CLCOG076 Report the cumulative net charge‐offs associatedwith the creditfacilityonthereportingentity'sbooks.

Cumulativenetcharge‐offsaretheamountreflectedoverthelifeofthecreditfacility.

Ifcumulativecharge‐offsaregreaterthanthecurrentcommitmentbalance but less than the original commitment, report the totalcumulativecharge‐offamounteventhoughitexceedsthecurrentcommitment.

Fordisposedcreditfacilities,reportthecumulativecharge‐offsasofthedateofdisposition.

For fronting exposures, report the cumulative net charge‐offsassociatedwithimpairmentoftheparticipantlender.



Shouldbe0ifthereisnocharge‐offforthefacility.

Shouldbe‘NA’forloansheldforsaleoraccountedforunderafairvalueoption.

29 DONOTUSE

200

FieldNo.



30 ASC310‐10

(ASC31010)

CLCOM292 ReportthereserveappliedtothecreditfacilityperASC310‐10(formerlyFAS114,AccountingbyCreditorsforimpairmentofaloan).ASC310‐10addressesspecificreservesforimpairedloans.

Forfrontingexposures,reportthescenariowherecollectionofallunpaidprincipalandinterestfromtheparticipantlenderbecomesunlikelyandaspecificreserveismadeagainsttheparticipantlender.



Shouldbe0ifthereisnoASC310‐10reserveforthecreditfacility.

Forfullyundrawncommitments,enter0.

201

FieldNo.



31 ASC310‐30

(ASC31030)

CLCOM293 ReporttheadjustmentappliedtothecreditfacilityperASC310‐30(formerlyStatementofPosition(SOP)03‐3,AccountingforCertainLoansorDebtSecuritiesAcquiredinaTransfer).ASC310‐30addressesreservestakenwhentheloanwasacquiredbasedonadiscountedpurchaseprice.

Provideifavailableatacreditfacilitylevel,otherwiseapro‐ratedallocationfromtheportfolioleveltotheloanlevelmaybereported.

AloancouldhavebothanASC310‐10reserveandanASC310‐30reserveiftheASC310‐30reserveisdeemedinsufficientandtheconsolidatedholdingcompanydecidestoestablishanadditionalreserveforaspecificallyimpairedloanthroughASC310‐10.

ForconsistencywithFRY‐9Creportingforloansandleases,neithertheaccretableyieldnorthenonaccretabledifferencemaybereflectedinthisfield.RefertothePurchasedCredit‐ImpairedLoansandDebtSecuritiesitemintheGlossaryoftheFRY‐9Cforfurtherdetails.

Forfrontingexposures,reporttheadjustmentappliedtothecreditfacilityperASC310‐30(formerlyStatementofPosition(SOP)03‐3,AccountingforCertainLoansorDebtSecuritiesAcquiredinaTransfer)fortheparticipantlender.



Shouldbe0ifthereisnoASC310‐30Reservefortheloan..

Forfullyundrawncommitments,enter 0.

202

FieldNo.



32 #DaysPrincipalorInterestPastDue

(PastDue)

CLCOG077 Reportthelongestnumberofdaysprincipaland/orinterestpaymentsarepastdue,ifsuchpaymentsarepastdue30daysormore.Reportthenumberofdayspastdueasofthelastdayofthereportingquarterordispositiondate.Ifpaymentsarenotpastdue30daysormore,enterzero.Forfrontingexposures,reportthelongestnumberofdaysprincipaland/orinterestpaymentsarepastdue,ifsuchpaymentsarepastdue30daysormorefortheparticipantlender.

Numbersonly.


33 Non‐AccrualDate

(NonAccrualDate)

CLCOG078 Reportthedatethecreditfacilitywasplacedonnon‐accrual,ifapplicable.Ifanon‐accrualdatedoesnotexist,enter9999‐12‐31.Forfrontingexposures,reportthedatethefrontingfacilitywasplacedonnon‐accrual.


Forfullyundrawncommitments,enter9999‐12‐31.

203

FieldNo.



34 ParticipationFlag

(ParticipationFlag)

CLCO6135 IndicateifthecreditfacilityisparticipatedorsyndicatedamongotherfinancialinstitutionsandifitispartoftheSharedNationalCreditProgram.Forfrontingexposures,reportoption1‘No”.

1.No2.Yes,syndicate/participantin

syndicationbutdoesnotmeetthedefinitionofaSharedNationalCredit

3.Yes,agentinsyndicationorparticipationbutdoesnotmeetthedefinitionofaSharedNationalCredit

4.Yes,syndicate/participantinSharedNationalCredit

5.Yes,agentinSharedNationalCredit

35 LienPosition

(LienPosition)

CLCOK450 IndicateusingintegercodeifthecreditfacilityisFirstLienSenior,SecondLien,SeniorUnsecured,orContractuallySubordinated.

Ifthefacilitycontainsloanswithdifferentlienpositions,aggregatethecommittedbalancebylienpositionandreportthelienpositionassociatedwiththepredominantaggregatevalue.

Forfrontingexposures,reporttheintegercodethatisapplicablefortheprimarycreditfacility.

1. First‐LienSenior2. SecondLien3. SeniorUnsecured4. ContractuallySubordinated

204

FieldNo.



36 SecurityType

(SecurityType)

CLCOM298 Ifsecurity isprovided bycollateral other thanor inaddition toRealEstate,indicatethepredominantsecuritytype.Ifacreditfacilityhasloanssecuredbydifferentassettypes,aggregatethecommittedbalancebytypeofassetinthecollateralpoolandreportthesecuritytypeassociatedwiththepredominantaggregatevalue.Reporttheintegercodecorrespondingtothefollowingsecuritytypedescriptions.

Option4(BlanketLien)shouldonlybeusedforloanswhichlegallygivethelenderalienofequalseniorityacrossallunencumberedassetsoftheborrower.

Forfrontingexposures,reporttheintegercodethatisapplicablefortheprimarycreditfacility.

0 RealEstateonly1 CashandMarketableSecurities2 AccountsReceivableandInventory3 FixedAssetsexcludingRealEstate4 BlanketLien5 Other6 Unsecured


37 InterestRateVariability

(InterestRateVariability)

CLCOK461 Indicatethevariabilityofcurrentinterestrates(Fixed,Floating,orMixed)tomaturity.

Forfullyundrawncommitments,enter‘0’(zero).

For fronting exposures that are not fully undrawn, indicate thevariability of current interest rates (Fixed, Floating, orMixed) tomaturitybasedontherateassociatedwiththefrontingfacility.

0.Fullyundrawncommitments

1.Fixed2.Floating3.Mixed

205

FieldNo.



38 InterestRate

(InterestRate)

CLCO7889 Reportthecurrentinterestratechargedonthecreditfacility. Ifthefacilityincludesmultipledrawswithdifferentinterestrates,enterthe dollar weighted average interest rate that approximates theoverallrateonthedrawnbalanceofthefacility.Reportinterestrateexclusiveofinterestrateswaps.For fronting exposures that are not fully undrawn, report thecurrentinterestratechargedbasedontherateassociatedwiththefrontingfacility.

Provide as a decimal, e.g.:0.0575for5.75%


39 InterestRateIndex

(InterestRateIndex)

CLCOK462 Forfloatingratecreditfacilities,reportthebaseinterestrateusingintegercode.Ifobligorhasanoption,selecttheindexactuallyinuse.

Ifthecreditfacilityisfixed(asdesignatedinField37)choosetheintegerfor“Notapplicable(Fixed)”.Forcreditfacilitieswherethebaseinterestrateismixed,choosetheintegerfor“Mixed.”Forfullyundrawncommitments,enter‘0’(zero).

Forfrontingexposuresthatarenotfullyundrawn,reportthisfieldbasedontherateassociatedwiththefrontingfacility.


1.LIBOR2. PRIMEorBase3. TreasuryIndex4.Other5.Notapplicable(Fixed)

6.Mixed

206

FieldNo.



40 InterestRateSpread

(InterestRateSpread)

CLCOK463 Forfloatingratecreditfacilities,reportthespreadoverbaserateinbasispoints.

Ifthecreditfacilityisfixed(asdesignatedinField37)populate‘NA’.

If the facility includes multiple draws with different spreads,provide the spread that approximates the overall spread on thefacility.

For fronting exposures that are not fully undrawn, report theinterestratespreadbasedontherateassociatedwiththefrontingfacility.

Provideasadecimal,e.g.:0.0575for5.75%

Enter‘NA’ifthecreditfacilityisfixed

Negativenumberscanbesubmitted.Fornegativevaluesuseanegativesign‘‐‘notparenthesis().


41 InterestRateCeiling

(InterestRateCeiling)

CLCOK464 For floating rate credit facilities, report the rate ceiling if one iscontainedinthecreditagreement.

Ifthereisnoceiling,populatewith‘NONE’.


For facilities with multiple interest rate ceilings, provide themaximuminterestrateceiling.

For fronting exposures that are not fully undrawn, report theinterestrateceilingbasedontherateassociatedwiththefrontingfacility.


Enter‘NA’ifthecreditfacilityisfixed

Enter‘NONE’ifnoceiling.


207

FieldNo.



42 InterestRateFloor

(InterestRateFloor)

CLCOK465 For floating rate credit facilities, report the rate floor if one iscontainedinthecreditagreement. Ifthereisnofloor,populatewith‘NONE’.


For facilities with multiple interest rate floors, provide theminimuminterestratefloor.

For fronting exposures that are not fully undrawn, report theinterest rate floorbasedon therateassociatedwith the frontingfacility.

Provideasadecimal,e.g.:0.0575for5.75%Enter’NA’ifthecreditfacilityisfixed

Enter‘NONE’ifnofloor.


43 InterestIncomeTaxStatus

(TaxStatus)

CLCOM299 ReportthetaxstatusofinterestincomeforFederalorStateIncomeTaxpurposes.InterestIncomeTaxStatusshouldbedeterminedbywhether the interest income received by the BHC or IHC is taxexempt(atFederal,State,etc.).

1. Taxable2. TaxExempt

Iffederalorstatetaxexempt,choose’2’.

208

FieldNo.



44 GuarantorFlag

(GuarantorFlag)

CLCGM318 Indicate if the creditfacility isguaranteed.ReporttheoptionthatreflectstheguaranteeoftheguarantoridentifiedinField45.Option1(Fullguarantee)shouldbeselectedwhenthereisexplicitrecourseforfullrepaymentofthecreditobligationbyasingleguarantorotherthanaU.S.GovernmentAgency.ForcreditfacilitiesfullyguaranteedbyaU.S.GovernmentAgency,refertothedefinitionforoption3.Option2(Partialguarantee)shouldbeselectedwhenthereisexplicitrecourseforrepaymentofaportionofthecreditobligation.ThisoptionincludespartialguaranteesbyaU.S.GovernmentAgency.

Option3(FullU.S.GovernmentAgencyguarantee)shouldonlybeselected when the credit facility is fully guaranteed by a U.S.GovernmentAgency.

Option4(Noguarantee)shouldbeusedwhenthereisnoexplicitrecourseforrepaymentofthecreditobligation.

For frontingexposures,reportthe integercodethat isapplicablefortheprimaryfacility.

1. Fullguarantee2. Partialguarantee3. U.S.GovernmentAgency

Guarantee4. Noguarantee

209

FieldNo.



45 GuarantorInternalID

(GuarantorInternalID)

CLCGM300 Reporttheuniqueguarantoridentifier.

For facilities with multiple guarantors, provide the uniqueguarantoridentifierfortheprimaryormostsubstantialguarantor.


Ifthecreditfacilityisnotguaranteed,enter‘NA’.

46 GuarantorName

(GuarantorName)

CLCG9017 Report the guarantor name on the credit facility. Full legalcorporate name is desirable. If the guarantor is an individual(s)(Natural Person (s)), do not report the name; instead substitutewiththetext:"Individual."

Forfacilitieswithmultipleguarantors,providetheguarantornamefortheprimaryormostsubstantialguarantor.


Ifthecreditfacilityisnotguaranteed,enter‘NA’

47 GuarantorTIN

(GuarantorTIN)

CLCG6191 Report theTaxpayerIdentificationNumber(TIN)assignedtotheguarantor by the U.S. Internal Revenue Service (IRS) in theadministration of tax laws. If the guarantor is an individual(s)(NaturalPerson(s)),donotreportSocialSecurityNumber;insteadenter‘NA’.If,theguarantordoesnothaveaTIN,enter‘NA’.

Forfacilitieswithmultipleguarantors,providetheTINassignedtotheprimaryormostsubstantialguarantor.

The9digitassignedbytheInternalRevenueServicefortheguarantoridentifiedinField45.Allowableformsareeither##‐#######,#########,or‘NA’.

Ifthecreditfacilityisnotguaranteed,enter‘NA’

210

FieldNo.



48 GuarantorInternalRiskRating

(GuarantorInternalRiskRating)

CLCGG080 Report the guarantor rating grade from the reporting entity’sinternalriskratingsystem.

Thisisthereportingentity’sprobabilityofdefault(PD)rating.Ifthereportingentityusesaone‐dimensionalriskratingsystem,recordthatratinghere.

Forfacilitieswithmultipleguarantors,providetheguarantorratinggradefortheprimaryormostsubstantialguarantor.

Freetextindicatingtheobligorratinggrade.

Ifthecreditfacilityisnotguaranteedoriftheguarantordoesnothavearating,enter‘NA’

49 EntityInternalID

(EntityInternalID)

CLCEM300 ReportthereportingBHC’sorIHC’suniqueinternalidentifier fortheentitythatistheprimarysourceofrepaymentforthefacilityinField15


LeaveblankiftheentityisthesameastheObligoridentifiedinField2.

50 EntityName

(EntityName)

CLCE9017 ReportthenameoftheentitythatistheprimarysourceofrepaymentforthefacilityinField15.Fulllegalcorporatenameisdesirable. Iftheentityisanindividual(s)(NaturalPerson(s)),donotreportthename;insteadsubstitutewiththetext:"Individual."

Must not contain a carriagereturn, linefeed,commaoranyunprintablecharacter.


51 EntityInternalRiskRating

(EntityInternalRiskRating)

CLCEG080 FortheentityidentifiedinField49,reporttheentityratinggradefromthereportingBHC’sorIHC’sinternalriskratingsystem.

Thisisthereportingentity’sprobabilityofdefault(PD)rating.IfthereportingBHCor IHCusesaone‐dimensional risk rating system,recordthatratinghere.

Freetextindicatingtheentityratinggrade.


211

FieldNo.



52 DateofFinancials

(DateFinancials)

CLCE9999 Report the as of date of the financial information, related to theentityidentifiedinField2orField49,thatisreportedintheObligorFinancialDataSection.


53 DateofLastAudit

(DateLastAudit)

CLCE4929 ReportthedateofthelastauditedfinancialstatementsoftheentityidentifiedinField2orField49.Dateoflastauditmayormaynotbethesamedateasthedateofthefinancials(Field52).

Ifthereisnoauditdate,enter9999‐12‐31.


54 NetSalesCurrent

(NetSalesCurrent)

CLCEM301 ReportthegrosssalesoftheentityidentifiedinField2orField49reducedbycashdiscounts,tradediscounts,andreturnedsalesandallowancesforwhichcreditisgiventocustomerslessreturnsandallowances, freight out, and cash discounts allowed for thedesignatedperiod.

Reportdataforthetrailingtwelvemonth(TTM)periodendedonthedatereportedinField52.



55 NetSalesPriorYear

(NetSalesPriorYear)

CLCEM302 ReportthegrosssalesoftheentityidentifiedinField2orField49reducedbycashdiscounts,tradediscounts,andreturnedsalesandallowancesforwhichcreditisgiventocustomerslessreturnsandallowances,freightout,andcashdiscountsallowed.

Reportdataforthetrailingtwelvemonth(TTM)period endedoneyearpriortothedatereportedinField52.



212

FieldNo.



56 OperatingIncome

(OperatingIncome)

Report the amount of profit (or loss) realized from continuingoperationsoftheentityidentifiedinField2orField49;typicallyrepresentedassaleslessitemssuchascostofgoodssold,operatingexpenses,amortizationanddepreciation.




57 Depreciation&Amortization

(DepreciationAmortization)

Reportthetotaldepreciationandamortizationcostsoftheentityidentified inField2or Field49of tangible and intangible assetsallocatedagainstrevenueforthecurrentperiod.




58 InterestExpense

(InterestExpense)

CLCEM305 Report theperiodicexpenseto theentity identified inField2orField49ofsecuringshortandlong‐termdebt.




59 NetIncomeCurrent

(NetIncomeCurrent)

CLCEM306 Reporttheincome(orloss)reportedbytheentityidentifiedinField2orField49afterexpensesandlosseshavebeensubtractedfromallrevenuesandgainsforthefiscalperiodincludingextraordinaryitemsanddiscontinuedoperations.




213

FieldNo.



60 NetIncomePriorYear

(NetIncomePriorYear)

CLCEM307 Reporttheincome(orloss)reportedbytheentityidentifiedinField2orField49afterexpensesandlosseshavebeensubtractedfromallrevenuesandgainsforthefiscalperiodincludingextraordinaryitemsanddiscontinuedoperations.

Reportdataforthetrailingtwelvemonth(TTM)period endedoneyearpriortothedatereportedinField52.



61 Cash&MarketableSecurities

(CashMarketableSecurities)

CLCEM308 Reportthecash,depositoryaccountsandmarketablesecuritiesoftheentityidentifiedinField2orField49thatcanbeeasilysoldandreadilyconvertedintocash.



62 AccountsReceivable(A/R)Current

(AccountsReceivableCurrent)

CLCEM309 ReportthemoneyowedtotheentityidentifiedinField2orField49formerchandiseorservicesorservicessoldonopenaccount.



214

FieldNo.



63 AccountsReceivable(A/R)PriorYear

(AccountsReceivablePriorYear)

CLCEM310 ReportthemoneyowedtotheentityidentifiedinField2orField49formerchandiseorservicesorservicessoldonopenaccount.

ReportdataoneyearpriortodatereportedinField52.



64 InventoryCurrent

(InventoryCurrent)

CLCEM311 Reportthevalueoftherawmaterials,workinprocess,suppliesusedinoperations,finishedgoods,andmerchandiseboughtforresaleoftheentityidentifiedinField2orField49.



65 InventoryPriorYear

(InventoryPriorYear)

CLCEM312 Reportthevalueoftherawmaterials,workinprocess,suppliesusedinoperations,finishedgoods,andmerchandiseboughtforresaleoftheentityidentifiedinField2orField49ReportdataoneyearpriortodatereportedinField52.



66 CurrentAssetsCurrent

(CurrentAssetsCurrent)

CLCEM313 Reportthecash,accountsreceivable,inventory,andotherassetsoftheentityidentifiedinField2orField49thatarelikelytobeconvertedintocash,sold,exchanged,orexpensedinthenormalcourseofbusiness,usuallywithinoneyearandotherassetsexpectedtobeconvertedtocashwithinayear.Examplesincludeaccountsreceivable,prepaidexpenses,andmanynegotiablesecuritiesasofthedatereportedinField52.



215

FieldNo.



67 CurrentAssetsPriorYear

(CurrentAssetsPriorYear)

CLCEM314 Reportthecash,accountsreceivable,inventory,andotherassetsoftheentityidentifiedinField2orField49thatarelikelytobeconvertedintocash,sold,exchanged,orexpensedinthenormalcourseofbusiness,usuallywithinoneyearandotherassetsexpectedtobeconvertedtocashwithinayear.Examplesincludeaccountsreceivable,prepaidexpenses,andmanynegotiablesecurities.

ReportdataoneyearpriortothedatereportedinField52.



68 TangibleAssets

(TangibleAssets)

CLCEM315 ReporttheassetsoftheentityidentifiedinField2orField49havingaphysicalexistence,suchascash,equipment,realestate,realproperty,andpersonalpropertysuchasbuildingsandmachinery;accountsreceivablearealsousuallyconsideredtangibleassetsforaccountingpurposes.Tangibleassetsaredistinguishedfromintangibleassets,suchastrademarks,copyrights,andgoodwill,andnaturalresources(timberlands,oilreserves,andcoaldeposits).



69 FixedAssets

(FixedAssets)

CLCEM316 ReportthetangiblepropertyoftheentityidentifiedinField2orField49usedinthebusinessandnotforresale.Thisincludes,butisnotlimitedto,buildings,furniture,fixtures,equipment,andland.Reportfixedassetsnetofdepreciation.



216

FieldNo.



70 TotalAssets(TA)Current

(TotalAssetsCurrent)

CLCE2170 ReportthesumofthecurrentassetsoftheentityidentifiedinField2orField49plusnetproperty,plant,andequipmentplusothernon‐currentassets(including,butnotlimitedto,intangibleassets,deferreditems,andinvestmentsandadvances)asofthedatereportedinField52.



71 TotalAssets(TA)PriorYear

(TotalAssetsPriorYear)

CLCEM317 ReportthesumofthecurrentassetsoftheentityidentifiedinField2orField49plusnetproperty,plant,andequipmentplusothernon‐currentassets(including,butnotlimitedto,intangibleassets,deferreditems,andinvestmentsandadvances).




72 AccountsPayable(A/P)Current

(AccountsPayableCurrent)

CLCE3066 ReporttheobligationsowedtothecreditorsoftheentityidentifiedinField2orField49arisingfromtheentity’songoingoperations,includingthepurchaseofgoods,materials,supplies,andservicesasofthedatereportedinField52.



73 AccountsPayable(A/P)PriorYear

(AccountsPayablePriorYear)

CLCEM325 ReporttheobligationsowedtothecreditorsoftheentityidentifiedinField2orField49arisingfromtheentity’songoingoperations,includingthepurchaseofgoods,materials,supplies,andservices.ReportdataoneyearpriortodatereportedinField52.



217

FieldNo.



74 ShortTermDebt

(ShortTermDebt)

CLCEM319 ReportthedebtobligationsoftheentityidentifiedinField2orField49withatermoflessthanoneyear.



75 CurrentMaturitiesofLongTermDebt

(CurrentMaturitiesLongTermDebt)

CLCEM320 Reporttheportionoflong‐termdebtoftheentityidentifiedinField2orField49duewithinoneyear.



76 CurrentLiabilitiesCurrent

(CurrentLiabilitiesCurrent)

CLCEM321 Reporttheshort‐termdebt,accountspayableandothercurrentliabilitiesoftheentityidentifiedinField2orField49thatareduewithinoneyear.



77 CurrentLiabilitiesPriorYear

(CurrentLiabilitiesPriorYear)

CLCEM322 Reporttheshort‐termdebt,accountspayableandothercurrentliabilitiesoftheentityidentifiedinField2orField49thatareduewithinoneyear.




218

FieldNo.



78 LongTermDebt

(LongTermDebt)

CLCEM323 ReporttheliabilitiesoftheentityidentifiedinField2orField49thataredueinoneyearormore.



79 MinorityInterest

(MinorityInterest)

CLCE4484 Reporttheinterestofshareholderswho,intheaggregate,ownlessthanhalfthesharesinacorporation. Ontheconsolidatedbalancesheetsofcompanieswhosesubsidiariesarenotwhollyowned,theminorityinterestisshownasaseparateequityaccountorasaliabilityofindefiniteterm. Enter‘NA’ifnotapplicable.



Enter‘NA’ifnotapplicable.

80 TotalLiabilities

(TotalLiabilities)

CLCE2950 Reportthesumofcurrentliabilitiespluslong‐termdebtplusothernon‐currentliabilities(includingdeferredtaxes,investmenttaxcredit,andminorityinterest)oftheentityidentifiedinField2orField49.



219

FieldNo.



81 RetainedEarnings(RetainedEarnings)

CLCE3247 ReportthecumulativeretainedearningsoftheentityidentifiedinField2orField49lesstotaldividenddistributionstoshareholders.Typically,itistheprioryear’sretainedearningsplusnetincomelessdistributions.



82 CapitalExpenditures

(CapitalExpenditures)

CLCEM324 Reportthefundsusedtoacquirealong‐termassetresultingindepreciationdeductionsoverthelifeoftheacquiredasset. Reportgrossofdepreciation.




83 SpecialPurposeEntityFlag

(SpecialPurposeEntityFlag)

Indicate‘2’(Yes)iftheobligor(asidentifiedinField2)isorganizedas a bankruptcy remote, special purpose entity (SPE)where theprimary source of repayment depends on the performance ofspecifiedunderlyingassets. RelevantSPEobligors include,ABCPconduits, securitization trusts, and other structured variableinterestentitiesestablishedtopurchaseandfinanceassetsthroughthetranchingofrisk.EntitieswhicharetrustsforthepurposeofpersonalwealthmanagementorOpCo/PropCostructuresshouldbereportedas‘1’(No).

1. No2. Yes

220

FieldNo.



84 FairValueAdjustmentCommittedExposure

(FairValueAdjustmentCommitment)

CLCOM294 Forheldforsaleloansandloansaccountedforunderafairvalueoption,reportthedollaramountadjustment(positiveornegative)fromtheCommittedExposureparbalance.ExcludeFAS141andFAS91FVAforpremiumsordiscounts.Thefairvalueadjustmentrepresents the fair valueof the entire credit facility identified inField15(whichincludesboththefundedamountrecordedinFRY‐9C, Schedule HC‐C, as well as any unused portion of thecommitmentrecordedinSchedulesHC‐F,HC‐G,andHC‐L),minusthedollaramount theobligor iscontractuallyallowedtoborrowaccordingtothecreditagreement.

Roundedwholedollaramount,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).Shouldbe0forloansvaluedatpar.Shouldbe‘NA’forloansnotheldforsaleoraccountedforunderafairvalueoption.Fornegativevaluesuseanegativesign‘‐‘,notparenthesis().

221

FieldNo.



85 FairValueAdjustmentDrawn

(FairValueAdjustmentDrawn)

Forheldforsaleloansandloansaccountedforunderafairvalueoption,reportthedollaramountadjustment(positiveornegative)fromtheUtilizedExposureparbalance.Thefairvalueadjustmentrepresents the fair value of the outstanding funded loans, asrecorded in formFRY‐9C,ScheduleHC‐C,minustheoutstandingpar balance. Exclude FAS 141 and FAS 91 FVA for premiums ordiscounts.

Roundedwholedollaramount,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).Shouldbe0forloansvaluedatpar.Shouldbe‘NA’forloansnotheldforsaleoraccountedforunderafairvalueoption.Fornegativevaluesuseanegativesign‘‐‘,notparentheses().

86 LowerofCostorMarketFlag

(LOCOM)

ForloanswithanumericvalueinFields84(FairValueAdjustmentCommitted Exposure) and 85 (Fair Value Adjustment Drawn),indicate whether the loan is accounted for under the fair valueoptionorisheldforsaleandcarriedatthelower‐of‐cost‐or‐market(LOCOM).Forloansnotaccountedforunderthefairvalueoptionornotheldforsale,reportOption3(NA).

1. LOCOM2. FVO3. NA

222

FieldNo.



87 SNCInternalCreditID

(SNCInternalCreditID)

If the credit facility is reported in the Shared National Creditcollection and the reporting BHC or IHC is the lead bank/agent(option5inField34),indicatethereportingBHC’sorIHC’sInternalCreditIDasreportedintheSharedNationalCreditcollectionforthiscreditfacilityasofthemostrecentfilingdate.

If thecredit facility isnotreported in theSharedNationalCreditcollectionorthereportingBHCorIHCisaparticipantintheSharedNationalCreditcreditfacility,report‘NA’.

Maynotcontainacarriagereturn,linefeed,commaoranyunprintablecharacter.Report‘NA’ifthecreditfacilityisnotreportedintheSharedNationalCreditcollectionorifthereportingBHCorIHCisnottheagent.

88 ProbabilityofDefault(PD)

(ProbabilityOfDefault)

For firms that are subject to the advanced approaches forregulatorycapital,reporttheadvancedIRBparameterestimatefortheprobabilityofdefault(PD)asdefinedintheRule.

Foradefaultedobligor,report100percent(‘1).

For firms that are not subject to the advanced approaches forregulatorycapital,reportthePDestimatethatcorrespondstotheObligorInternalRiskRatingreportedinField10.IfthereportingentitydoesnotassignaPDestimate to theObligor InternalRiskRating,report‘NA.’

Expressasadecimalto4decimalplaces,e.g.,0.05%is0.0005;100%is1.Usedecimalformat;donotusescientificnotation.IfthereportingentitydoesnotassignaPDestimatetotheObligorInternalRiskRating,report‘NA.’

223

FieldNo.



89 LossGivenDefault

(LGD)

CLCOG081 For firms that are subject to the advanced approaches forregulatory capital, report the advanced IRB LGD estimate at theloan level as defined in the Rule. If the credit facility includesmultiple loanswith different LGD assignments, report the dollarweightedaverageLGD that approximates theoverallLGDon thecommittedbalanceofthecreditfacility.

For firms that are not subject to the advanced approaches forregulatorycapital,reportthecreditfacilityLGDestimatefromthereporting entity’s credit risk management system. If an LGDestimateisnotassigned,report‘NA.’

Expressasadecimalto4decimalplaces,e.g.,0.05%is0.0005.Usedecimalformat;donotusescientificnotation.IfthereportingentitydoesnotassignacreditfacilityLGDestimate,report‘NA.’

90 ExposureAtDefault

(EAD)

For firms that are subject to the advanced approaches forregulatorycapital,reporttheadvancedIRBparameterestimateforthe Exposure at Default (EAD). If the credit facility includesmultiple loanswith different EAD assignments, report the dollarweightedaverageEADthatapproximates theoverallEADon thecommittedbalanceofthecreditfacility.

For firms that are not subject to the advanced approaches forregulatorycapital,reportthecreditfacilityEADestimatefromthereporting entity’s internal credit riskmanagement system. If anEADestimateisnotassigned,report‘NA.’

Roundedwholedollaramountwithnocents,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).IfthereportingentitydoesnotassignacreditfacilityEADestimate,report‘NA’.

224

FieldNo.



91 RenewalDate

(RenewalDate)

Ifthecreditfacilityhasbeenrenewedperthetermsoftheoriginalloanagreement,re‐priced,orhasachangeinthematuritydatesuchthattheOriginationDatedidnotchange,reportthedateonwhichthemostrecentrenewalnotificationbecameeffective.TheRenewalDateis intendedtocapturematuritydateextensionsprovidedtothe obligor by theBHC or IHC and extension options at the solediscretionoftheborrower.Ifacreditfacilityhasbeenrenewedaspartofamajormodificationsuchthatthecontractualdateoftheoriginalloanischanged,thensuchdatewouldbereportedinField18(OriginationDate)andtheBHCandIHCshouldreport9999‐12‐31inthisfield.IfthecreditfacilityhasnotbeenrenewedtheBHCandIHCshouldreport9999‐12‐31inthisfield.


92 CreditFacilityCurrency

(CreditFacilityCurrency)

Indicatethecurrencydenominationforcontractualprincipalandinterestpaymentson thecredit facility,using therelevant three‐letterISO4217currencycode.

If payments are legally permitted or required inmore than onecurrency,indicatethepredominantcurrencyforcontractualcreditfacilitypayments.

For the avoidance of doubt, whether or not the currencydenominationofthecreditfacilityisUSD(USDollars),allamountsreported in other fields of this schedulemust be in terms of USDollars.

The predominant currency should be the currency whichrepresentsthepredominantshareofthecreditfacilitycommittedbalance.

StandardISO4127three‐lettercurrencycodesavailableathttp://www.iso.org/iso/currency_codes

225

FieldNo.



93 CollateralMarketValue

(CollateralMarketValue)

For facilitieswhich require ongoing or periodic valuation of thecollateral, report the market value of the collateral as of thereportingdate. Ifthemarketvalueofcollateralisnotupdatedinthereportingentity’sinternalriskmanagementsystemsasofthereportingdate,reportNA.

Roundedwholedollaramount,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).

Report‘NA’ifthemarketvalueofcollateralisnotupdatedinthereportingentity’sinternalriskmanagementsystemsasofthereportingdate.

94 PrepaymentPenaltyFlag

(PrepaymentPenaltyFlag)

Indicatewhetherthecreditfacilityhasaprepaymentpenaltyclauseineffectwhichmayincludeyieldmaintenance. Indicateoption1(Yes)ifthecreditfacilitycurrentlyhasaprepaymentpenaltyclauseineffect. If thefacilityhadaprepaymentpenaltyclausethathassince expired, report option 2. If the facility does not have aprepaymentpenaltyclause,reportoption3.

1. Yes2. Theprepaymentpenaltyhas

expired3. Noprepaymentpenalty

clause

226

FieldNo.



95 EntityIndustryCode

(EntityIndustryCode)

Report the numeric code that describes the primary businessactivityoftheentityidentifiedinField49accordingtotheNorthAmericanIndustryClassificationSystem(NAICS).IftheNAICScodeis not available, provide either the Standard IndustrialClassification (SIC), or Global Industry Classification Standard(GICS).

IftheentityidentifiedinField49isanindividual,theindustrycode should be consistent with the industry in which thecommercialpurposeoftheloanoperates.

If the business or individual operates inmultiple industries, theBHCandIHCshouldreport the industry thatbestrepresents thecommercialriskoftheloan(i.e.,thepredominantindustry).

Report4to6digitnumber.Ifthiscodeisnotavailable,thenprovideaSICorGICSindustrycode.

96 ParticipationInterest

(ParticipationInterest)

Forparticipatedorsyndicatedcreditfacilitiesthathaveclosedandsettled,reportthepercentageofthetotalloancommitmentheldbytheBHCorIHC.

Ifthecreditfacilityisnotparticipatedorsyndicated,report1.

Ifthecreditfacilityissyndicatedandreportedasoptions1,2,or3inField100,reportNA.

Forfrontingexposures,report1.

Expressasadecimalto4decimalplaces,e.g.,0.05%is0.0005.Usedecimalformat;donotusescientificnotation.ReportNAifthecreditfacilityisreportedasoptions1,2,or3inField100.Forfrontingexposures,report1.

227

FieldNo.



97 LeveragedLoanFlag

(LeveragedLoanFlag)

Indicate‘2’(Yes)ifthecreditfacilityisdefinedasaleveragedloanper criteria in the reporting entity’s internal risk managementframeworkdevelopedpursuanttoSR13‐3(InteragencyGuidanceonLeveragedLending).

1. No2. Yes

228

FieldNo.



98 DispositionFlag

(DispositionFlag)

Reportthedispositionmethodforanycreditfacilitythatwasdisposedduringthereportingquarter.IftheBHCorIHCisstillpursuingpaymentofprincipal,interestorfees,reportasoption“0”.Rebookings/restructureswhereloanamountsaretransferredorcombinedbetweenobligationsshouldbereportedaseitheroption1(Payoff)oroption2(Involuntarypayoff)dependingontheoccurrenceofdefault.

0. Active‐Reportforallcreditfacilitiesrequiredtobereportedinthisdatacollectionanddonotmeetthedefinitionsofoptions1through7asofthereportingdate.

1. Payoff–Reportallinstanceswherethecreditfacilityhasbeenpaidinfullbytheborrower,acommitmenttocommitexpiredwithoutclosing,orwhereanundrawncreditfacilityreachesmaturityandisnotrenewed.

2. InvoluntaryPayoff–Reportallinstanceswherethecreditfacilityhasbeenpaidinfullaftertheoccurrenceofdefaultperthetermsofthecreditagreement.

3. InvoluntaryLiquidation–Reportallinstanceswherethecreditfacilityhasbeenliquidatedeitherthroughforeclosureproceedingsoranothersettlementoptionresultinginincompleterepaymentofprincipal.Includeshort‐sales,charge‐offs,aswellasREO.ThisincludesloansactiveinthequarterpriortothereportingquarterthatweresoldataforeclosuresaleandtakenintoREOinthereportingquarter.Alsoincludeallinstanceswherecredithasbeenresolved(i.e.nolongerpursuingcollection)butnotthroughforeclosures,servicingtransfers,orpaymentsmadebytheobligor.

0. Active1. Payoff2. InvoluntaryPayoff3. InvoluntaryLiquidation4. Soldorfullyparticipated5. Fullysyndicated6. Belowreporting

threshold7. TransfertoanotherY‐14

schedule

229

FieldNo.



4. Soldorfullyparticipated– Reportallinstanceswheretheloanhasbeensoldorfullyparticipatedtoanotherinstitutionduringthereportingquarter.Forfullysyndicatedloans,reportoption5(Fullysyndicated).

5. FullySyndicated–Reportallinstanceswhere100%ofthecommitmenthasbeensyndicatedtootherinstitutionsduringthereportingquarter.

6. Belowreportingthreshold–Reportallinstanceswherethecreditfacilityfellbelowthe$1millionreportingthreshold.

7. TransfertoanotherY‐14schedule.IndicatetheschedulewherethecreditfacilityisnowreportedinField99below.

99 DispositionScheduleShift

(DispositionScheduleShift)

Forcreditfacilitiesreportedwithoption7(TransfertoanotherY‐14schedule)infield98,indicatetheY‐14report,schedule,andsubscheduletowhichthecreditfacilityshifted.Thereportedformatshouldfollowtheseexamples:IfthecreditfacilitytransferredtoFRY‐14QScheduleH.2CommercialRealEstate,report“Q.H.2”.IfthecreditfacilitytransferredtoFRY‐14MScheduleD.1DomesticCreditCardDataCollectionDataDictionary,report“M.D.1”.

Reportintheformatusingtheexamplesbelow:IfthecreditfacilitytransferredtoFRY‐14QScheduleH.2CommercialRealEstate,report“Q.H.2”.IfthecreditfacilitytransferredtoFRY‐14MScheduleD.1DomesticCreditCardDataCollectionDataDictionary,report“M.D.1”.

230

FieldNo.



100 SyndicatedLoanFlag

SyndicatedLoanFlag)

ReportwhetherthesyndicatedloancommitmentissinglesignedbytheBHCorIHC,countersignedbytheborrower(dualsigned),orclosedbutnotyetsettled,orclosedandsettled.Closedandsettledreferstothefinalphasewhereloandocumentsarefullyexecutedandbindingwithpost‐closingselldowntoallparticipantscomplete.Loanswhichhaveclosedbutarestillpendingexecutionoffinaldocumentationbyallsyndicateparticipantsshouldbereportedasoption3(Closedbutnotsettled).

Forloansthatarenotsyndicated,indicateoption0(NA).

0. NA1. Single‐signed2. Dual‐signed3. Closedbutnotsettled4. Closedandsettled

101 TargetHold

(TargetHold)

Forloansinthesyndicatedloanpipeline(Options1,2or3inField100),reportthepercentageofthetotalcommitmenttheBHCorIHCintendstohold.Ifthecreditfacilityisreportedasoption0(NA)oroption4(closedandsettled)inField100,reportNA.

Expressasadecimalto4decimalplaces,e.g.,0.05%is0.0005.Usedecimalformat;donotusescientificnotation.ReportNAifthecreditfacilityisreportedasoption0or4inField100.

231

H.2– CommercialRealEstateSchedule A.LoanPopulationTheloanpopulationincludesCommercialrealestate(CRE)loansandleasesthatareheldforinvestment(HFI)(asdefinedintheFRY‐9C,ScheduleHC‐CGeneralInstructions)andheldforsale(HFS)asofthereportdate(i.e.quarterend).IncludeHFIandHFSloansthattheholdingcompanyhaselectedtoreportatfairvalueunderthefairvalueoption.Excludeallloansandleasesclassifiedastrading(reportableontheFRY‐9C,ScheduleHC,item5).

CREloansandleasesaredefinedasloancommitmentsorcreditfacilitiestoanobligorasdefinedinthecreditagreement.IncludeallCREloansandleasesthatareattheconsolidatedBankHoldingCompany(BHC)andIntermediateHoldingCompany(IHC)levelandnotjustthoseofthebankingsubsidiaries,aswellasanyunusedcommitmentsthatarereportedinScheduleHC‐LthatwouldbereportedintherelevantFRY‐9Ccategory(asoutlinedbelow)ifsuchloansweredrawn(includingallundrawncommitmentsextendedtonon‐consolidatedvariableinterestentitiesandcommitmentstocommitasdefinedintheFRY‐9C).

InadditiontoCREloansthatarecurrentlyactiveasofthereportingdate,theloanpopulationshouldalsoincludeCREloansthatweredisposedofduringthereportingquarter.Forpurposesofthisschedule,refertoField61(DispositionFlag)forspecificinstructionsoninstancesofdisposedCREloanstoleases.

IncludeallCREloansandleaseswithacommittedbalancegreaterthanorequalto$1million.AlthoughcertainCREloansandleaseswithacommittedbalanceunder$1millionarenotreportedontheFRY‐14QCREschedule,thesumoftheoutstandingbalanceoftheseloanswouldbeincludedintherelevantfieldsontheFRY‐14QSupplementalScheduleandtheFRY‐14ASummarySchedulepursuanttotheapplicableinstructionsofthoseschedules.

AllCREloansincludedinthisschedulemustbesecuredbyrealestate(asdefinedintheFRY‐9CGlossaryentryfor“loanssecuredbyrealestate”).LoanstofinanceCREbutnotsecuredbyCREdonotmeetthedefinitionof“loanssecuredbyrealestate”andshouldnotbereportedontheCRESchedule.Forexample,alineofcreditissuedforthepurposeofacquiringrealestatethatisnotcurrentlysecuredbyrealestatewouldnotbeconsideredsecuredbyrealestateforpurposesofthisSchedule.Inthiscase,thecommitmentisanunsecuredcorporateloanuntilthebalanceisactuallylentoutandsecuredbyCREproperty.Atthatpoint,thecommitmentbecomesaCREloanforpurposesofthisSchedule.

Ingeneral,useloanclassificationsontheFRY‐9C,ScheduleHC‐CasaguidetodeterminingthepopulationofCREloansandleases.RefertotheFRY‐9C,ScheduleHC‐Cinstructionsforspecificguidanceonloanclassifications.Indeterminingloanclassifications,looktothesecurity,borrower,orpurposeoftheloan.BelowisalistofFRY‐9C,ScheduleHC‐CcategoriesofloanssecuredbyrealestatethatareconsideredCREloansandleases:

i. 1‐4familyresidentialconstructionloansoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.a(1))andinnon‐domesticoffices(reportedwithinFRY‐9C,ScheduleHC‐C,item1);

ii. Otherconstructionloansandalllanddevelopmentandotherlandloansoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.a(2))andinnon‐domesticoffices(reportedwithinFRY‐9C,ScheduleHC‐C,item1);

iii. Loanssecuredbymultifamily(5ormore)residentialpropertiesoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.d)andinnon‐domesticoffices(reportedwithinFRY‐9C,ScheduleHC‐C,item1);

iv. Loanssecuredbyothernonfarmnonresidentialpropertiesoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.e(2))andinnon‐domesticoffices(reportedwithinFRY‐9C,Schedule

232

HC‐C,item1);Loanssecuredbyowner‐occupiednonfarmnonresidentialpropertiesshouldbereportedontheFRY‐14QCorporateLoansSchedule.Loanssecuredbyowner‐occupiednonfarmnonresidentialpropertiesarethosenonfarmnonresidentialpropertyloansforwhichtheprimarysourceofrepaymentisthecashfromtheongoingoperationsandactivitiesconductedbytheparty,oranaffiliateoftheparty,whoownstheproperty.Thus,forloanssecuredbyowner‐occupiednonfarmnonresidentialproperties,theprimarysourceofrepaymentisnotderivedfromthirdparty,nonaffiliated,rentalincomeassociatedwiththeproperty(i.e.,anysuchrentalincomeislessthanfiftypercent(50%)ofthesourceofrepayment)ortheproceedsofthesale,refinancing,orpermanentfinancingoftheproperty.Consequently,suchloansareconsideredcorporateloansratherthanCREloans.

Thepopulationofloansshouldbereportedatthecreditfacilitylevel.ForpurposesoftheCRESchedule,acreditfacilityisdefinedasacreditextensiontoalegalentityunderaspecificcreditagreement.Thecreditfacilitymayallowformultipleextensionsofcredit(ordraws)withuniqueborrowingtermssuchasinterestrateorrepaymentdate;however,ultimately,theaggregationofsuchextensionsofcreditaregovernedunderonecommoncreditagreement.The$1milliondollarreportabilitythresholdappliestoanysetofcommitmentswherethesumofthosecommitments,governedunderonecommoncreditagreement,isgreaterthanorequalto$1million.Thesecriteriaarethesameforallextensionsofcredit.Borrowersmayhavemultiplefacilitiesfromthesamebank.Eachfacilityshouldbereportedseparately,butmultipledrawswithinafacilityshouldbeconsolidatedatthefacilitylevel.

CreditfacilitiescontainingloanswhichfallunderoneormoreoftheFRY‐9ClineitemsoutlinedaboveshouldbereportedontheFRY‐14QCREscheduleatthecreditfacilitylevel.ForcreditfacilitiesalsocontainingloansreportedonFRY‐9Clineitemsnotoutlinedabove,theunderlyingloansshouldbeaggregatedandreportedontherespectiveFRY‐14Qschedulesbasedontherelevantscheduleinstructions.Forexample,consideracreditfacilitywhichhasthefollowingloans:

Loan1:$2millioncommittedbalancereportedonFRY‐9C,ScheduleHC‐C,item4.a

Loan2:$1millioncommittedbalancereportedonFRY‐9C,ScheduleHC‐C,item4.b

Loan3:$500,000committedbalancereportedonFRY‐9C,ScheduleHC‐C,item1.e(1)

Loan4:$500,000committedbalancereportedonFRY‐9C,ScheduleHC‐C,item1.d

TheBHCandIHCshouldaggregateloans1,2,and3andreportonefacilitywitha$3.5millioncommittedbalanceontheFRY‐14QCorporateLoanscheduleandonefacilitywitha$500,000committedbalanceontheFRY‐14QCommercialRealEstateschedule.Notethatallloanswithinthefacilityarereported,includingthoseunderthecreditfacilitythreshold.Intheaboveexample,the$500,000committedbalanceisreportedontheFRY‐14QCREschedulebecauseoftheoverallfacilitycommitmentisgreaterthan$1million.

B.InstructionsforCrossCollateralizedLoansAsdiscussedabove,theentireScheduleshouldbecompletedforCREloanswithacommittedbalancegreaterthanorequalto$1million.However,CREloanswithbalanceslessthan$1millionaresubjecttoalimiteddatacollectioniftheyarecrosscollateralizedwithaCREloanwithacommittedbalancegreaterthanorequalto$1million.Forpurposesofthisschedule,cross‐collateralizedloansarethoseinwhichthecollateralsecuringoneloanisalsousedascollateralforotherloans,evenifthatloanhaslessthan$1millioncommittedbalance.CrosscollateralizedloansthatarenotCREloansshouldbeexcluded(i.e.homeloan).Asingleloansecuredbymultiplepropertiesisnotconsideredtobecross‐collateralizedforpurposesofthisschedule.Lienpositiondoesnotimpactdeterminationsofwhetherloansarecross‐collateralized.

233

Underthislimiteddatacollection,reportthefollowingfieldsforcrosscollateralizedCREloanswithbalanceslessthan$1million:

i. Field1,LoanNumber;ii. Field3,OutstandingBalance;iii. Field5,CommittedExposureGlobal;iv. Field44,CrossCollateralizedLoanNumbersReportingofallotherfieldsforcrosscollateralizedloanswithbalanceslessthan$1millionisoptional.

C.ReportingSpecificationsConsistentwiththeFRY‐9C,reportallloansnetofcharge‐offs,fairvalueadjustments(FVA)andASC310‐30(originallyissuedasSOP03‐3)adjustments,ifapplicable,butgrossofASC310‐10(originallyissuedasFAS114AccountingbyCreditorsforImpairmentofaLoan)reserveamounts.Charge‐offs,ASC310‐10reserveamounts,ASC310‐30adjustments,andFVA(includingthoseforheldforsaleloans)shouldbereportedseparatelyinthedesignatedfields(6,46,47,50and51,respectively).

Foracquiredloans(seeField36),reportdataretrievablefromloanaccountingsystemsofrecordreportedonaprospectivebasis.

Alldollaramountsshouldrepresentonlytheconsolidatedholdingcompany’spro‐rataportionofportionofanysyndicatedorparticipatedloan.

AllamountsshouldbereportedinU.S.dollars.

D.DataFormatDatashouldbeprovidedinasingleextensiblemarkuplanguagefile(.xml).Noquotationmarkshouldbeusedastextidentifiers.Donotuseheaderorarowcount. Thisfilewillcontainonerecordperactiveloaninthecontributor’sinventory.Forfieldsthattheschedulespecifiesasadate,buttheXSDspecifiesasadatetime,provideT00:00:00asthetime.

D.CommercialRealEstateDataFieldsThetableonthefollowingpagesshowsthefieldsthatshouldbecontainedinthesubmissionfile.Reportallfieldswithdataasofthereportdate.

For disposed CRE loans, report all Fields as of the date of disposition, unless otherwise instructed inindividualFielddescriptions.

234

FieldNo.

FieldName;(TechnicalFieldName)

MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

1 LoanNumber

(LoanNumber)

G063 Report the reporting ‐ entity’s unique internalidentifierforthiscreditfacilityrecordasofthemostrecentfilingdate.Itmustidentifythecreditfacilityforitsentirelifeandmustbeunique.

IntheeventtheLoanNumberchanges(i.e.,loanwasconvertedtoanewsystemthroughmigrationoracquisition),alsoprovideOriginal/PreviousLoanNumberinField35.

Mustbeuniquewithinasubmissionandovertime.Thatis,thesamesubmissionfilemustnothavetwofacilitieswiththesameLoanNumber.


Mandatory

2 ObligorName

(ObligorName)

9017 Reporttheobligornameontheloan.Fulllegalentitynameisdesirable,buttheprecisenameisnotnecessaryifitrequiresmanualinterventiontoprovide. Iftheborrowingentityisanindividual(s)(NaturalPerson(s)),donotreportthename;insteadsubstitutewiththetext:"Individual"

Mustnotcontainaverticalbar(|,ASCII7C),carriagereturn,linefeed,commaoranyunprintablecharacter.

Mandatory

3 OutstandingBalance

(OutstandingBalance)

K448 Reportthecurrentoutstanding(book)balanceontheCRELoanasreportedonFRY‐9C. OutstandingbalanceisnetofASC310‐30(originallyissuedasSOP03‐3),charge‐offsandfairvalueadjustments.Fordisposedcreditfacilities,report0(zero).



Mandatory

4 LineReportedonFRY‐9C

(LineReportedOnFRY9C)

K449 Reporttheintegercode(seeAllowableValuescolumn)correspondingtothelinenumberontheFRY‐9C,HC‐C,inwhichtheoutstandingbalanceisrecorded,orinthecaseofunusedcommitments,thelinenumberinwhichtheCRELoanwouldberecordedifdrawn.

Option7isacomponentofabroaderFRY‐9Cline.

RefertotheFRY‐9CinstructionsfordefinitionsofScheduleHC‐Clineitemcategories.

1. 1‐4familyresidentialconstructionloansoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.a(1)).

2. Otherconstructionloansandalllanddevelopmentandotherlandloansoriginatedindomesticoffices(FRY‐9C,Schedule

Mandatory

235

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

Ifthecreditfacilityincludesmultipleloans,reporttheintegercodecorrespondingtothetypeofloanwhichaccounts for the largest share of the credit facilitycommittedbalance.

HC‐C,item1.a(2)).3. Loanssecuredby

multifamily(5ormore)residentialpropertiesoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.d).

4. DONOTUSE.5. Loanssecuredbyother

nonfarmnonresidentialpropertiesoriginatedindomesticoffices(FRY‐9C,ScheduleHC‐C,item1.e(2)).

6. DONOTUSE.7. LoanssecuredbyCRE

originatedbynon‐domesticofficesasreportedwithinFRY‐9C,ScheduleHC‐C,item1,excludingnonfarmnonresidential,owneroccupiedloansoriginatedinnondomesticoffices.

5 CommittedExposureGlobal

(CommittedBalance)

G074 ReportthecurrentdollaramounttheobligoriscontractuallyallowedtoborrowaccordingtothecreditagreementidentifiedinField1,regardlessofwhetherthecommitmentislegallybinding,netofanycharge‐offs,ASC310‐30(originallyissuedasSOP03‐03)adjustments,orfairvalueadjustmentstakenbytheReportingBHCorIHC,butgrossofASC310‐10reserveamounts. Includebothdrawnandundrawncommittedamounts.

Forfacilitieswithmultiplelenders,onlyprovidethe



Mandatory

236

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

reportingentity’spro‐ratacommitment, net oftheabovenotedadjustments.

Forcommitmentstocommit,reportthetotalcommitmentamountapprovedandofferedtotheborrower.

6 CumulativeCharge‐offs

(CumulativeChargeoffs)

G076 Reportthecumulativenetcharge‐offsassociatedwiththisCREloanonthereportingentity'sbooks.

Cumulativenetcharge‐offsaretheamountreflectedoverthelifeofthecreditfacility.

Ifcumulativecharge‐offsaregreaterthanthecurrentcommitmentbalancebutlessthantheoriginalcommitment,reportthetotalcumulativecharge‐offamounteventhoughitexceedsthecurrentcommitment.

Fordisposedloans,reportthecumulativecharge‐offsasofthedateofdisposition.



Shouldbe‘0’(zero)ifthereisnocharge‐offforthefacility.

Shouldbe‘NA’forloansheldforsaleoraccountedforunderthefairvalueoption.

Mandatory

7 ParticipationFlag

(ParticipationFlag)

6135 IndicateiftheCRELoanisparticipatedorsyndicatedamongotherfinancialinstitutionsandifitispartoftheSharedNationalCreditProgram.

1. No2. Yes,syndicate/participantin

syndicationbutdoesnotmeetthedefinitionofaSharedNationalCredit

3. Yes,agentinsyndicationbutdoesnotmeetthedefinitionofaSharedNationalCreditsoldbyreportingBHCorIHC

4. Yes,syndicate/participantinSharedNationalCredit

5. Yes,agentinSharedNational

Optional

237

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

Credit

8 LienPosition

(LienPosition)

K450 Indicateusingintegercodeifthemortgageisafirstlienonthepropertyorasubordinatelien.Formultipleproperties,reportthelienonthepredominantproperty.Thepredominantpropertyshouldbetheonewiththehighestcollateralvalue.Ifnopropertypredominates,thenreportintegercodefor“MixedLiens”. Forloanssecuredbyapledgeofpartnershipinterests,indicateasubordinatelienposition.

A“B‐Note”isastructurallysubordinatedpositionsecuredbyaseniorlienonaproperty.

1. FirstLien2. SubordinatedLien3. MixedLiens4. DONOTUSE.5. “B‐Note”

Mandatory

9 PropertyType

(PropertyType)

K451 IftheCRELoanissecuredbymultiplepropertytypesandonepredominates,indicatethepredominantpropertytype. Thepredominantpropertyshouldbetheonewiththehighestcollateralvalueasofthelastvaluationdate(Field43).

IftheCRELoanissecuredbymultiplepropertytypesandnosingleonepredominates,indicateintegercodefor"Mixed”.

Iftheloanissecuredbyapropertytypewhichisnotincludedintheabovelist,thenindicateintegercodefor“Other"(e.g.,skillednursing,self‐storage,etc.).

IftheCRELoancommitmentcoversONLYthelandandlotdevelopmentphase,thenreportas"LandandLotDevelopment." Ifhowever,theCRELoancommitmentisforlanddevelopmentANDverticalconstruction,reportitundertheappropriate

1.Retail2.Industrial/Warehouse

3.Hotel/Hospitality/Gaming(includingResorts)

4.Multi‐familyforRent(includinglowincomehousing)

5.Homebuildersexceptcondo6.Condo/Co‐op7.Office8.Mixed9.LandandLotDevelopment

10. Other

Mandatory

MD)

Description

AllowableValues

Mandatory/Optional

category(e.g.Homebuilders,condo,office).

Reporttheoriginationdate.Theoriginationdateisthecontractualdateofthecreditagreement.(Inmostcases,thisisthedatethecommitmenttolendbecomesalegallybindingcommitment).Iftherehasbeenamajormodificationtotheloansuchthattheobligorexecutesaneworamendedandrestatedcreditagreement,usetherevisedcontractualdateofthecreditagreementastheoriginationdate.Thefollowingindependentexampleswouldgenerallynotresultinachangeinthecontractualdateoftheloan,andthuswouldnotbeconsideredmajormodifications:(1)extensionoptionsatthesolediscretionoftheborrower;(2)covenants;(3)waivers;(4)changeinthematuritydate;(5)re‐pricing;(6)periodiccreditreviews;or(7)loansreportedasaTroubledDebtRestructuringinField49.Additionally,excludeallrenewalswhichmeetthedefinitioninthe‘RenewalDate’Field54.

Thedategivenhereshouldbethesamedatethatisusedforthedatagiveninfields12and13.

Forcommitmentstocommit,reportthedateonwhichtheBHCorIHCextendedtermstotheborrower.

Mustbeinyyyy‐mm‐ddformat,e.g.:2005‐02‐011999‐12‐14Mustbebeforeorequaltothequarterenddateofthedata.

Mandatory

Reportthefive‐digitZIPCodeforlocationswithinthe50USstates,WashingtonDC,PuertoRico,theUSVirginIslands,Guam,Palau,Micronesia,theNorthernMarianas,oftheMarshallIslandswherethecollateralislocated.

ForlocationswithintheUSstates,WashingtonDC,PuertoRico,theUSVirginIslands,Guam,Palau,Micronesia,theNorthernMarianas,ortheMarshallIslands:

Mandatory

239

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

Usethe2letterCountryCode13forforeignproperties.

IfoneCRELoanissecuredbymultiplepropertiesandonelocationpredominates,specifythatlocation.Thepredominantpropertyshouldbetheonewiththehighestcollateralvalueasofthelastvaluationdate(Field43).Otherwiseindicate“Multiple.”

beginswithzeroes, leading zeroesmustbespecifiedwithnopunctuation.

Forothercountries,the2‐lettercountrycode.

Formultiplepropertieswithoutonepredominating,use“Multiple”.

12 NetOperatingIncomeatOrigination

(NetOperatingIncome)

K454 ReporttheNetOperatingIncome(NOI)atorigination(dategiveninField10). NOIisalloperatingincome,netofoperatingexpenseswiththeexceptionofdebtserviceanddepreciation.OperatingexpensesincludeREtaxes(butnotincometaxes),Insurance,commonareamaintenance,utilities,replacementreserves,managementfees,admin/accounting/legal.Forlandandconstructionloansthatare(1)notgeneratingincome;and(2)notcross‐collateralizedwithanotherpropertygeneratingincome,populatewith‘NA’.TheNOIshouldrepresentthefinancialinformationsubmittedbytheborrowertothebankaspartoftheunderwritingdecisionatorigination,whichmayormaynotbethesameoperatinginformationusedintheappraisal.Theactualvacancyattimeoforiginationforallcompletedprojectsshouldalreadybeapartoftheactualfinancialinformationsubmittedbytheborrower.Replacementreserves,ifallocatedbytheborrowerontheoperating


Supplynumericvalueswithoutanynon‐numericformattingsuchasdollarsigns,commasordecimalsbutnegativenumberscanbesubmitted.Fornegativevaluesuseanegativesign‘‐‘notparenthesis().

Guidelinesforpopulating:

• ‘0’(zero)istobeusediftheNOIisactuallyzero.

• NAistobeusediftheloanisalandandconstructionloan(i.e.1‐4familyresidentialconstructionloansreportedinFRY‐9C,ScheduleHC‐C,item1.a(1)orotherconstructionandland

Mandatory

13 SeelinkbelowforlistofISOstandardcountrycodes:http://www.iso.org/iso/country_codes/iso_3166_code_lists/country_names_and_code_elements.htm

240

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

statement,should bededucted from operatingincometoarriveattheNOI.TheNOIshouldrepresentthebestestimateofactualNOIatthedategiveninField10. Iftherehasbeensignificantrecentleasingactivity,thenrentroll(lessexpenses)annualizedmaybethebestNOInumber.Ifthereisseasonalityinthenumbers,thenactualfiscalortrailingtwelvemonthsNOImaybethebestnumber. However,NOIshouldnotbeforwardlookinginthesenseofbeingbasedonpotentialfutureleasingorsalesactivity. TheNOIforloansoriginatedforthepurposeofconstructionthatarecurrentlygeneratingincomeshouldbereportedastheactualNOIfromoperatinginformationobtainedfromtheborrower.Ifaparticipation,proratebasedonyourshareofthecredit.Forloansthatarecross‐collateralizedatorigination(dategiveninField10),theNOIprovidedshouldrepresentthetotalNOIavailabletoservicethedebtfromtheunderlyingcollateralpool.ForthepurposesofField12only,forloansthatarecross‐collateralizedafterorigination(dategiveninField10),theNOIprovidedshouldbethetotalNOIavailableatorigination,notthesubsequentlycombinedNOIfromthecollateralpool.

NOIisaloanlevelconceptthatrepresentsthesumoftheNOIsofallofthepropertiesthatsecuretheloan.IftheBHCorIHChasoneloansecuredbymultipleproperties,theNOIreportedshouldbethesumoftheNOIgeneratedbytheindividualproperties

development loanreportedinFRY‐9C,ScheduleHC‐C,item1.a(2))thatis(1)notcurrentlygeneratingincome,and(2)notcross‐collateralizedwithanotherpropertycurrentlygeneratingincome.

• NumericvaluesaretobeusedforfacilitieswheretheNOIisapplicableandavailable.

241

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

Forcross‐collateralizedloans,theNOIprovidedshouldrepresentthetotalNOIfromtheunderlyingcollateralpool.Therefore,thesameNOIvalueshouldbereportedforeachofthecross‐collateralizedloans.Likewise,ifthecross‐collateralizationgroupincludesbothconstructionandnon‐constructionfacilities,thesameNOIshouldbereportedforeachofthesecross‐collateralizedfacilities.

13 ValueatOrigination

(ValueatOrigination)

M148 Reportthevalueofthesubjectpropertyatorigination(dategiveninField10)thevaluemaybeeitherfromanappraisaloranevaluationdependingonlegal(12CFR34)andbankpolicyrequirements.

Valueisproratedbasedonthebank'sownershipinterestinafacility.Ifaloanissecuredbymultipleproperties,reportthesumofallpropertyvaluesasadjustedforproratedparticipations.Incasesofcross‐collateralization,providethesumofallpropertyvaluesasadjustedforproratedparticipations.


Supplynumericvalueswithoutanynon‐numericformattingsuchasdollarsigns,commasordecimals.

Mandatory

14 ValueBasis

(ValueBasis)

K456 ProvideintegercodeiftheValueinField13wascalculatedusingan“asis,”“asstabilized”or“ascompleted”valueasdefinedinSR10‐16

(http://www.federalreserve.gov/boarddocs/srletters/2010/sr1016a1.pdf).

1.AsIs2.AsStabilized3.AsCompleted

Mandatory

15 InternalRating

(InternalRatin

G080 Reportthebank’sinternalobligorratingthataddressestheprobabilityofdefaultoftheloan.

Mustbealistofvalueswhereeachvaluepairisthe

Thegeneralformlookslikethis:

Rating‐code‐1:%asdecimal;Rating‐code‐2:%asdecimal;…]

Mandatory

242

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

g) bank’sinternal riskrating code followed bythepercentageoftotalexposurethatisratedwiththatriskrating.Theformatofthesepairswillbetheratingcodefollowedbyacolonfollowedbythefractionalamountofthedollarvalueoftheexposurethathasthatratingcode.Eachpairofratingcodefractionalamountwouldbeseparatedbyasemicolonandthereshouldbeasmanycodesastherearedifferentsplitratingsinthecredit.

Forexample,supposethebankhasratingsAAA,AA,A,BBB,BB,B,C,D.SupposethecreditisentirelyratedAAA.Thebankwouldsupplythisvalue:AAA:1Supposeadifferentcasewherehalfthecredit’sdollarvaluehasaratingAandtheotherhasC.Thebankwouldsupply:A:0.5;C:0.5Allthedecimalamountsmustsumto1.

16 ProbabilityofDefault

(PD)

G082 Forfirmsthataresubjecttotheadvancedapproachesfor regulatory capital, report the advanced IRBparameterestimatefortheprobabilityofdefault(PD)asdefinedintheRule.Foradefaultedobligor,report100percent(‘1’).Forfirmsthatarenotsubjecttotheadvancedapproachesforregulatorycapital,reportthePDestimatethatcorrespondstotheInternalRating.IfthereportingentitydoesnotassignaPDestimatetotheInternalRating,report‘NA’.

Expressasadecimalto4decimalplaces,e.g.,50%is0.5000.Usedecimalformat;donotusescientificnotation.

IfthereportingentitydoesnotassignacreditfacilityPDestimate,report‘NA’.

Mandatory

17 LossGivenDefault

(LGD)

G086 For firms that aresubjecttotheadvancedapproachesforregulatorycapital,reporttheadvancedIRBLGDestimateattheloanlevelasdefinedintheRule.IfthecreditfacilityincludesmultipleloanswithdifferentLGDassignments,reportthedollarweightedaverageLGDthat

Expressasadecimalto2decimalplaces,e.g.,50%is0.50.Usedecimalformat;donotusescientificnotation.

Ifthereportingentitydoesnot

Mandatory

243

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

approximatestheoverallLGDonthecommittedbalanceofthecreditfacility.Forfirmsthatarenotsubjecttotheadvancedapproachesforregulatorycapital,reportthecreditfacilityLGDestimatefromthereportingentity’screditriskmanagementsystem.IfanLGDestimateisnotassigned,report‘NA’.

assignacreditfacilityLGDestimate,report‘NA’.

18 ExposureAtDefault

(EAD)

G083 Forfirmsthataresubjecttotheadvancedapproachesforregulatorycapital,reporttheadvancedIRBparameterestimatefortheExposureatDefault(EAD).IfthecreditfacilityincludesmultipleloanswithdifferentEADassignments,reportthedollarweightedaverageEADthatapproximatestheoverallEADonthecommittedbalanceofthecreditfacility.Forfirmsthatarenotsubjecttotheadvancedapproachesforregulatorycapital,reportthecreditfacilityEADestimatefromthereportingentity’sinternalcreditriskmanagementsystem.IfanEADestimateisnotassigned,report‘NA.’



IfthereportingentitydoesnotassignacreditfacilityEADestimate,report‘NA’.

Mandatory

19 MaturityDate

(MaturityDate)

9914 Reportthematuritydate.Thematuritydateisthelastdateuponwhichthefundsmustberepaid,inclusiveofextensionoptionsthataresolelyattheborrower’sdiscretion,andaccordingtothemostrecenttermsofthecreditagreement.Ifextensionoptionsareconditionaloncertaintermsbeingmet,suchextensionsshouldbeconsideredtobeatthesolediscretionoftheborroweronlywhensuchconditionsareincompliancewiththecredit


Mandatory

244

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

agreement.Fordemandloan,enter‘9999‐01‐01’.

Forcommitmentstocommit,reporttheestimatedmaturitydatebasedonthetenorintheextendedterms.

20 Amortization

(Amortization)

K457 Forloanswithamonthlyamortizationschedule,reporttheoriginalamortizationtermoftheloaninmonthsfromthedategiveninField10attherateimpliedbythecurrentpaymentdisregardinganyballoonpayment.

ForInterestonlyloansenter‘0’(zero).

Aftertheinterestonlyperiodisover,reportthenumberofmonthstofullyamortizetheloan.Foranon‐standardamortizationschedule,report‘‐1’.

Non‐standardamortizationwouldrefertoapaymentschedulethatisnotbasedonapresetamortizationscheduleofequalmonthlypayments.Thiswouldincludepaymentschedulesthathavevaryingrepaymentsbasedonthepercentageoforiginalorcurrentbalance,orrepaymentsbaseduponcertaintriggerevents.

Mustbeinwholemonths,e.g.,10yearswould120.Foranon‐standardamortizationschedule,report‘‐1.’

Mandatory

21 Recourse

(Recourse)

G106 Indicatewhethercreditfacilityprovidesforhasfull,partialornorecoursetoasponsororguarantorasasourceofrepayment,asofthereportingdate.

1. DONOTUSE2. DONOTUSE3. Full4. Partial5. None

Mandatory

245

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

22 LineofBusiness

(LineOfBusiness)

K458 IndicatetheinternallineofbusinessthatoriginatedtheCRELoanusingtheinstitutionsowndepartmentdescriptions.

FreetextdescribingtheLineofBusiness.Forexample:Retail,PrivateBanking,CorporateBanking,etc.

Optional

23 CurrentOccupancy

(CurrentOccupancy)

K459 Reportthecurrentphysicaloccupancyofrent‐payingtenants(includingtenantsstillinconcessionaryperiods)asa%ofnetrentablesquarefootage.

UseNAif1‐4familyResidentialConstruction(FRY‐9C,ScheduleHC‐C,item1.a(1))orotherconstructionandlanddevelopmentloans(FRY‐9C,ScheduleHC‐C,item1.a(2))doesnothaveacurrentlyvalidcertificateofoccupancy.

Forloansoriginatedforthepurposeofcondoconstructionwhereconstructioniscompletedbutnotalloftheunitshavebeensold(i.e.,theyarecurrentlybeingleasedand/ortheyareforsale),reportthephysicaloccupancyratebasedonthenumberofunitsownedbytheborrower.

"Currentoccupancy"meansasclosetothereportingdateaspossible(e.g.theoccupancylevellastdeterminedbytheborrower).

Provideasafraction(2decimalplaces),e.g.:“0.80”for80%.

Guidelinesforpopulating: ‘0’(zero)istobeusedifthe

occupancyisactuallyzero.

NAistobeusedforfacilitieswherethedataelementisnotapplicableorthepropertydoesnothaveacurrentlyvalidcertificateofoccupancy‐i.e.1‐4familyresidentialconstructionorotherconstructionandlanddevelopmentloans.

Numericvaluesaretobeusedforfacilitieswheretheoccupancyisapplicableandavailable.

Mandatory

24 AnchorTenant

(AnchorTenant)

K460 Reportthenameofanchortenant(s),ifapplicable.Anchortenantisdefinedasanytenantnamedinaco‐tenancyclauseorwhoserentalincomeaccountsforthemajorityofthegrossrentalincomeatthepropertylevel.

Mustnotcontainaverticalbar(|,ASCII7C),carriagereturn,linefeed,commaoranyunprintablecharacter.

IftherearemultipleAnchor

Optional

246

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

tenants,separatenames with adoublesemi‐colon‘;;’.

25 LoanPurpose

(LoanPurpose)

G073 Indicatethepurpose ofthe CRE Loan at theoriginationdate,asrecordedinField10,usinganintegerfromthefollowinglist.ThefollowingLoanPurposedescriptionsprovideguidancebasedoncommonly‐useddefinitions.ReportfieldsasdefinedintheBHC’sorIHC’sloansystem.(1)ConstructionBuildtoSuit:Theloanproceedsfundtheconstructionofabuildingspecifiedbyatenantandleasedtothetenant/ConstructionCreditTenantLease:100%occupancytoaninvestmentgradetenantonalongtermtriple‐netlease;bothoccupancyandleasetypeconditionsmustbemettomeetthisdefinition. (2)LandAcquisition&Development:Theloanproceedsfundtheacquisitionofvacantlandorimprovementofunimprovedrealpropertypriortotheconstructionofbuildingstructures.Theimprovementofunimprovedrealpropertymayincludethelayingorplacementofsewers,waterpipes,utilitycables,streets,changesinzoning,andotherinfrastructurenecessaryforfuturedevelopment.(3)ConstructionOther:Theloanproceedsfundtheconstructionofbuildingsorotherstructures,includingadditionsoralterationstoexistingstructuresandthedemolitionofexistingstructures

1.ConstructionBuildtoSuit/CreditTenantLease

2.LandAcquisition&Development

3.ConstructionOther4.DONOTUSE.5.DONOTUSE.6.Acquisition(nonowner

occupied)7.Refinance8.Other9.Mini‐Perm

Mandatory

247

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

tomakewayfornewstructures.(6)Acquisition(nonowneroccupied):Theloanproceedsfundthepurchaseorachangeinthemajorityofownershipofnon‐owneroccupiednonfarmnonresidentialpropertyormultifamilyproperty.(7)Refinance:Replacementofanexistingloanwithaloanunderdifferentterms(e.g.,newmaturity,interestrate,etc.).Thesetransactionsgenerallydonotinvolvethepurchasesorfundingofstructuralchangestocommercialrealestateproperty.Thesewouldgenerallyalsoexcludetransactionsinvolvingachangeinthemajorityownershipoftheproperty.(8)Other:Loanswhichdonotfallunderoneoftheotherloanpurposecategories.

(9)Mini‐Perm:Aformofshorttermfinancingforcompletedconstructionprojects.PursuanttoY‐9C,ScheduleHC‐C,domesticloanswrittenascombinationconstruction‐permanentloanssecuredbyrealestateshouldbereportedinField4underoptions1or2untilconstructioniscompletedandacertificateofoccupancyisobtainedorprincipalamortizationpaymentsbegin,whichevercomesfirst.BHCsandIHCsshouldindicateOption9oncetheloanisreportedunderoptions3,5or7inField4(LineReportedonFRY‐9C).

26 InterestRateVariability

K461 Indicatethevariabilityofcurrentinterestrates(Fixed,Floating,orMixed)tomaturity.


1.Fixed

Mandatory

248

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

(InterestRateVariability)

Forfullyundrawncommitments, enter 0(zero). 2.Floating3.Mixed

27 InterestRate

(InterestRate)

7889 ReportthecurrentinterestratechargedontheCRELoan.Ifthefacilityincludesmultipledrawswithdifferentinterestrates,enterthedollarweightedaverageinterestratethatapproximatestheoverallrateonthedrawnbalanceofthefacility.Reportinterestrateexclusiveofinterestrateswaps.

Provideasadecimal,e.g.:0.0575for5.75%Forfullyundrawncommitments,enter‘0’(zero).

Mandatory

28 InterestRateIndex

(InterestRateIndex)

K462 ForfloatingrateCRELoans,reportthelistbaseinterestrateusingintegercode.Ifborrowerhasanoption,selecttheindexactuallyinuse.

IftheCREloanisfixed(asdesignatedinField26)choosetheintegerfor“Notapplicable(Fixed)”.Forloancommitmentswherethebaseinterestrateismixed,choosetheintegerfor“Mixed.”

Forfullyundrawncommitments,enter0(zero).


1.LIBOR2. PRIMEorBase3. TreasuryIndex4.Other5.Notapplicable(Fixed)6.Mixed

Mandatory

29 InterestRateSpread

(InterestRateSpread)

K463 ForfloatingrateCRELoans,reportthespreadfrombaserateinbasispoints(thiscanbeeitherpositiveornegative).

IftheCREloanisfixed(asdesignatedinField26)populate‘NA’.

IftheCREloanincludesmultipledrawswithdifferentspreads,providethespreadthatapproximatestheoverallspreadontheloan.


Enter‘NA’iftheloanisfixed.

Negativenumberscanbesubmitted.Fornegativevaluesuseanegativesign‘‐‘notparenthesis().


Mandatory

249

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

30 InterestRateCeiling

(InterestRateCeiling)

K464 ForfloatingrateCRELoans,reporttherateceilingifoneiscontainedinthecreditagreement.

Ifthereisnoceiling,populatewith‘NONE’.


Forloancommitmentswithmultipleinterestrateceilings,providethemaximuminterestrateceiling.


Enter‘NA’iftheloanisfixed

Enter‘NONE’ifnoceiling.


Mandatory

31 InterestRateFloor

(InterestRateFloor)

K465 ForfloatingrateCRELoans,reporttheratefloorifoneiscontainedinthecreditagreement. Ifthereisnofloor,populatewith

‘NONE’.


Forloancommitmentswithmultipleinterestratefloors,providetheminimuminterestratefloor.


Enter‘NA’iftheloanisfixed

Enter‘NONE’ifnofloor.


Mandatory

32 FrequencyofRateReset

(FrequencyofRateReset)

K466 ForfloatingrateCRELoans,reportthefrequencyofinterestrateresetinmonths.Forfrequencieslessthan(1)month,reportas(1)month.

Provideinwholemonths.

Enter‘NA’iftheloanisfixed.


Mandatory

33 InterestReserves

(InterestReserves)

K467 ReportthedollaramountofremainingInterestratereserves. Interestreserveswouldrepresentonlythosefundsremainingfromtheoriginalconstructioncommitmenttobeusedtopayinterestduringtheconstructionandlease‐upphases.Ifa

Roundedtowholedollaramountwithnocents,punctuationordollarsigns.

Guidelinesforpopulating:

Mandatory

250

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

participation, proratebased on your share of thecredit.

Ifinterestreservesarenotapplicable,populate’0’(zero).

• ‘0’(zero)istobeusedforfacilitieswhereaninterestreserveisnotpartofthetransaction(e.g.non‐constructionloans)orwheretheinterestreserveisnotfunded.

•Numericvaluesaretobeusedforfacilitieswheretheinterestreserveisapplicableandavailable.

34 OriginationAmount

(OriginationAmount)

K468 Reportthebank’stotalcommitmentasoftheoriginationdategiveninField10.Thetotalcommitmentisthedollaramounttheobligoriscontractuallyallowedtoborrowaccordingtothecreditagreementasoftheoriginationdate.Thisincludesbothdrawnandundrawnamounts.Forfacilitieswithmultiplelenders,onlyprovidethereportingentity’spro‐ratacommitment.

Roundtothewholedollar.

Donotincludepunctuationordollarsign.

Mandatory

35 Original/PreviousLoanNumber

(OrigLoanNumber)

G064 ReporttheInternalidentificationcodeassignedtothecreditfacilityrecordintheprevioussubmission.Ifthecreditfacilityrepresentsthefulfillmentofacommitmenttocommitreportedintheprevioussubmission,reportthecreditfacilityIDusedforthatformerlyreportedexposure.Ifthereisnochangefromthepriorsubmission,orifthisisthefirstsubmission,thentheLoanNumberreportedinField1shouldbeusedastheOriginal/PreviousLoanNumber.


Mandatory

36 AcquiredLoan K469 Indicateiftheloanwasacquiredviaabank,portfolioorindividualloanpurchase(i.e.loan

1.Yes Mandatory

251

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

(AcqLoan)commitmentthatwasacquiredoutsideoftheoriginalunderwritingsyndication.Thisincludesloansacquiredinthesecondarymarketviaanindividualloanpurchase,loansacquiredaspartoftheacquisitionofanentirebank,orloansacquiredaspartoftheacquisitionofaportfolioofloans).

Loansoriginatedandunderwrittenbythereportingbankarereportedas“2”(No).

Oncealoanhasbeenrenewedormodified,itshouldnolongerbereportedasanacquiredloan.ForpurposesofthisField,arenewalormodificationoccurswhentheacquiringbankhasunderwrittentheloan(accordingtothecreditpolicyofthebank).

2.No

37 #DaysPrincipalorInterestPastDue

(PastDue)

G077 Reportthelongestnumberofdaysprincipaland/orinterestpaymentsarepastdue,ifsuchpaymentsarepastdue30daysormore.Reportthenumberofdayspastdueasofthelastdayofthereportingquarterordispositiondate.Ifpaymentsarenotpastdue30daysormore,enter‘0’(zero).

Numbersonly.


Mandatory

38 Non‐AccrualDate

(NonAccrualDate)

G078 Reportthedatethecreditfacilitywasplacedonnon‐accrual,ifapplicable.

Ifthereisnonon‐accrualdate,enter‘9999‐12‐31’.

Forfullyundrawncommitments,enter‘9999‐12‐31’.


Mandatory

39 PropertySize K471 Reportthisfieldonlyincaseswheretheloanissecuredbyoneproperty.Ifthesingleproperty

Wholenumber(nocommasor Mandatory

252

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

(PropertySize)securingtheloansconsistsofonepropertytype,reportthesizeforthepropertytypeasfollows:

Retail:SquareFeet*Industrial/Warehouse:SquareFeet*Hotel/Hospitality/Gaming:RoomsMulti‐familyforrent:UnitsHomebuildersexceptcondo:LotsCondo:UnitsOffice:SquareFeet*LandandLotDevelopment:AcreageIfthesinglepropertysecuringtheloanconsistsofMixed/Otherpropertytypes,report‘Other’.Iftheloanissecuredbymultipleproperties,report‘NA’.*Squarefootageshouldbereportedasnetrentablearea,whichisdefinedasthesquarefootageforwhichrentcanbecharged,generallythegrossarealessallverticalpenetrationssuchaselevatorshaftsandstairwells.Forapropertyunderconstructionatthetimeofreporting,theBHCorIHCshouldreporttheplannedfinishedsquarefootageoftheproperty.

decimals).

IfthesinglepropertysecuringtheloanconsistsofMixed/Otherpropertytypes,report‘Other.’Iftheloanissecuredbymultipleproperties,report‘NA.’

40 NetOperatingIncome(NOI)Current

(CurrentNetOp

K472 ReportthemostrecentannualizedNOI(asdefinedinField12)asofthereportdatethatservesastheprimarysourceofrepayment.

RefertoField12forallowablevalues.

Mandatory

253

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

eratingInc)

41 LastNOIDate

(LastNOIDate)

K473 ReportthedateforthevalueprovidedinCurrentNetOperatingInc(Field40).

Mustbeinyyyy‐mm‐ddformat,e.g.:2005‐02‐011999‐12‐14Mustbebeforeorequaltothereportdate.

ThisdatemaybeNull(i.e.blank)iftheNetOperatingIncome(NOI)Current(Field40)is‘NA’.

Mandatory

42 CurrentValue

(CurrentValue)

M209 Reportthemostrecentvalueofthesubjectproperty,whichmaybeeitherfromanappraisaloranindependentevaluationdependingonlegal(12CFR34)andbankpolicyrequirements.Ifthemostrecentvaluationisthevaluereportedinfield13,thenreporttheamountreportedinfield13.

Valueisproratedbasedonthebank'sownershipinterestinafacility.Ifaloanissecuredbymultipleproperties,reportthesumofallpropertyvaluesasadjustedforproratedparticipations.Incasesofcross‐collateralization,providethesumofallpropertyvaluesasadjustedforproratedparticipations.



Mandatory

43 LastValuationDate

(LastValuationDate)

K475 ReportthedateofthemostrecentvaluationprovidedinCurrentValue(Field42).

Mustbeinyyyy‐mm‐ddformat,e.g.:2005‐02‐011999‐12‐14Mustbebeforeorequaltothe

Mandatory

254

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

reportdate.

44 CrossCollateralizedLoanNumbers

(CrossCollaterlizedLoans)

M290 ReporttheLoanNumbers(Field1)foralltheloanswhicharecross‐collateralizedwithloansreportedinField1.Thisincludesloansthathaveacommittedbalancelessthan$1million.

Oneloansecuredbymultiplepropertiesisnotconsideredcross‐collateralizedforthepurposeofthisfield.Inthisfield,onlyreportloansthatsharepropertiesinthecollateralpool.

TheprovidedloannumbersmusthaveacorrespondingentryintheCREcollection.Cross‐collateralizedloansthatarenotCRELoansshouldbeexcluded.

ProvidetheLoanNumberseparatedbya,(comma).Forexample,ifloans123andXYZarecross‐collateralizedthenenter123,XYZ.

Leaveblankifloanisnotcrosscollateralized.

Mandatory

45 AdditionalCollateral

(AdditionalCollateral)

M291 Reportthevalueofanycashandmarketablesecuritiesthatarepledgedascollateralandwherethebankhasafirstperfectedsecurityinterest.



Optional

46 ASC310‐10

(ASC31010)

M292 ReportthereserveappliedtotheloanperASC310‐10(formerlyFAS114,AccountingbyCreditorsforimpairmentofaloan).ASC310‐10addressesspecificreservesforimpairedloans.



Shouldbe0ifthereisnoASC310‐

Mandatory

255

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

10Reserve forthe loan.


47 ASC310‐30

(ASC31030)

M293 ReporttheadjustmentperASC310‐30(formerlyStatementofPosition(SOP)03‐3,AccountingforCertainLoansorDebtSecuritiesAcquiredinaTransfer).ASC310‐30addressesreservestakenwhentheloanwasacquiredbasedonadiscountedpurchaseprice.

Provideifavailableatacreditfacilitylevel,otherwiseapro‐ratedallocationfromtheportfolioleveltotheloanlevelmaybereported.

AloancouldhavebothanASC310‐10reserveandanASC310‐30reserveiftheASC310‐30reserveisdeemedinsufficientandtheconsolidatedholdingcompanydecidestoestablishanadditionalreserveforaspecificallyimpairedloanthroughASC310‐10.ForconsistencywithFRY‐9Creportingforloansandleases,neithertheaccretableyieldnorthenonaccretabledifferencemaybereflectedinthisfield.RefertothePurchasedCredit‐ImpairedLoansandDebtSecuritiesitemintheGlossaryoftheFRY‐9Cforfurtherdetails.



Shouldbe0ifthereisnoASC310‐30Reservefortheloan.

Forfullyundrawncommitments,enter 0.

47

48DONOTUSE

48

256

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

49 TroubledDebtRestructuring

(TroubledDebtRestructuring)

IndicatewhethertheloanhasbeenrestructuredinatroubleddebtrestructuringasdefinedintheFRY‐9CGlossaryentryfor“troubleddebtrestructuring.”

1. No2. Yes

Mandatory

50 FairValueAdjustmentCommittedExposure(FairValueAdjustmentCommitment)

M294 Forheldforsaleloansandloansaccountedforunderafairvalueoption,reportthedollaramountadjustment(positiveornegative)fromtheCommittedExposureparbalance.ExcludeFAS141andFAS91FVAforpremiumsordiscounts.ThefairvalueadjustmentrepresentsthefairvalueoftheentirecreditfacilityidentifiedinField1(whichincludesboththefundedamountrecordedinFRY‐9C,ScheduleHC‐C,aswellasanyunusedportionofthecommitmentrecordedinSchedulesHC‐F,HC‐G,andHC‐L),minusthedollaramounttheobligoriscontractuallyallowedtoborrowaccordingtothecreditagreement.

Roundedwholedollaramountwithnocents,e.g.:20000000.Supplynumericvalueswithoutanynon‐numericformattingsuchasdollarsigns,commasordecimals.Fornegativevaluesuseanegativesign“‐“,notparentheses.Shouldbe‘0’(zero)forloansvaluedatpar.Shouldbe‘NA’forloansnotheldforsaleoraccountedforunderthefairvalueoption.

Mandatory

51 FairValueAdjustmentDrawn(FairValueAdjustmentDrawn)

Forheldforsaleloansandloansaccountedforunderafairvalueoption,reportthedollaramountadjustment(positiveornegative)fromtheUtilizedExposureparbalance.Thefairvalueadjustmentrepresentsthefairvalueoftheoutstandingfundedloans,asrecordedinformFRY‐9C,ScheduleHC‐C,minustheoutstandingparbalance.ExcludeFAS141andFAS91FVAforpremiumsordiscounts.

Roundedwholedollaramount,e.g.:20000000Supplynumericvalueswithoutanynon‐numericformatting(nodollarsign,commasordecimal).Shouldbe0forloansvaluedatpar.Shouldbe‘NA’forloansnotheldforsaleoraccountedforunderafairvalueoption.

Mandatory

257

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

Fornegativevaluesuseanegativesign‘‐‘,notparentheses().

52 LowerofCostorMarketFlag(LOCOM)

Forloanswithanumericvalueinfields50and51,indicatewhethertheloanisaccountedforunderthefairvalueoptionorisheldforsaleandcarriedatthelower‐of‐cost‐or‐market(LOCOM).Forloansnotaccountedforunderthefairvalueoptionornotheldforsale,reportOption3(NA).

1. LOCOM2. FVO3. NA

Mandatory

53 SNCInternalCreditID(SNCInternalCreditID)

IfthecreditfacilityisreportedintheSharedNationalCreditcollectionandthereportingBHCorIHCisthelead bank/agent (option 5 in Field 7), indicate thereporting BHC’s or IHC’s Internal Credit ID asreportedintheSharedNationalCreditcollectionforthiscreditfacilityasofthemostrecentfilingdate.

IfthecreditfacilityisnotreportedintheSharedNationalCreditcollectionorthereportingBHCorIHCisaparticipantintheSharedNationalCreditcreditfacility,report‘NA’.

Maynotcontainacarriagereturn,linefeed,commaoranyunprintablecharacter.Report‘NA’ifthecreditfacilityisnotreportedintheSharedNationalCreditcollectionorifthereportingBHCorIHCisnottheagent.

Mandatory

54 RenewalDate(RenewalDate)

Ifthecreditfacilityhasbeenrenewedperthetermsoftheoriginalloanagreement,re‐priced,orhasachangeinthematuritydatesuchthattheOriginationDatedidnotchange,reportthedateonwhichthemostrecentrenewalnotificationbecameeffective.TheRenewalDateisintendedtocapturematuritydateextensionsprovidedtotheobligorbytheBHCorIHCandextensionoptionsatthesolediscretionoftheborrower.Ifacreditfacilityhasbeenrenewedaspartofamajormodificationsuch


Mandatory

258

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

thatthecontractualdateoftheoriginalloanischanged,thensuchdatewouldbereportedinField10(OriginationDate)andtheBHCorIHCshouldreport9999‐12‐31inthisfield.IfthecreditfacilityhasnotbeenrenewedtheBHCorIHCshouldreport9999‐12‐31inthisfield.

55 CreditFacilityCurrency(CreditFacilityCurrency)

Indicatethecurrencydenominationforcontractualprincipalandinterestpaymentsonthecreditfacility,usingtherelevantthree‐letterISO4217currencycode.

Ifpaymentsarelegallypermittedorrequiredinmorethanonecurrency,indicatethepredominantcurrencyforcontractualcreditfacilitypayments.

Fortheavoidanceofdoubt,whetherornotthecurrencydenominationofthecreditfacilityisUSD(USDollars),allamountsreportedinotherfieldsofthisschedulemustbeintermsofUSDollars.

Thepredominantcurrencyshouldbethecurrencywhichrepresentsthepredominantshareofthecreditfacilitycommittedbalance

StandardISO4127three‐lettercurrencycodesavailableathttp://www.iso.org/iso/currency_codes

Mandatory

56 CurrentOccupancyDate(CurrentOccupancyDate)

ReportthedateonwhichthemostrecentoccupancylevelindicatedinField23(CurrentOccupancy)wasdeterminedbytheborrower.

Mustbeinyyyy‐mm‐ddformat,e.g.:2005‐02‐011999‐12‐14Mustbebeforeorequaltoreportdate.

ThisdatemaybeNull(i.e.blank)iftheCurrentOccupancy(Field23)is

Mandatory

259

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

‘NA’.

57 CurrentValueBasis(CurrentValueBasis)

ProvideintegercodeiftheCurrentValueinField42wascalculatedusingan“asis,”“asstabilized”or“ascompleted”valueasdefinedinSR10‐16

(http://www.federalreserve.gov/boarddocs/srletters/2010/sr1016a1.pdf).

1. AsIs2. AsStabilized3. AsCompleted

Mandatory

58 PrepaymentPenaltyFlag(PrepaymentPenaltyFlag)

Indicatewhetherthecreditfacilityhasaprepaymentpenaltyclauseineffectwhichmayincludeyieldmaintenance.Indicateoption1(Yes)ifthecreditfacilitycurrentlyhasaprepaymentpenaltyclauseineffect.Ifthefacilityhadaprepaymentpenaltyclausethathassinceexpired,reportoption2.Ifthefacilitydoesnothaveaprepaymentpenaltyclause,reportoption3.

1. Yes2. Theprepaymentpenaltyhas

expired3. Noprepaymentpenaltyclause

Mandatory

59 ParticipationInterest(ParticipationInterest)

Forparticipatedorsyndicatedcreditfacilities,reportthepercentageofthetotalloancommitmentheldbytheBHCorIHC.

Ifthecreditfacilityisnotparticipatedorsyndicated,report1.

Expressasadecimalto4decimalplaces,e.g.,0.05%is0.0005.Usedecimalformat;donotusescientificnotation.

Mandatory

60 LeveragedLoanFlag(LeveragedLoanFlag)

Indicate‘2’(Yes)ifthecreditfacilityisdefinedasaleveragedloanpercriteriainthereportingentity’sinternalriskmanagementframeworkdevelopedpursuanttoSR13‐3(InteragencyGuidanceonLeveragedLending).

1. No2. Yes

Mandatory

260

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

61 DispositionFlag(DispositionFlag)

Reportthedispositionmethodforanycreditfacilitythatwasdisposedduringthereportingquarter.IftheBHCorIHCisstillpursuingpaymentofprincipal,interestoffees,reportasoption0.Rebookings/restructureswhereloanamountsaretransferredorcombinedbetweenobligationsshouldbereportedaseitheroption1(Payoff)oroption2(Involuntarypayoff)dependingontheoccurrenceofdefault.

0. Active–Reportforallcreditfacilitiesrequiredtobereportedinthisdatacollectionanddonotmeetthedefinitionsofoptions1through6asofthereportingdate.

1. Payoff–Reportallinstanceswherethecreditfacilityhasbeenpaidinfullbytheborrower,acommitmenttocommitexpiredwithoutclosing,orwhereanundrawncreditfacilityreachesmaturityandisnotrenewed.

2. InvoluntaryPayoff–Reportallinstanceswherethecreditfacilityhasbeenpaidinfullaftertheoccurrenceofdefaultperthetermsofthecreditagreement.

3. InvoluntaryLiquidation–Reportallinstanceswherethecreditfacilityhasbeenliquidatedeitherthroughforeclosureproceedingsoranothersettlementoptionresultinginincompleterepaymentof

0. Active1. Payoff2. Involuntarypayoff3. InvoluntaryLiquidation4. Soldorfullyparticipated5. Belowreportingthreshold6. TransfertoanotherY‐14

schedule

Mandatory

261

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

principal.Includeshort‐sales,charge‐offs,aswellasREO.ThisincludesloansactiveinthequarterpriortothereportingquarterthatweresoldataforeclosuresaleandtakenintoREOinthereportingquarter.Alsoincludeallinstanceswerecredithasbeenresolved(i.e.nolongerpursuingcollection)butnotthroughforeclosures,servicingtransfers,orpaymentsmadebytheobligor.

4. Soldorfullyparticipated–Reportallinstanceswheretheloanhasbeensoldorparticipatedtoanotherinstitutionduringthereportingquarter.

5. Belowreportingthreshold‐Reportallinstanceswherethecreditfacilityfellbelowthe$1millionreportingthreshold.

6. TransfertoanotherY‐14schedule–ReportallinstanceswherethecreditfacilityshiftedtoanotherY‐14schedule.Indicatetheschedulewherethecreditfacilityisnowreportedinfield62below.

62 DispositionScheduleShift(DispositionScheduleShift)

Forcreditfacilitiesreportedwithoption6(TransfertoanotherY‐14schedule)infield61,indicatetheY‐14report,schedule,andsub‐scheduletowhichthecreditfacilityshifted.Thereportedformatshouldfollowtheseexamples:IfthecreditfacilitytransferredtoFRY‐14QScheduleH.2CorporateLoans,report“Q.H.1”.IfthecreditfacilitytransferredtoFRY‐14M

Reportintheformatusingtheexamplesbelow:

IfthecreditfacilitytransferredtoFRY‐14QScheduleH.2CorporateLoans,report“Q.H.1”.

IfthecreditfaciltytransferredtoFRY‐14MScheduleA.1DomesticFirstLienClosed‐end1‐4FamilyResidentialLoanDataDictionary,report“M.A.1”.

Mandatory

262

FieldNo.


MDRM(CRED)

Description

AllowableValues

Mandatory/Optional

ScheduleA.1DomesticFirstLienClosed‐end1‐4FamilyResidentialLoanDataDictionary,report“M.A.1”.

263

ScheduleI–MSRValuationScheduleGeneralInstructions:Reportalldollaritemsinthousands($‘000s)ReportallinformationforFirstLienResidentialMSRsOnlyThefieldsthatpertaintoAverage,Min,Max,etcwillbecompletedbytheFederalReserveSystem;donotenteranynumbersinthesefields.Section1:GeneralInformationDonotreportMSRassetvaluesnetofhedges.ReportthebookvalueoftheMSRassetasofthemostrecentquarterend. ReportthemarketvalueoftheMSRassetasofthemostrecentquarterend. ReporttheaggregatedollarvolumeofmortgageloansservicedReportthetotalnumberofmortgageloansserviced.Section2:CurrentCapitalizationRateInformation Reportthecapitalizationrate(multiple)andbasemortgagerateonFNMA/FHLMC,JumboandGNMA30yearproductssoldduringthequarterintoacurrentcouponsecondarymarketMBS. AssumethattheremittancecycleisScheduled/Scheduled,taxesandinsuranceareescrowed,withindustrystandardcreditscoresof700,andLTVof80%.Usethevalueatthetimeofcapitalizationforthosetransactionsthatareclosesttotheendofthequarter.ForthecurrentcouponsecondmarketMBS,pleaseusetheTBAthatistradingclosesttopar.Section3:ValuationInformationReportthefollowing:ValuationMethodology:StaticorOAS

Forstaticreporters,theyieldcurveprepaymentsbasedupon: Current,Forward,OtherFormixedorhybridmethods,reportasOASPrepaymentModelUsed:ProprietaryorVendorIfVendorModelUsed,NoteVendorNameDefaultModelUsed:ProprietaryorVendorIfVendorModelUsed,NoteVendorNameFHLMC/FNMAnormal,delinquency,anddefault/foreclosureservicingcostperloan($)FHAnormal,delinquency,anddefault/foreclosureservicingcostperloan($)VAnormal,delinquency,anddefault/foreclosureservicingcostperloan($)Non‐agencynormal,delinquency,anddefault/foreclosureservicingcostperloan($)Judicialjurisdictionforeclosuretimeframe(mos)Non‐judicialjurisdictionforeclosuretimeframe(mos)Servicingcosts(performingandnonperforming)mustbepresentedasannualcostsperloan.

264

Section4:MSRValuationSensitivityMetricsReportthefollowingvaluationsensitivitymetricsfor1)thetotalMSRportfolio;2)fixedrateproductsincluding30yearFHLMC/FNMA,15yearFHLMC/FNMA,FHA,andVA;3)ARMsincludingFHLMC/FNMA,FHA,VA,andNon‐Agency;and4)ALT‐A/OptionARM,andSubprimeloansunderMemo.Fordownwardrateshocks,usearisk‐freeratefloorof25basispoints.Mortgageproductsthatdonothavea15or30yeartermshouldbeexcludedfromthesensitivityanalysissectionofthetemplate.• +100basispointparallelmoveinyieldcurve• +50basispointparallelmoveinyieldcurve• +25basispointparallelmoveinyieldcurve• ‐25basispointparallelmoveinyieldcurve• ‐50basispointparallelmoveinyieldcurve• ‐100basispointparallelmoveinyieldcurve• +10%parallelchangein‐ImpliedSwaptionVolatilitySurface• ‐10%parallelchangein‐ImpliedSwaptionVolatilitySurface• +100basispointmoveinOAS/discountrate(optionadjustedspread)• ‐100basispointmoveinOAS/discountrate• +100basispointchangeinCDR(conditionaldefaultrate).Donotshockotherfactors

orvectors.• +500basispointchangeinCDR• +1000basispointchangeinCDR• +100basispointchangeinCPR.Donotshockotherfactorsorvectors.• +500basispointchangeinCPR• +1000basispointchangeinCPR• 3monthincreaseinforeclosuretimeframe• $1perloanincreaseinnormalservicingcost;excludelatefeeandmodificationrevenue.• $1perloanincreaseindelinquencyservicingcost• $1perloanincreaseindefault/foreclosureservicingcost• $1perloandeclineinancillaryincome;includelatefeeandmodificationrevenue.TheFederalReserverecognizesthereisadivergenceinindustrypracticeregardingtreatmentof"default/foreclosure"loansinMSRvaluationmodels.ThefirmshouldincludeallcostsincludedinitsMSRvaluationmodelfordefault/foreclosureloans.Forthefollowingsensitivitystresses,shockrelatedvectorsinprepaymentanddefaultmodels• +100basispointchangeinnationalunemploymentrate• +500basispointchangeinnationalunemploymentrate• ‐500basispointchangeinHPI(NationalCoreLogicIndex)• ‐1000basispointchangeinHPI(NationalCoreLogicIndex)• ‐2000basispointchangeinHPI(NationalCoreLogicIndex)TheHPIandunemploymentsensitivitiesintheMSRscheduleareintendedtobeimmediate,one‐time,shockstoHPIandunemploymentthataresustainedforthelifeoftheMSRasset.InthecontextofHPI,thefirmshouldimmediatelyincrease/decreasethenationalHPIcore

265

logicindexlevelbythestatedamountandholdtheresultantindexlevelconstantattheshockedlevelforthelifeoftheassetwhendeterminingtheMSR'svaluationsensitivitytothisinput.Inthecontextofunemployment,thefirmshouldimmediatelyincrease/decreasethenationalunemploymentratebythestatedamountandholdtheresultantnationalunemploymentrateconstantattheshockedlevelforthelifeoftheassetwhendeterminingtheMSR'svaluationsensitivitytothisinput.Section5:DetailedValuationInformationReportthefollowingdataforeachindicatedloantypebycouponstrata:• FairValue(FV)Multiple• VoluntaryPrepaymentSpeed(CPR)• InvoluntaryPrepaySpeed(DefaultRate)(CDR)• DiscountRate(in%)• OptionAdjustedSpread(OAS)(inbasispoints)• WeightedAverageCoupon(WAC)(in%)• WeightedAverageMaturity(WAM)(inmonths)• WeightedAverageServicingFee(WASF)(in%)• WeightedAverageRemainingTerm(WART)(inmonths)• WeightedAverageLife(WAL)(inmonths)• Average.LoanSize($)• CosttoServiceperLoan($)• AncillaryIncomeperLoan($)• UnpaidPrincipalBalance($)

266

ScheduleJ–RetailFairValueOption/HeldforSale(FVO/HFS)TheFairValueOption/HeldforSale(FVO/HFS)schedulecollectsinformationonretailloansandleasesthatareclassifiedaseither(1)HeldforSale(HFS)or(2)HeldforInvestment(HFI)undertheFairValueOption(FVO).Theloanpopulationislimitedtoretailloansandleases.Forpurposesofthisschedule,retailloansandleasesincludecreditcardloans,firstlienclosed‐end1‐4familyresidentialloansandleases,homeequityloansandleases,studentloans,autoloansandleases,andotherconsumerloansandleases(refertotheinstructionsfortherespectiveFRY‐14Q/Mschedulesfordefinitionsoftheseloancategories).Donotincludecommercialrealestateloans(definedintheFRY‐14Q,CommercialRealEstateSchedule),corporateloans(definedintheFRY‐14Q,CorporateLoansSchedule),smallbusinessloans(definedintheFRY‐14QUSSmallBusinessSchedule),loanssecuredbyfarmland(definedintheFRY‐9C,ScheduleHC‐C,item1.b),orloanstofinanceagriculturalproductionandotherloanstofarmers(definedintheFRY‐9C,ScheduleHC‐C,item3)onthisschedule.Donotincludeloansservicedforothers(i.e.servicedloansthatarenotdirectlyheldintheloanportfolio).

Table1

Table1hastwocolumns.IncolumnAreporttheunpaidprincipalbalanceofloansandleasesasofthereportdateinmillions.IncolumnBreporttheCarryingValueofloansandleasesasofthereportdateinmillions.ForpurposesofthisSchedule,“CarryingValue”isdefinedasfollows:

ForHFSloan,theCarryingValueisthelowerofcostorfairvalue.

ForHFSloansthattheholdingcompanyhaselectedtoreportatfairvalueunderthefairvalueoption,theCarryingValueisfairvalue.

ForHFIloansthattheholdingcompanyhaselectedtoreportatfairvalueunderthefairvalueoption,theCarryingValueisfairvalue.

ItemInstructions

ForeachcolumninTable1:(i)thesumofitems1through3mustequalitem4;(ii)thesumofitems5through9mustequalitem10;and(iii)thesumofitems4,10,and11mustequalitem12.

Lineitem1 ResidentialLoanswithForwardContractstoFederalAgenciesReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofallresidentialretailloansandleaseswithforwardcontractstoFederalAgencies.

Forpurposesofthisschedule,residentialretailloansincludeallloansmeetingthedefinitionofFRY‐9C,ScheduleHC‐C,items1.c(1),1.c(2)(a),and1.c(2)(b).ResidentialretailleasesincludeallleasesreportedinFRY‐9C,ScheduleHC‐C,item10.bthatotherwisemeettheclassificationcriteriatobeconsideredaresidentialloan,exceptforthefactthattheyarealeaseratherthanaloan.

Forpurposesofthisschedule,loansandleaseswithforwardcontractstoFederalAgenciesareloansandleasesoriginatedforthepurposeofsellingtoFederalAgencies(i.e.FannieMae,FreddieMac,GinnieMae,etc.)forfuturesecuritization.

267

Lineitem2 ResidentialLoansRepurchasedfromAgencieswithFHA/VAInsuranceReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofallresidentialretailloansandleasesrepurchasedfromagenciessuchastheFederalHousingAdministration(FHA)orVeteransAdministration(VA)insurance.

Lineitem3 AllOtherResidentialLoansNotIncludedAboveReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofallotherresidentialretailloansandleasesnotincludedinitems2or3above.

Lineitem4 TotalResidentialLoansItem4includesshadedcellandisderivedfromthesumofitems1,2,and3.

Lineitem5 Non‐ResidentialLoanswithForwardContractstoFederalAgenciesReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofloansandleasesthatdonotmeetthedefinitionofresidentialloansorleases,reportedininLineitem1,thatwereoriginatedforthepurposeofsellingtoFederalAgencies(i.e.FannieMae,FreddieMac,GinnieMae,etc.)forfuturesecuritization.

Lineitem6 StudentLoans(NotinForwardContracts)ReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofloanstofinanceeducationalexpenses,asdefinedintheFRY‐9C,ScheduleHC‐C,item6.d,thatdonotmeetthedefinitionofresidentialloansorleases,reportedininLineitem1,thatwerenotoriginatedforthepurposeofsellingtoFederalAgencies(i.e.FannieMae,FreddieMac,GinnieMae,etc.)forfuturesecuritization.

Lineitem7 CreditCardLoans(NotinForwardContracts)ReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofallextensionsofcredittoindividualsforhousehold,family,andotherpersonalexpendituresarisingfromcreditcards,asdefinedintheFRY‐9C,ScheduleHC‐C,item6.a,thatdonotmeetthedefinitionofresidentialloans,reportedininLineitem1,thatwerenotoriginatedforthepurposeofsellingtoFederalAgencies(i.e.FannieMae,FreddieMac,GinnieMae,etc.)forfuturesecuritization.

Lineitem8 AutoLoans(NotinForwardContracts)ReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofallconsumerloansandleaseagreementsextendedforthepurposeofpurchasingnewandusedpassengercarsandothervehiclessuchasminivans,vans,sport‐utilityvehicles,pickuptrucks,andsimilarlighttrucksforpersonaluse,asdefinedintheFRY‐9C,ScheduleHC‐C,item6.c,thatdonotmeetthedefinitionofresidentialloansorleases,reportedininLineitem1,thatwerenotoriginatedforthepurposeofsellingtoFederalAgencies(i.e.FannieMae,FreddieMac,GinnieMae,etc.)forfuturesecuritization.IncludeallrelevantleasesreportedinFRY‐9C,ScheduleHC‐C,item10.athatotherwisemeettheclassificationcriteriatobeconsideredanautoloan,exceptforthefactthattheyarealeaseratherthanaloan.

Lineitem9 AllOtherNon‐ResidentialLoansNotIncludedAboveReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofallnon‐residentialloansandleaseagreementsandextensionsofcredittoindividualsforhousehold,family,andotherpersonalexpendituresasdefinedintheFRY‐9C,ScheduleHC‐C,items6(b)&6(d),thatarenotreportedinItems1through8above.IncludeallrelevantleasesreportedininFRY‐9C,ScheduleHC‐C,item10thatotherwisemeettheclassificationcriteriatobeconsideredothernon‐residentialloans,exceptforthefactthattheyarealeaseratherthanaloan.

268

Lineitem10 TotalNon‐ResidentialLoansItem10includesshadedcellsandisderivedfromthesumofitems5through9.

Lineitem11 OtherRetailLoanswithZeroPrincipalorInterestRecoursetotheBankReportintheappropriatecolumntheunpaidprincipalbalanceandtheCarryingValueofanyretailloansandleasesthatpresentnorecourseliabilitytothebank.

Lineitem12 TotalRetailFVO/HFSLoansItem12includesshadedcellsandisderivedfromthesumofitems4,10and11.

Table2

Table2hasninecolumns(A‐I).ThedefinitionsoftheloancategoriesinColumnsAthroughHaredefinedinTable1above.ColumnIcontainsshadedcells,anditemsarederivedfromthesumorColumnsAthroughH.BelowisalistofColumnsincludedonTable2:

ColumnA ResidentialLoansinForwardContract

ColumnB ResidentialLoans(RepurchasedwithFHA/VAInsurance)

ColumnC AllOtherResidentialLoansNotIncludedinColumnsAorB

ColumnD Non‐ResidentialLoanswithForwardContractstoFederalAgencies

ColumnE StudentLoans(NotinForwardContract)

ColumnF CreditCardLoans(NotinForwardContract)

ColumnG AutoLoans(NotinForwardContract)

ColumnH AllOtherNon‐ResidentialLoansNotIncludedinColumnsD,E,ForG

ColumnI TotalItemsinColumnIareshadedcellsandarederivedfromthesumorColumnsAthroughH.

ItemInstructions

Therowsinthistablerefertothevintageoftheloanorlease.Thevintageoftheloanisthecalendaryearthattheloanorleasewasoriginated.ThevintagesrangefromPre2006tothecurrentcalendaryear.

CategorizeloansandleasesbyvintageandreporttheentireCarryingValueoftheloanorleaseintherowcorrespondingwiththecalendaryearthattheloanorleasewasoriginated.Additionally,categorizeloansandleasesbytheloanclassificationsprovidedincolumnsAthroughH.ReportthetotalCarryingValueofloansandleasesasofthereportdateinmillionsintheappropriatecolumnandrowaccordingtoloanclassification(column)andvintage(row).

TheTotalrowcontainsshadedcells,anditemsarederivedfromthesumofthevintageyears.TheamountreportedinTable2,ColumnI,Row8shouldequalthesumofinTable1,ColumnB,Row4andTable1,ColumnB,Row10.

269

ScheduleK‐SupplementalTheSupplementalScheduleisintendedtocapturegapsinthedatacollectedbetweentheFRY‐14andtheFRY‐9.NotallBHCsandIHCswillneedtocompleteallcellsintheschedule.Refertotheinstructionsbelowtodeterminewhichpartofthescheduleyoumustcomplete.SeethedefinitionsoftheloansineachrowofthescheduleinReferenceTableK.1oftheseinstructions.RefertotheFRY‐14Q/MGeneralInstructionsforinformationontheas‐ofandfilingdatesforthisscheduleandtheotherFRY‐14QandFRY‐14Mschedules.Forthepurposesofreportingthisschedule,thecarryingvalueofanassetisdefinedastheoriginalcostoftheassetlessanywrite‐downsassociatedwithdepreciation,amortizationorimpairmentcosts.Technicalinstructionsonhowtosubmitthedataforthisschedulewillbeprovidedseparately.Providealldollarunitdatainmillionsofdollars($Millions).ColumnA: ImmaterialPortfoliosReportthecarryingvalueofloansinimmaterialorexcludedportfoliosthatwerenotreportedintheFRY‐14QorFRY‐14MschedulesbecausetheywereimmaterialbasedontheFRY‐14materialitythresholds.IftheloansinagivenrowwerereportedintheFRY‐14QorFRY‐14M,leavetherowblank.ColumnB: CumulativeGrossCharge‐offsOnlyreportcategoriesofloansforwhichyoureportedFRY‐14QorFRY‐14MScheduleA‐RetailWorksheets.ForeachrowincolumnC,reportthecumulativelifetimegrosscharge‐offsonloansreportedintheFRY‐14QorFRY‐14Mschedules.ColumnC: PurchaseImpairmentsandFairValueAdjustmentsOnlyreportcategoriesofloansforwhichyoureportedFRY‐14QorFRY‐14MScheduleA‐RetailWorksheets.ForeachrowincolumnD,reportthecumulativelifetimepurchaseimpairmentsandfairvalueadjustmentsonloansreportedintheFRY‐14QorFRY‐14Mschedules.ColumnD: OutstandingBalanceofCommercialRealEstate(CRE)andCorporateloansunder$1MincommittedbalanceReporttheoutstandingbalanceofCREandcorporateloanswithunder$1MincommittedbalanceforeachofthecategorieswhichwereexcludedfromtheFRY‐14Q,ScheduleH–WholesaleRisk,Worksheet2,CREandWorksheet1,CorporateLoanbasedsolelyoncommitmentsize(i.e.reporttheoutstandingbalanceforloanswhichotherwisewouldmeetthedefinitionoftheloanpopulationinthoseschedules).ForCRErelatedrows,donotreportloanslessthan$1millionwhicharereportedontheFRY‐14Q,ScheduleH–WholesaleRisk,Worksheet2,CREscheduleduetocrosscollateralization.ColumnE: UnplannedOverdraftsReportanyunplannedoverdraftsasdefinedintheFRY‐9CHC‐C,item9andwhichwereexcludedfromtheFRY‐14Q,ScheduleH–WholesaleRisk,Worksheet1,CorporateLoan.

270

ColumnFScoredloansReportthecarryingvalueofanyscoredloansreportedintherespectiveFRY‐9Clineitems.Forthepurposesofthisreport,aloanisreportedasascored/delinquencymanagedloaniftheprimaryfocusoftheunderwritingdecisionisanindividual.Aloanisreportedasagradedloanifthefocusoftheunderwritingdecisionisthecashflowsoftheorganization.

271

Reference Table K.1

Category Definition

1. Student Loans Student loans in line 6.d of schedule HC‐C of the FR Y‐9C

2. Other Consumer

2a. Domestic Domestic other consumer loans reported on lines 6.b and 6.d of schedule HC‐C of the FRY‐9C

2b. International International other consumer loans reported on lines 6.b and 6.d of schedule HC‐C of theFR Y‐9C

3. First Lien

3a. Domestic Domestic first lien loans reported on line 1.c.(2).a of schedule HC‐C of the FR Y‐9C

3b. International International first lien loans with an analogous definition to the definition of loans on line1.c.(2).a of schedule HC‐C of the FR Y‐9C

4. Junior Lien

4a. Domestic Domestic junior lien loans reported on line 1.c.(2).b or 1.c.(1) of schedule HC‐C of the FRY‐9C

4b. International International junior lien loans with an analogous definition to the definition of loans onreported on line 1.c.(2).b or 1.c.(1) of schedule HC‐C of the FR Y‐9C

5. Bank and Charge Cards

5a. Domestic Domestic bank and charge cards reported on line 6.a of schedule HC‐C of the FR Y‐9C

5b. International International bank and charge cards reported on line 6.a of schedule HC‐C of the FR Y‐9C

6. Auto

6a. Domestic Domestic auto loans on line 6.c of schedule HC‐C of the FR Y‐9C

6b. International International auto loans on line 6.c of schedule HC‐C of the FR Y‐9C

7. Commercial Real Estate

7a. Construction

7a.(1) Domestic Domestic C&D loans on lines 1.a.(1) or 1.a.(2) of schedule HC‐C of the FR Y‐9C

7a.(2) International International C&D loans with an analogous definition to the definition of loans on lines1.a.(1) or 1.a.(2) of schedule HC‐C of the FR Y‐9C

7b. Multifamily

7b.(1) Domestic Domestic Multifamily loans on line 1.d of schedule HC‐C of the FR Y‐9C

7b.(2) International International Multifamily loans with an analogous definition to the definition of loans online 1.d of schedule

7c. NFNR ‐ Non‐owner occupied

7c.(1) Domestic Domestic NFNR loans on line 1.e.(2) of schedule HC‐C of the FR Y‐9C

7c.(2) International International NFNR loans with an analogous definition to the definition of loans on line1.e.(2) of schedule HC‐

7d. NFNR ‐ Owner occupied

7d.(1) Domestic Domestic NFNR loans on line 1.e.(1) of schedule HC‐C of the FR Y‐9C

7d.(2) International International NFNR loans with an analogous definition to the definition of loans on line1.e.(1) of schedule HC‐

8. Loans Secured by Farmland

8a. Domestic Domestic farmland loans on line 1.b of schedule HC‐C of the FR Y‐9C

8b. International International farmland loans with an analogous definition to the definition of loans online 1.b of schedule

9. Commercial and Industrial

9a. Graded Graded loans on line 4.a or 4.b of schedule HC‐C of the FR Y‐9C

9b. Small Business

9b.(1) Domestic

US small business loans for which a commercial internal risk rating is not used or thatuses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.a, 7, 9.a, 9.b.(1), 9.b.(2), 10.b of schedule HC‐C of the FR Y‐9C excluding corporate and SME credit card loans included on line 4.a of schedule HC‐C of the FR Y‐9C.

9b.(2) International

International small business loans for which a commercial internal risk rating is not usedor that uses a different scale than other corporate loans reported on lines 2.a, 2.b, 3, 4.b, 7, 9.a, 9.b.(1), 9.b.(2), 10.b of schedule HC‐C of the FR Y‐9C excluding corporate and SME credit card loans included on line 4.a of schedule HC‐C of the FR Y‐9C.

10. Graded Other Loans

10a. Graded Loans to Foreign Governments Graded loans on line 7 of schedule HC‐C of the FR Y‐9C

10b. Graded Agricultural Loans Graded loans on line 3 of schedule HC‐C of the FR Y‐9C

10c. Graded Loans to Depositories and Other Financial Graded loans on lines 2.a., 2.b., and 9.a of schedule HC‐C of the FR Y‐9C

10d. Other Graded Commercial Leases Graded leases on line 10.b of schedule HC‐C of the FR Y‐9C

10e. All Other Graded Loans Graded loans on line 9.b.(2) of schedule HC‐C of the FR Y‐9C

Not loan category specific Loans reported in the respective FR Y‐9C line items

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ScheduleL‐CounterpartyColumnsthatcollectinformationbasedonthesupervisorystressscenariosareonlyrequiredtobepopulatedforthesubmissionofdatafromtheas‐ofquarterofCCAR.

Thisschedulehas13sub‐schedulesforinformationoncounterpartycreditriskgroupedasfollows:

L.1.Derivativesprofilebycounterpartyandaggregateacrossallcounterpartiesa. Topcounterpartiescomprising95%offirmCreditValuationAdjustment(CVA),rankedbyCVAb. Top20counterpartiesrankedbyFederalReserveSeverelyAdverseScenarioStressedCVAandTop20counterpartiesbyBHCorIHCScenarioStressedCVAc. Top20counterpartiesrankedbyNetCE,Top20counterpartiesrankedbyFederalReserveSeverelyAdverseScenarioStressedNetCE,andTop20counterpartiesrankedbyBHCorIHCScenarioStressedNetCEd. Top20collateralizedcounterpartiesrankedbyGrossCE,Top20collateralizedcounterpartiesrankedbyFederalReserveSeverelyAdverseScenarioStressedGrossCE,andTop20collateralizedcounterpartiesrankedbyBHCorIHCScenarioStressedGrossCEe. AggregatedatabyratingsandcollateralL.2.ExpectedExposure(EE)profilebycounterparty:TopcounterpartiesrankedbyCVAcomprising95%offirmCVAL.3.Creditqualitybycounterparty:TopcounterpartiesrankedbyCVAcomprising95%offirmCVAL.4.AggregateandTopCVAsensitivitiesL.5.Securitiesfinancingtransactionsprofileforthetop25counterpartiesbynettingagreementlevel,consolidatedcounterpartylevelandaggregateacrossallcounterpartiesa. AggregateSFTinformationbycounterpartylegalentityandnettingagreementb. SFTassetspostedandreceivedbycounterpartylegalentityandnettingagreementc. AggregateSFTsbyInternalRatingL.6.Derivativesprofileforthetop25counterpartiesbynettingsetlevelandataconsolidatedcounterpartylevel.a. Aggregatederivativeinformationbycounterpartylegalentityandnettingsetb. DerivativeassetspostedandreceivedbycounterpartylegalentityandnettingsetAdditionally,aNotesscheduleisprovidedtoallowreportinginstitutionsthatsowishtoexplainthecontentofspecificitemsinthisschedule.IftheBHCorIHCelectstoprovideadditionaldata,thisshouldincludeanexplanationoftheadditionaldataandwhyitisprovided.IfthedatalinkstodatainotherschedulesoftheCCRschedule,thenacleardataidentifiermustbeprovidedsuchthatschedulesmaybemergedifnecessary(seecounterpartyidentificationdetailsbelow).DataFormattingInstructionsFuturetimebuckets(sub‐schedule2):ThelevelofgranularityoffuturerevaluationtimebucketsshouldbeatthelevelusedtocalculateCVAattheBHCorIHC,andshouldbeasgranularasavailable.SchedulesL.1.a,L.1.b,L.1.c,andL.1.dprovidedataatthecounterpartylevel(unitofobservation=counterparty).Schedule2providesallavailabledataatthecounterparty+tenorbucketlevel(unitofobservation=counterparty+tenorbucket).Sub‐schedule3providesdataatthecounterpartylevelforeachdateofmarketdatainputsused.Sub‐schedules5and6providedataatthenettingagreementlevelaswell

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asattheaggregatedlevelbyrating.Whereapplicable,fieldsthatallowoptionalreportingshouldbepopulatedwithappropriateinformationorwith“NA.”Forallrequiredfields,1)whereinformationisnotavailableorapplicable,fieldsshouldbeleftblankand2)wherefirmsdonothaveexposures,azeroshouldbereported.Incorrectlyreportedfieldswillberejected.Forsub‐schedules1‐5,allfiguresreportedshouldbereportedinpositivetermswiththeexceptionofsinglenamecredithedgesonsub‐schedules1a‐1e,whichcanbereportedaseitherpositiveornegativefigures(netsoldpositionreportedaspositive,netboughtpositionreportedasnegative).Seesub‐schedule6forfurtherformattingguidelines,asseveralitemscanbereportedinpositiveornegativeterms.CounterpartyExposureUniverseAllcounterpartyexposuresrelatedtoderivativesactivitiesshouldbeincludedintheuniverseoftransactionsapplicableforsub‐schedules1‐4and6.Allcounterpartyexposuresrelatedtorepurchase,reverserepurchase,securitieslendingandsecuritiesborrowingactivitiesshouldbeincludedintheuniverseoftransactionsapplicableforsub‐schedule5.CounterpartyIdentificationAllcounterpartiesmusthaveauniquecounterpartyidentifier.Inaddition,thenameofthecounterpartyshouldbeprovided.Uniqueidentifiersandnamesmustbeconsistentacrosssub‐schedules.Inparticular,itmustbepossibletomergesub‐schedules1,2,and3,onthevariablescounterpartyname,counterpartyID,industry,country,internalrating,andexternalrating.Specificallyforsub‐schedules1,2,and3:Ifanynettingsetorsub‐nettingsetIDsareprovidedononesub‐schedule,theymustbeprovidedonallsub‐schedules.Specificallyforsub‐schedules5and6:TheconsolidatedcounterpartynameandIDmustbeconsistentwithsub‐schedules1,2,and3,ifapplicable.Otheridentifyinginformation–industry,country,internalrating,externalrating–mustbereportedatthelegal‐entitylevel,i.e.foreachreportedlegalentity.ConsolidationofCounterpartiesSub‐schedules1and4:Whencalculatingtotalgroupexposure,allcounterparties/legalentitiesshouldbeincluded,regardlessofwhetherornottheyhaveaCVAassociatedwiththem.

Non‐sovereignsandnon‐centralcounterparties:o Reportattheconsolidatedgroup/parentlevel.

Sovereignsandcentralcounterparties:o Reportattheentitylevel.Reporttheconsolidatedgroup/parentlevelnameinthe

CounterpartyNamefield,theconsolidatedcounterpartyIDinCounterpartyIDfield,thecounterpartyentityIDintheNettingSetIDfield,andthecounterpartyentitynameintheSub‐NettingSetIDfield.Donotconsolidatebankruptcy‐remoteentities.Forsub‐schedules1b‐1d,morethan20entriesmaybeneededbasedonthisrequirement.

o Reporttheindustrycode,country,andinternal/externalratingofeachreportedentity.o Rankisbasedontheconsolidatedsovereign/CCPandthatrankmustbereportedforeach

entity.Reporttheindustrycodeofeachentityincludingthesovereign/CCPitself.

Sub‐schedules2and3:Ifdifferentmarketspreadsareattachedtodifferententitieswithinacounterpartygroup,eachentityshouldbereportedasaseparatecounterparty.Displayeachcounterpartyentity’sownname,rating,countryIDandindustryinformation.Therankshouldbethatoftheconsolidatedcounterpartyreportedonsub‐schedule1a.DisplaytheconsolidatedcounterpartyIDinCounterpartyIDfieldandthecounterpartyentityIDintheNettingSetIDfield.

Sub‐schedules5and6:Anyconsolidationrequirementsforthesesub‐schedulesarelocatedbelowinthe

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specificinstructionsforthesesubschedules.

CentralCounterpartyReportingCCPexposuresshouldincludebothclearedOTCderivativesandexchangetradedderivatives.ForcounterpartiesthatclearbothOTCderivativesandexchangetradedderivatives(namelyfuturesandoptions),provideabreakoutoftheamountofexposurereportedforeach(OTCvsexchangetraded)inthenotestotheCCRscheduleorasupplementalExcelfilesubmittedassupportingdocumentation.ReportonlyhouseexposurestotheCCPsandreportthesecounterpartiesatthelegalentitylevel,asopposedtoconsolidatedentitylevel.GrossCE,NetCE,andCVA(asdefinedincolumninstructionsbelow)shouldincludeallexposurestotheCCP,suchasdefaultfundcontributions,initialmargin,andanyothercollateralprovidedtotheCCPthatexceedscontractMTMamounts.Additionally,StressedEEs,asreportedonsub‐schedule2,shouldalsoincludeCCPexposures.IfafirmtakesaCVAonaCCPandthatCVAfallsintothetop95%oftotalfirmCVA,thatCCPshouldbereportedonsub‐schedules1a,2and3ofScheduleL.RegardlessofwhetheraCVAistaken,ifaCCPfallsintoanyofthetop20listsonsub‐schedules1b,1c,and1dofScheduleL,thatCCPshouldbereported.ExposuretoCCPsshouldbeincludedinaggregateexposuresreportedonbothsub‐schedules1eandsub‐schedule5ofScheduleL.Onsub‐schedule1e,CCPexposureshouldbereportedincollateralizednettingsetsifthecollateralislegallyenforceable.Otherwise,theexposureshouldbereportedinuncollateralizednettingsets.IfaCCPfallsintoanytop10counterpartylistonsub‐schedule4ofScheduleL,itshouldbereported.AllCCPsshouldbereportedonsub‐schedules5and6,regardlessofwhetheraCVAistakenagainsttheCCP.InthecaseaCCPitselfisthebi‐lateralcounterpartytoaderivativeorSFT,thentheCCPmustbeincludedintheconsiderationofwhichbi‐lateralcounterpartiesarethe“top25”asrankedbytherankingmethodologiesoutlinedinL.5andL.6.Regular/UnstressedandCCAR/StressedSubmissionsRegularsubmissionsofthisschedule(i.e.withoutstressedinformation)mustbesubmittedforallfourquarters,includingtheCCARas‐ofquarter,followingtheregularFRY‐14Qsubmissiondeadlines.AsnotedatthebeginningoftheFRY‐14Qinstructions,thedeadlinefortheregular/unstressedsubmissionoftheCCARas‐ofquarteristhesameasFRY‐14QScheduleF(Trading),whichis52calendardaysafterthenotificationdate(notifyingrespondentsoftheas‐of‐date)orMarch15,whichevercomesearlier.Theas‐ofdateforthisregular/unstressedsubmissionfortheCCARquarteristheas‐ofdatefortheglobalmarketshock.Inaddition,asubmissionfortheCCARas‐ofquartermustbesubmittedwithstressedinformationbyApril5th.UnstressedinformationmustbeprovidedwiththeCCAR/stressedsubmissionunlessitwasalreadyprovidedwiththeCCARas‐ofquarterregular/unstressedsubmission.Sub‐schedulesL.1.athroughL.1.e—TopCounterparties&AggregateTopcounterpartiesrankedperinstructionsonsub‐schedulesL.1.a,L.1.b,L.1.c,andL.1.d.Aggregatedataareprovidedonsub‐scheduleL.1.e.Thecolumninstructionslistedfurtherbelowapplytoeachsub‐scheduleinthissection.Sub‐scheduleInstructionsL.1.a–Topcounterpartiescomprising95%offirmCVA,rankedbyCVA

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Reportinformationforthetopcounterpartiesthatcomprise95%oftotalfirmCVA,rankedbyCVA.L.1.b–Top20counterpartiesrankedbyapplicableStressedCVAThissub‐scheduleiscomprisedoftwotablesofTop20Counterparties:1. Top20CounterpartiesrankedbyFederalReserveSeverelyAdverseScenario(FRSpecification)StressedCVA2. Top20CounterpartiesrankedbyBHCorIHCScenario(BHCorIHCSpecification)StressedCVAReportinformationforthesetwotablesincolumnsasdescribedbelow.IfaTop20counterpartyalreadyisreportedonsub‐schedule1a,donotduplicateinformationforthatcounterpartyonthisTop20counterpartiessub‐schedule.ReportonlyanyadditionalcounterpartiesneededtoarriveattheTop20byeachspecificsortingcriteria.Reportcounterpartiesintherowcorrespondingtothecorrectrankforthatcounterpartybasedonthesortingcriteria.L.1.c–Top20counterpartiesrankedbyapplicableNetCEThissub‐scheduleiscomprisedofthreetablesofTop20Counterparties:1. Top20CounterpartiesrankedbyNetCE2. Top20CounterpartiesrankedbyFederalReserveSeverelyAdverseScenarioStressedNetCE3. Top20CounterpartiesrankedbyBHCorIHCScenarioStressedNetCE.Reportinformationforthesethreetablesincolumnsasdescribedbelow.IfaTop20counterpartyalreadyisreportedonsub‐schedule1aor1b,donotduplicateinformationforthatcounterpartyonthisTop20counterpartiessub‐schedule.ReportonlyanyadditionalcounterpartiesneededtoarriveattheTop20byeachspecificsortingcriteria.Reportcounterpartiesintherowcorrespondingtothecorrectrankforthatcounterpartybasedonthesortingcriteria.L.1.d–Top20collateralizedcounterpartiesrankedbyapplicableGrossCEThissub‐scheduleiscomprisedofthreetablesofTop20Counterparties:1. Top20CollateralizedCounterpartiesrankedbyGrossCE2. Top20CollateralizedCounterpartiesrankedbyFederalReserveSeverelyAdverseScenarioStressedGrossCE3. Top20CollateralizedCounterpartiesrankedbyBHCorIHCScenarioStressedGrossCEReportinformationforthesethreetablesincolumnsasdescribedbelow.IncludecounterpartieswithatleastonenettingsetwithaCSAagreementinplace.IfaTop20counterpartyalreadyisreportedonsub‐schedule1a,1bor1c,,donotduplicateinformationforthatcounterpartyonthisTop20counterpartiessub‐schedule.ReportonlyanyadditionalcounterpartiesneededtoarriveattheTop20byeachspecificsortingcriteria.Pleasebesuretoreportcounterpartiesintherowcorrespondingtothecorrectrankforthatcounterpartybasedonthesortingcriteria.ItemInstructions(L.1.a–L.1.d)SubscheduleID(CACVM926)Thesubscheduleonwhichtheconsolidatedcounterpartyisbeingreported,i.e.L.1.a‐L.1.d.Rank(CACVM899)Therankoftheconsolidated/parentcounterpartyasorderedbyCVA.

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Counterpartyname(CACVM900)Reportcounterpartynameshouldbearecognizablenameratherthanacode.CounterpartyID(CACVM901)Reporttheuniqueidentifier(forexample,alphanumeric)assignedtothecounterparty.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedulesinthisschedule.LegalEntityIdentifier(LEI)(CACV9224)Ifavailable,reporttheofficialLEIofthereportedentity.NettingsetID(optional)(CACVM902)Thisfieldisoptional.NettingsetsshouldmaptoISDAmasternettingagreements.Sub‐nettingsetID(optional)(CACVM903)Thisfieldisoptional.UsedifCVAiscalculatedbelowthenettingsetlevel.IndustryCode(CACVR620)Reportthefourtosixdigitnumericcodethatdescribestheprimarybusinessactivityoftheparent/consolidatedentityaccordingtotheNorthAmericanIndustryClassificationSystem(NAICS).Sixdigitcoderequiredforallfinancialcounterparties. Country(CACVM905)Reportthecountryofdomicileofthecounterparty.BHCsandIHCsmayalsoreportcountryofrisk,butthefirmmustthenprovidedetailsinthemethodologydocumentation,includingthelistofcounterpartiesforwhomthisalternateapproachisselected.CountriesshouldbeidentifiedusingthestandardISOtwo‐lettercodesavailableathttps://www.iso.org/.Forsupranationalentitiesreport“XX.”Internalrating(CACVM906)ReporttheBHC'sorIHC’sinternalratingofthecounterparty.Iftherearemultipleratingsassociatedwiththedifferentnettingsetsofthecounterparty,themeanormedianinternalratingshouldbeused.Elaborateinthedocumentationtheapproachtoselectingtheinternalratingforthesetypesofcounterparties.Asareminder,eveniftherearemultipleinternalratingsforacounterparty,thereisalwaysonlyoneCDSforthatcounterparty.AlldatashouldbereportedatthelevelatwhichCVAiscalculated;thuseverycounterpartymusthaveonlyoneCDSspreadassociatedwithit.Seeabovefordefinitionofacounterparty.Externalrating(CACVM907)Reporttheexternalratingequivalenttothecounterparty'sinternalrating,nottheexternalratingassociatedwiththespecificcounterparty.ProvideanexternalratingfromaNationallyRecognizedStatisticalRatingOrganization(NRSRO).GrossCE(CACVM908) ReportGrossCE,whichisdefinedaspre‐collateralexposureafterbilateralcounterpartynetting.Sometimesreferredtoasthereplacementcostorcurrentcreditexposure,GrossCEisthefairvalueofaderivativecontractwhenthatfairvalueispositive.GrossCEiszerowhenthefairvalueisnegativeorzero.Forpurposesofthisschedule,GrossCEtoanindividualcounterpartyshouldbederivedasfollows:DeterminewhetheralegallyenforceablebilateralnettingagreementisinplacebetweentheBHCorIHCandthecounterparty.Ifsuchanagreementisinplace,thefairvaluesofallapplicablederivativecontractswiththatcounterpartythatareincludedinthescopeofthenettingagreementarenettedtoasingleamount,whichmaybepositive,negative,orzero.ReportGrossCEwhenthefairvalueispositive,reportit

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asazerowhenthefairvalueisnegativeorzero.StressedGrossCE(SeverelyAdverse‐CACVM909;Adverse‐CACVM910;BHCorIHC‐CACVM911)ReportthefullrevaluationofGrossCEunderapplicablestressedconditions.NetCE(CACVM912)ReportthesumofpositiveGrossCEnettingagreementsforagivencounterpartylessthevalueofcollateralpostedbythecounterpartytosecurethosetrades.NetCEshouldbereportedaftercounterpartynettingandaftercollateral.NetCEshouldreflectanyexcesscollateralpostedbytheBHCorIHCtothecounterparty.StressedNetCE(SeverelyAdverse‐CACVM913;Adverse‐CACVM914;BHCorIHC‐CACVM915)ReportthefullrevaluationofNetCEunderapplicablestressedconditions.Holdcollateralconstant;assumenoadditionalcollectionofcollateral,butdoapplystressedconditionstocollateral.CVA(CACVM916) ReportthebalanceofallCVA,grossofhedges,forasset‐side,unilateralCVA.ReportCVAasapositivevalue.CVAisanadjustmentmadetothemarketorfairvalueofderivativesreceivablestotakeintoaccountthecreditriskofacounterparty.Thisisdifferentfrom"NetCVA",whichwouldbeequivalenttoCVAlessdebtvaluationadjustment(DVA).Provideanexplanationforcounterpartieswherethisdoesnothold(e.g.,adjustments).ByrequiringunilateralCVA,thedefaultriskofthecounterpartyshouldnotbeconditionedonthesurvivalofthereportinginstitution.NotethatCVAhedgesshouldbereportedonTradingScheduleA,Sub‐schedule5.StressedCVA(SeverelyAdverse‐CACVM917;Adverse‐CACVM918) Thefullrevaluationofasset‐sideCVAunderstressedconditions.StressedCVAshouldincorporatethefullrevaluationofexposure,probabilityofdefault(PD),andlossgivendefault(LGD)understressedconditions.StressedCVAneedstobecalculatedfortheFRspecificationundertheFRscenariosandtheBHCorIHCspecificationundertheBHCorIHCscenario.CSAinplace?(CACVM922) Reporttheindicationofwhetheratleastoneofthenettingsetscomprisingthiscounterpartyhasalegallyenforceablecollateralagreement,forexample,CreditSupportAnnex(CSA),inplace."Y"foryes,"N"forno.%GrossCEwithCSAs(CACVM923)ReportthepercentageofGrossCEthatisassociatedwithnettingsetsthathavealegallyenforceablecollateralagreementinplace.Forexample,iftherearetwonettingsets,onecollateralizedandonenot,withequalGrossCEsinbothnettingsets,reportavalueof50%.Downgradetriggermodeled?(CACVM924)Perexistingguidance,reportthisfieldNA.Singlenamecredithedges(CACVM925) Reportthenetnotionalamountofsinglenamecredithedgesonthedefaultofthecounterparty,includingonlysinglenameCDSonthecounterpartyasareferenceentity.Reportnetboughtprotectionasnegativevaluesandnetsoldprotectionaspositivevalues.L.1.e—AggregateDatabyRatingsandCollateralThissub‐scheduleiscomprisedoffourtables,asdescribedbelow:

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1. AggregateCVA:Reportaggregatedatabyinternalratingscategoryincolumnsasdescribedbelow.Theaggregatelineitemsshouldequalthesumofthethreetablesofdatabelow:Additional/OfflineCVAReserves,CollateralizedNettingSetsandUncollateralizedNettingSets.2. Additional/OfflineCVAReserves:ReportaggregatedataforadditionalofflineCVAincolumnsasdescribedbelow.IfthereisaGrossCEoraNetCEfigureassociatedwiththesereserves,thoseshouldbereportedaswell.Ifnot,enter"0".Accompanyingdocumentationshouldelaborateaboutthenatureofthesereserves.3. Collateralizednettingsets:Reportaggregatedataforcollateralizednettingsetsbyinternalratingscategoryincolumnsasdescribedbelow.IncludeonlynettingsetswithaCSAagreementinplace.4. Uncollateralizednettingsets:Reportaggregatedataforuncollateralizednettingsets(nettingsetswithoutaCSAagreementinplace)byinternalratingscategoryincolumnsasdescribedbelow.TheinternalratingscategoriesreportedonL.1.emustbethesameasthosereportedonL.5.3.CCPItemInstructionsInternalrating(CACVM906)ReporttheBHC'sorIHC’sinternalratingofthecounterparty.Iftherearemultipleratingsassociatedwiththedifferentnettingsetsofthecounterparty,themeanormedianinternalratingshouldbeused.Elaborateinthedocumentationtheapproachtoselectingtheinternalratingforthesetypesofcounterparties.Asareminder,eveniftherearemultipleinternalratingsforacounterparty,thereisalwaysonlyoneCDSforthatcounterparty.AlldatashouldbereportedatthelevelatwhichCVAiscalculated;thuseverycounterpartymusthaveonlyoneCDSspreadassociatedwithit.Seeabovefordefinitionofacounterparty.Externalrating(CACVM907)Reporttheexternalratingequivalenttothecounterparty'sinternalrating,nottheexternalratingassociatedwiththespecificcounterparty.ProvideanexternalratingfromaNationallyRecognizedStatisticalRatingOrganization(NRSRO).GrossCEexcludingCCPs(CACVM919) ReportGrossCE,whichisdefinedaspre‐collateralexposureafterbilateralcounterpartynetting.Sometimesreferredtoasthereplacementcostorcurrentcreditexposure,GrossCEisthefairvalueofaderivativecontractwhenthatfairvalueispositive.GrossCEiszerowhenthefairvalueisnegativeorzero.Forpurposesofthisschedule,GrossCEtoanindividualcounterpartyshouldbederivedasfollows:DeterminewhetheralegallyenforceablebilateralnettingagreementisinplacebetweentheBHCorIHCandthecounterparty.Ifsuchanagreementisinplace,thefairvaluesofallapplicablederivativecontractswiththatcounterpartythatareincludedinthescopeofthenettingagreementarenettedtoasingleamount,whichmaybepositive,negative,orzero.ReportGrossCEwhenthefairvalueispositive,reportitasazerowhenthefairvalueisnegativeorzero.GrossCEtoCCPs(CACVM920) ReporttheGrossCEthatisaresultoftransactionsconductedthroughCCPs.StressedGrossCEexcludingCCPs(SeverelyAdverse‐CACLR485;Adverse‐CACLR490)ReportthefullrevaluationofGrossCEexcludingCCPsunderapplicablestressedconditions.StressedGrossCEtoCCPs(SeverelyAdverse‐CACLR489;Adverse‐CACLR516) ReportthefullrevaluationofGrossCEtoCCPsunderapplicablestressedconditions.NetCEexcludingCCPs(CACLR517)

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ReportthesumofpositiveGrossCEnettingagreementsforagivencounterpartylessthevalueofcollateralpostedbythecounterpartytosecurethosetrades.NetCEshouldbereportedaftercounterpartynettingandaftercollateral.NetCEshouldreflectanyexcesscollateralpostedbytheBHCorIHCtothecounterparty.StressedGrossCEBHCorIHCscenario(CACLM911)ReportthefullrevaluationofGrossCEunderapplicablestressedconditions.NetCEtoCCPs(CACLR518)ReporttheNetCEthatisaresultoftransactionsconductedthroughCCPs.StressedNetCEexcludingCCPs(SeverelyAdverse‐CACLR519;Adverse‐CACLR521)ReportthefullrevaluationofNetCEexcludingCCPsunderapplicablestressedconditions.Holdcollateralconstant;assumenoadditionalcollectionofcollateral,butdoapplystressedconditionstocollateral.StressedNetCEtoCCPs(SeverelyAdverse‐CACLR520;Adverse‐CACLR522) ReportthefullrevaluationofNetCEtoCCPsunderapplicablestressedconditions.StressedNetCEBHCorIHCscenario(CACLM915)ReportthefullrevaluationofNetCEunderapplicablestressedconditions.CVA(CACLM916) ReportthebalanceofallCVA,grossofhedges,forasset‐side,unilateralCVA.ReportCVAasapositivevalue.CVAisanadjustmentmadetothemarketorfairvalueofderivativesreceivablestotakeintoaccountthecreditriskofacounterparty.Thisisdifferentfrom"NetCVA",whichwouldbeequivalenttoCVAlessdebtvaluationadjustment(DVA).Provideanexplanationforcounterpartieswherethisdoesnothold(e.g.,adjustments).ByrequiringunilateralCVA,thedefaultriskofthecounterpartyshouldnotbeconditionedonthesurvivalofthereportinginstitution.NotethatCVAhedgesshouldbereportedonTradingScheduleA,Sub‐schedule5.StressedCVA(SeverelyAdverse‐CACLM917;Adverse‐CACLM918) Thefullrevaluationofasset‐sideCVAunderstressedconditions.StressedCVAshouldincorporatethefullrevaluationofexposure,probabilityofdefault(PD),andlossgivendefault(LGD)understressedconditions.StressedCVAneedstobecalculatedfortheFRspecificationundertheFRscenariosandtheBHCorIHCspecificationundertheBHCorIHCscenario.Singlenamecredithedges(CACVM925) Reportthenetnotionalamountofsinglenamecredithedgesonthedefaultofthecounterparty,includingonlysinglenameCDSonthecounterpartyasareferenceentity.Reportnetboughtprotectionasnegativevaluesandnetsoldprotectionaspositivevalues.AggregateCVAandStressedCVA ThedifferencebetweenAggregateStressedCVAandAggregateCVAshouldequaltheCVAlossesreportedonScheduleA,Summary,Sub‐schedule5‐CounterpartyCreditRisk,Item2,CounterpartyCreditMTMLosses(CVAlosses).Additional/offlineCVAreservesReportAdditionalorofflineCVAreserves,includingRisksNotinCVA,WrongWayRisk,OfflineReserves,or

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anyotherapplicable,non‐standardadd‐ons.IfthereisaGrossCEoraNetCEfigureassociatedwiththesereserves,thoseshouldbereportedaswell.Ifnot,enter"0".Accompanyingdocumentationshouldprovideadetailedbreakdownandelaborateaboutthenatureofthesereserves.Collateralizedcounterparty Acollateralizedcounterpartyisacounterpartywithatleastonenettingsetwithalegallyenforceablecollateralagreementinplace.Collateralizednettingset NettingsetswithaCSAagreementinplaceandforwhichonlyfinancialcollateralapplies.L.2—EEprofilebycounterparty:Topcounterpartiescomprising95%offirmCVA,rankedbyCVAColumnInstructionsCounterpartyname(CACBM900)Reportcounterpartynameshouldbearecognizablenameratherthanacode.CounterpartyID(CACBM901)Reporttheuniqueidentifier(forexample,alphanumeric)assignedtothecounterparty.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedulesinthisschedule.LegalEntityIdentifier(LEI)(CACB9224)Ifavailable,reporttheofficialLEIofthereportedentity.NettingsetID(optional)(CACBM902)Thisfieldisoptional.NettingsetsshouldmaptoISDAmasternettingagreements.Sub‐nettingsetID(optional)(CACBM903)Thisfieldisoptional.UsedifCVAiscalculatedbelowthenettingsetlevel.IndustryCode(CACBR620)Reportthefourtosixdigitnumericcodethatdescribestheprimarybusinessactivityoftheparent/consolidatedentityaccordingtotheNorthAmericanIndustryClassificationSystem(NAICS).Sixdigitcoderequiredforallfinancialcounterparties. Country(CACBM905)Reportthecountryofdomicileofthecounterparty.BHCsandIHCsmayalsoreportcountryofrisk,butthefirmmustthenprovidedetailsinthemethodologydocumentation,includingthelistofcounterpartiesforwhomthisalternateapproachisselected.CountriesshouldbeidentifiedusingthestandardISOtwo‐lettercodesavailableathttps://www.iso.org/.Forsupranationalentitiesreport“XX.”Internalrating(CACBM906)ReporttheBHC'sorIHC’sinternalratingofthecounterparty.Iftherearemultipleratingsassociatedwiththedifferentnettingsetsofthecounterparty,themeanormedianinternalratingshouldbeused.Elaborateinthedocumentationtheapproachtoselectingtheinternalratingforthesetypesofcounterparties.Asareminder,eveniftherearemultipleinternalratingsforacounterparty,thereisalwaysonlyoneCDSforthatcounterparty.AlldatashouldbereportedatthelevelatwhichCVAiscalculated;thuseverycounterpartymusthaveonlyoneCDSspreadassociatedwithit.Seeabovefordefinitionofacounterparty.

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Externalrating(CACBM907)Reporttheexternalratingequivalenttothecounterparty'sinternalrating,nottheexternalratingassociatedwiththespecificcounterparty.ProvideanexternalratingfromaNationallyRecognizedStatisticalRatingOrganization(NRSRO).Tenorbucketinyears(CACBM928)Thetimeprovidedshouldbeasgranularaspossible.Useyearsastheunit.Forexample,ifthetimeis6months,theBHCandIHCshouldreport“0.5”not“6”.Tenorbucketsaredefinedasthetimebetweentimetandtimet‐1.Thereforeifthevalueprovidedisoneyear,andtheprevioustimeprovidedis6months,thetenorbucketoverwhichmarginal(forward)probabilitiesofdefaultiscalculatedwouldbefrom6monthstooneyear.TypicallyEEwillbecalculatedattimet(theendpointofthetenorbucket).Ifnot,clarifyifthevalueprovidedcorrespondstoamidpointduringthetenorbucket,anaverage,orsomeothervalue.ThelevelofgranularityoffuturerevaluationtimebucketsshouldbeatthelevelusedtocalculateCVAattheBHCorIHC,andthedataprovidedshouldbeasgranularasavailable.EE‐BHCorIHCspecification(CACBP799)The(unstressed)EEmetricusedtocalculateCVAforeachtenorbucket.Alongeachsimulationpath,theexposureattimetusedtoestimateEE(t)shouldbenon‐negative;ifanyexposuresalongasimulationpathcalculatedattimetarenegative,theseshouldbesetto0beforecalculatingtheexpectedvalue.TheEEreferencepointreferstotheend‐pointofthetimebucketbetweentimetandt‐1.Atimebucketisconsideredthetimebetweentimetandtimet‐1.Indicateinseparatemethodologynotesifanotherapproachisused(e.g.,averageovertimebucket,mid‐point,etc.).EE(unstressed)calculatedusingtheBHC’sorIHC’sownspecification.MarginalPD(CACBQ451)ValueprovidedshouldbetheinterpolatedunilateralmarginalPDforeachtimebucketbetweentimetandt‐1.FormostBHCsandIHCs,marginalPDwillreflectdefaultprobabilityovertenorbucketandbeequivalenttothedifferencebetweenthecumulativePDatthebeginningandtheendofthetenorbucket.Ifnot,provideadditionalexplanation.PDsshouldnotbeconditionedonthesurvivaloftheBHCorIHC.LGD(CVA)(CACBQ667)LossGivenDefault(1‐RecoveryRate)usedtocalculateCVA.Discountfactor(CACBR486)ReportdiscountfactorusedtocalculateunstressedCVA.Thediscountfactorshouldberoughlyequaltoe‐ztor(1+z)‐t,wherezisthevalueofthezerocurveattimetfortheLIBORorsomeotherriskfreerate.StressedEE‐FRscenario&FRspecification(SeverelyAdverse‐CACBR487;Adverse‐CACBR488)StressedEEcalculatedundertheFederalReserve(FR)shockscenariousingtheFRspecification.CalculatetheEEundertheFRspecificationwitha10daymarginperiodofrisk(MPOR)forallcounterpartiesforwhichcollateraliscollected,andexcludethecollectionofadditionalcollateralduetodowngradeofacounterparty(i.e.,downgradetriggers).SStressedEE‐BHCorIHCscenario&BHCorIHCspecification(CACBR491)StressedEEcalculatedundertheBHCorIHCshockscenariousingtheBHC'sandIHC’sownspecification.

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StressedmarginalPD(SeverelyAdverse‐CACBR492;Adverse‐CACBR493;BHCorIHC‐CACBR494)The(unilateral)marginalPDassociatedwiththecounterparty'sstressedspread.PDsshouldnotbeconditionedonthesurvivaloftheBHCorIHC.StressedLGD(CVA)(SeverelyAdverse‐CACBR495;Adverse‐CACBR496;BHCorIHC‐CACBR497)LGDusedtocalculateCVAintheapplicablestressedscenario.StressedLGD(PD)(SeverelyAdverse‐CACBR498;Adverse‐CACBR499;BHCorIHC‐CACBR500)LGDusedtocalculatePDintheapplicablestressedscenario.StressedDiscountFactor(CVA)(SeverelyAdverse‐CACBR523;Adverse‐CACBR524;BHCorIHC‐CACBR525)ReportthediscountfactorusedtocalculateCVAintheapplicablestressedscenario.

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L.3—CreditQualitybyCounterparty,Topcounterpartiescomprising95%offirmCVA,rankedbyCVAColumnInstructionsCounterpartyname(CACQM900)Reportcounterpartynameshouldbearecognizablenameratherthanacode.CounterpartyID(CACQM901)Reporttheuniqueidentifier(forexample,alphanumeric)assignedtothecounterparty.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedulesinthisschedule.LegalEntityIdentifier(LEI)(CACQ9224)Ifavailable,reporttheofficialLEIofthereportedentity.NettingsetID(optional)(CACQM902)Thisfieldisoptional.NettingsetsshouldmaptoISDAmasternettingagreements.Sub‐nettingsetID(optional)(CACQM903)Thisfieldisoptional.UsedifCVAiscalculatedbelowthenettingsetlevel.IndustryCode(CACQR620)Reportthefourtosixdigitnumericcodethatdescribestheprimarybusinessactivityoftheparent/consolidatedentityaccordingtotheNorthAmericanIndustryClassificationSystem(NAICS).Sixdigitcoderequiredforallfinancialcounterparties. Country(CACQM905)Reportthecountryofdomicileofthecounterparty.BHCsandIHCsmayalsoreportcountryofrisk,butthefirmmustthenprovidedetailsinthemethodologydocumentation,includingthelistofcounterpartiesforwhomthisalternateapproachisselected.CountriesshouldbeidentifiedusingthestandardISOtwo‐lettercodesavailableathttps://www.iso.org/.Forsupranationalentitiesreport“XX.”Internalrating(CACQM906)ReporttheBHC'sorIHC’sinternalratingofthecounterparty.Iftherearemultipleratingsassociatedwiththedifferentnettingsetsofthecounterparty,themeanormedianinternalratingshouldbeused.Elaborateinthedocumentationtheapproachtoselectingtheinternalratingforthesetypesofcounterparties.Asareminder,eveniftherearemultipleinternalratingsforacounterparty,thereisalwaysonlyoneCDSforthatcounterparty.AlldatashouldbereportedatthelevelatwhichCVAiscalculated;thuseverycounterpartymusthaveonlyoneCDSspreadassociatedwithit.Seeabovefordefinitionofacounterparty.Externalrating(CACQM907)Reporttheexternalratingequivalenttothecounterparty'sinternalrating,nottheexternalratingassociatedwiththespecificcounterparty.ProvideanexternalratingfromaNationallyRecognizedStatisticalRatingOrganization(NRSRO).Timeperiod(CACQR501) ThedateforwhichtheCDS(orotherinput)applies.ForaoneyearCDSspread,enter"1".Forgridpricing,donotentertheinterpolatedCDSspreads.Enteronlythedatesforwhichmarketdatawasavailable.Marketspread(bps)(CACQR502)

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Enterthemarketvalue.Ifthisvaluecomesfromaproxygrid,enterthevaluefromthegrid.Thewholegridisnotnecessary.Forexample,ifthegridiscomputedbasedon1,3,5,and10yearsspreads,enteronly1,3,5,and10yeardata.Allspreaddatashouldbereportedastheall‐in‐costspread,withanyupfrontcostsincorporatedintothecurrentall‐inspread.Spreadadjustment(bps)(CACQR503) Providetheamountandoperator(e.g.,"*"and"+")ofadjustments(inbps),ifany,appliedtothemarketspread.Thisfieldshouldbeblankifnoadd‐onisused.Spread(bps)usedinCVAcalculation(CACQR504)EnterthevalueusedintheCVAcalculation.Thismaybeleftblankifthemarketspreadofthesinglenameorproxyisusedwithoutanyadjustment.Stressedspreads(SeverelyAdverse‐CACQR505;Adverse‐CACQR506;BHCorIHC‐CACQR507) ThestressedvaluesofCDSspreadsusedinthestressedCVAcalculation.Mappingapproach(CACQR508) Indicatethetypeofproxymappingapproachused.ReporteitherSinglenameownorProxyinthisfield.Singlenameownindicatesthatthesinglenamereferenceentityisthesameasthecounterpartyname.Proxyindicatesthatthecounterparty'sownspreadwasnotused;rather,aproxyspreadwasused.Proxymappingapproach(CACQR509) Ifsinglenamemappingapproachisnotused,indicatethetypeofproxymappingapproachused.Reportoneofthefollowing:Singlename‐relatedparty,Industry(indicateindustrybasedonlistprovidedabove),Ratingsclass(indicatetherating;e.g.,AAA,AA),Industry‐rating,Industry‐geography,Industry‐rating‐geography,Rating‐geography,orOther.ThisfieldmaybeleftblankwhenmappingapproachisSinglenameown.Proxyname(CACQR510) Identifythespecificproxyused.Marketinputtype(CACQR511)Indicatethetypeofmarketinputused,byreportingoneofthefollowinginthisfield:CDSspreads,Bondspreads,KMV‐EDFs,orOther.Ticker/identifier(CACQR512) Whereapplicable,enterthetickernumberused(e.g.,CDXIGAA,singlenameticker).Reportdate(CACQR513) Enterthedateofthemarketdata.Source(CACQR514) Enterthesourceofthemarketdata(e.g.,Bloomberg,Markit).Comments(CACQR515) Enteranyrelevantcomments.

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L.4—AggregateandTop10CVASensitivitiesbyRiskFactorThisschedulecollectssensitivityinformationofaggregateasset‐sideCVAbasedonchangesinunderlyingriskfactors.Asensitivityreferstoa1unitchangeintheriskfactor,andaslidereferstoalargerchangeintheriskfactor.ReportanincreaseinCVAasapositivefigure.ReportedfiguresshouldbegrossofCVAhedges.Sensitivitesarecollectedinaggregate,i.e.acrossallpositionsforwhichCVAistaken,andforthe10counterpartieswiththelargestsensitivitiestoagivenriskfactor(i.e.top10byfactor).Pleasereportattheconsolidatedgroup/parentlevel,reportingonly10entriesperriskfactor.AggregateCVAsensitivitiesandslides TheBHCorIHCmayprovidetheirownvaluesforslides(e.g.,+20bpsinsteadof+10bps).However,ifaBHCorIHCchoosestoreportslidesotherthanthoselisted,atleastoneslidemustbeconsistentwiththesizeoftheshocktothatriskfactorundertheFRscenario.Allslidesshouldbereportedonlyiftheyarebasedonafullrevaluationoftheportfoliogiventhechangeintheriskfactor;slidesshouldnotbereportediftheyaresimplelinearscalingoftheassociatedsensitivity.Ataminimumthereshouldbeslidesthatrepresentasignificantpositiveandnegativemoveforthatriskfactor.Forcredit,whenabasispointmoveisrequested,thisreferstoanabsolutemoveintheriskfactor,andwhenapercentagemoveisrequested,thisreferstotherelativemoveintheriskfactor.Sensitivitiesfortop10counterpartiesForeachriskfactor,reportthechangeinCVAforeachofthetop10counterpartiesmostsensitivetoa1bpor1%increase,dependingonriskfactor.ReportanincreaseinCVAasapositivefigure.ReportedsensitivitiesshouldbegrossofCVAhedges.Othermaterialsensitivities Materialsensitivitiesareotherlargeand/orimportantriskfactorsfortheBHCorIHC.AddtherelevantriskfactorsfortheBHCorIHC.Thisinformationisreportedacrossallcounterpartiesforeachmaterialsensitivity;unlikeprescribedriskfactors,thereiscurrentlynorequirementtoreporttop10counterpartiesforeach“othermaterialsensitivity”.Thelabelmustclearlyidentifytheriskfactor.Ifanadditionalriskfactorisprovidedthatisnotlistedinthetemplate,provideadescriptionofthissensitivityinthetabNotestotheCCRSchedule.Forexample,forequityindices,includeareferencetothecountryorregiontowhichindexcorresponds.ItemInstructionsRiskfactorcategory(CACUR526)Reporttheriskfactorcategoryassociatedwiththereportedsensitivity.Theriskfactorsconsistofspecifiedfactors(seereportform)andothermaterialsensitivitiesthataredeterminedbytherespondent.Riskfactordescription(CACUW899)Reportabriefdescriptionoftheriskfactor.Counterpartyname(CACQM900)Reportcounterpartynameshouldbearecognizablenameratherthanacode.CounterpartyID(CACQM901)Reporttheuniqueidentifier(forexample,alphanumeric)assignedtothecounterparty.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedulesinthisschedule.

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Riskfactorslide(CACUR527)Reportthemovementoftheriskfactorassociatedwiththereportedsensitivity.Risksensitivity(CACUR528)Reportaggregateasset‐sideCVA,grossofCVAhedges,basedontheassociatedchangeinunderlyingriskfactor.

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L.5—SecuritiesFinancingTransactions(SFT)ProfilebyCounterpartyandAggregateThisscheduleexcludesintradaytransactionsandprimebrokeragemarginlending.Includesituationsinwhichthefirmisactingasaprincipaloronbehalfofaclient(agent)forwhichlenderindemnificationhasbeenprovidedagainsttheborrower’sdefault.Thecounterpartytobereportedistheconsolidatedorganizationthatisalegalprincipalinthetransaction(i.e.nottheagent).Mark‐to‐marketamountsmustbereportedreflectingtheiractualmark‐to‐marketamount,i.e.positivemark‐to‐marketvaluesshouldbereportedaspositive,regardlessofwhethertheyhavebeenpostedtothecounterpartyorreceivedfromthecounterparty.Forpositionswithnolegalagreement,amountscanbeaggregatedandreportedasasinglerecordandmustreflectactualmark‐to‐marketamounts.TheaggregatedrecordmusthavetheitemLegalEnforceabilityreportedas“N”.InitialmarginanddefaultfundcontributionsforCCPsarenotcollectedonthisscheduleandshouldnotbeincludedinanyoftheitemsonthisschedule,includingNetCE.RankingMethodology:Reportthemethodologyusedtorankthetop25counterparties(seebelow).Forthenon‐CCARquarters,theoptionsare1,2,and3.FortheCCARquarter,theoptionsareAdverse,SeverelyAdverse,and1.L.5.1—AggregateSFTinformationbycounterpartylegalentityandmasternettingagreementLineItemInstructionsReporttheinformationrequiredbyeachcolumnforallCCPs,G‐7sovereigncountries,andthetop25consolidatedcounterpartiesthatarenotCCPsorG‐7sovereigncountries.InthecaseaCCPitselfisthebi‐lateralcounterpartytoaSFT,thentheCCPmustbeincludedintheconsiderationofwhichbi‐lateralcounterpartiesarethe“top25”asrankedbytherankingmethodologies.Informationinthisscheduleisreportedatthelevelofnettingagreements.Forthesubmissionofdataforallquarterlysubmissions(i.e.“regularquarterlysubmissions”),thetop25non‐CCPandnon‐G‐7consolidatedcounterpartiesmustbereportedasrankedbyatmosttwoofthemethodologieslistedbelowinseparatetables.Rankingmethodology(1)mustbereported.Ifonlyoneofthemethodologies(2)or(3)isapplicable,thenthatmustbereportedalongwiththefirstmethodology.Ifbothmethodologies(2)and(3)areapplicable,thenoneofthosetwomethodologiesmustbereportedalongwiththefirstmethodology.Forthosecounterpartiesincludedwiththetop25bymethodology(1),onlytherankandidentifyinginformation(names,IDs,etc.)mustbereported.RankingMethodologies:(1)Rankbyexposureamount(netofcollateral)asdefinedinthecapitalframeworkcurrentlyapplicabletotherespondent.(2)Iftherespondentutilizesaninternallycomputedexposureriskmetric(e.g.potentialfutureexposure),thenrankbytheinternallycomputedexposureriskmetric.(3)Iftherespondentutilizesinternallydevelopedstressscenariosorscenario‐basedexposureriskmetric(e.g.stressedpotentialfutureexposure),thenrankbythescenariothatyieldsthelargestaggregatestressedexposure,orcorrespondinglybythestressedexposureriskmetric.Supportingdocumentationmustbesubmittedthatdetailsthecomputationoftheexposureamountasdefinedinthecurrentlyapplicablecapitalframeworkand,ifapplicable,theinternalexposure/riskmetricandtheappliedstressscenario.Forthesubmissionofdatafromtheas‐ofquarterforCCAR(i.e.the“CCARsubmission”),inadditiontotheregularquarterlysubmission,thetop25non‐CCPandnon‐G‐7counterpartiesshouldbereportedasrankedbyStressedNetCEoftheparent/consolidatedcounterpartyunderthesupervisoryseverelyadversescenario,thesupervisoryadversescenario,andmethodology(1)above.Eachrankingmethodologymust

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bereportedinseparatetableswiththeappropriateindicatorintheRankingMethodologyitem.Forthosecounterpartiesthatappearinmorethanonesubmission,onlytherank,identifyinginformation(names,IDs,etc.),andanyinformationnotreportedinanyothersubmissionmustbereported.Additionally,ifanycounterpartiesreportedinL.5.1.aorL.5.1.bhavebeenreportedintheregularquarterlysubmissionfortheas‐of‐quarter,unstressedinformationisnotrequiredtobereportedintheCCARsubmissionforthosecounterparties.NettingAgreementReporting:Informationmustbereportedforeachnettingagreementheldwithalegalentityofaconsolidatedcounterpartyorganization,evenifthenetcurrentexposureforagivennettingagreementiszero.Forexample,ifacounterpartyhastwosubsidiaries,andtwonettingagreementshavebeenexecutedwiththefirstsubsidiaryandoneagreementwiththesecondsubsidiary,thenthreelinesofinformationwouldbereportedforthatcounterparty.Iftherearepositionswithacounterpartywherenobilateralclose‐outnettingagreementexists,thosemustbereportedseparately,andidentifiedassuchwithNettingLevelofNone.Includesituationsinwhichthefirmisactingasaprincipaloronbehalfofaclientforwhichlenderindemnificationhasbeenprovidedagainsttheborrower’sdefault.ConsolidatedandLegalEntityCounterpartyReporting:TheconsolidatedcounterpartynameandIDmustbeconsistentwithsub‐schedules1,2,and3,ifapplicable.Otheridentifyinginformation–industry,country,internalrating,externalrating–mustbereportedatthelegal‐entitylevel,i.e.foreachreportedlegalentity.

Column Instructions SubscheduleID(CACVM926)Thesubscheduleonwhichtheconsolidatedcounterpartyisbeingreported,i.e.L.5.1orL.5.1.a.Rank(CACNM899)Therankoftheconsolidated/parentcounterpartyasorderedaccordingtotheinstructionsabove.ForCCPlegalentities,specifyrankas“CCP”;forG‐7sovereigns,specifyrankas“G7”.CounterpartyName( CACNM900)ThenameoftheconsolidatedorganizationthatiseitheraCCP,G‐7sovereigncountry,oroneofthetop25counterparties.Parent/ConsolidatedEntityCounterpartyID(CACNM901)Auniqueidentifier(forexample,alphanumeric)assignedtothecounterpartyreportedintheCounterpartyNamecolumn,whichmustbetheparent/consolidatedentity.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedules.CounterpartyLegalEntity(CACN9017)Thenameofthelegalentitywithwhomthenettingagreementwasexecuted.Thiscouldbeasubsidiaryoraffiliateoftheconsolidatedorganizationortheconsolidatedorganizationitself.LegalEntityID(CACNR621)Auniqueidentifier(forexample,alphanumeric)assignedtothelegalentityreportedintheCounterpartyLegalEntitycolumn,whichmustcorrespondtotheparent/consolidatedentity.ThisIDmustbeuniqueandconsistentacrosssub‐schedules.NettingAgreementID(CACNM902)Auniqueidentifier(forexample,alphanumeric)assignedtothenettingagreementbeingreported.IfanettingagreementIDisnotreported,thisfieldmustbepopulatedwith“NA.”

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IndustryCode(CACNR620)ReportthefourtosixdigitnumericcodethatdescribestheprimarybusinessactivityofthelegalentityaccordingtotheNorthAmericanIndustryClassificationSystem(NAICS).Sixdigitcoderequiredforallfinancialcounterparties. Country(CACNM905)Reportthecountryofdomicileofthecounterparty.BHCsandIHCsmayalsoreportcountryofrisk,butthefirmmustthenprovidedetailsinthemethodologydocumentation,includingthelistofcounterpartiesforwhomthisalternateapproachisselected.CountriesshouldbeidentifiedusingthestandardISOtwo‐lettercodesavailableathttps://www.iso.org/.Forsupranationalentitiesreport“XX.”Internalrating(CACNM906)ReporttheBHC'sorIHC’sinternalratingofthecounterparty.Iftherearemultipleratingsassociatedwiththedifferentnettingsetsofthecounterparty,themeanormedianinternalratingshouldbeused.Elaborateinthedocumentationtheapproachtoselectingtheinternalratingforthesetypesofcounterparties.Asareminder,eveniftherearemultipleinternalratingsforacounterparty,thereisalwaysonlyoneCDSforthatcounterparty.AlldatashouldbereportedatthelevelatwhichCVAiscalculated;thuseverycounterpartymusthaveonlyoneCDSspreadassociatedwithit.Seeabovefordefinitionofacounterparty.Externalrating(CACNM907)Reporttheexternalratingequivalenttothecounterparty'sinternalrating,nottheexternalratingassociatedwiththespecificcounterparty.ProvideanexternalratingfromaNationallyRecognizedStatisticalRatingOrganization(NRSRO).AgreementType(CACNR529)AllowableentriesareRepo,SecLending,andCross‐product(combined).“Repo”coversbothreposandreverserepos,while“SecLending”coversbothsecuritieslendingandsecuritiesborrowingagreements.“Cross‐product(combined)”agreementscovernettingagreementswherethereiscross‐productnetting(e.g.reverserepoandsecuritiesborrowing),ifalegalopiniononlegalenforceabilityonclose‐outhasbeenobtained.AgreementRole(CACNR530)Identifieswhethertherespondentisdefinedinthenettingagreementasaprincipaltothetransactionsorasanagentonbehalfofaclient.Allowableentriesare:Principal,Agent.AgreementDetail(CACNR531)Indicatesthespecifictypeofagreement.Ifitisastandardagreement,reportthenameandversionyearoftheagreement(forexample,foraMasterSecuritiesLendingAgreement(MSLA)from2005,reportMSLA2005).Ifnoclose‐outnettingagreementexists,reportitassuch.NettingLevel(CACNR532)Indicatesthelevelofnettingwithintheagreement,i.e.nettingset,tobeeitheratthecounterpartylegalentitylevelorattheclientlevel(thelatteronlywhentherespondentisactingasanAgentonbehalfofaclientorsetofclients).PossibleoptionsareLegalEntityasPrincipal,LegalEntityasAgent,andClient.LegalEntityasAgentcorrespondstoagentcounterpartylegalentitieswherethecounterpartyisactingasanAgentonbehalfof(a)principalowner(s).Forclient‐levelnettingagreementswithanagentcounterpartylegalentity,thisshouldbespecifiedasLegalEntityasAgent.Ifnoclose‐outnettingagreementexistsbetweentherespondentandthecounterpartylegalentity,reportthisasNone.TheAgentroleapplieswhentherespondent'scounterpartyisanagentwhichisactingonbehalfofprincipalsecurityowners.TheClientroleapplieswhentheBHCorIHCitselfisthesecuritieslending/borrowingagent(e.g.aprocessingfirm)actingonbehalfofprincipalsecurityownerswhoaretherespondent'sclients.

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NettingSetDetail(CACNR533)Indicatesthelevelofliquidityofthesecurities/collateralwithinthenettingagreement.PossibleoptionsareLiquidandLessLiquid.Ifanettingagreementcontainsbothliquidandilliquidpositions,LessLiquidshouldbereportedforthatagreement.LegalEnforceability(CACNR534)Peryourfirm’sassessment,indicatewhetherthenettingagreementislegallyenforceableinthejurisdictionofthecounterpartylegalentity.Suchasituationmightariseifthecounterpartylegalentityisasovereign,andclose‐outnettingisnotenforceableinthatjurisdiction.PossibleoptionsareYesandNo(reportedas“Y”or“N”).Notethatforsituationsforwhichthereisnoclose‐outnettingagreementbetweentheparties(i.e.nonetting),thisfieldshouldbemarkedas“N”.WrongWayRiskPosition(CACNR535)Indicatesifanyoftheindividualtransactionsconductedundertheagreementwiththegivencounterpartylegalentityisconsideredawrong‐wayriskposition.PossibleoptionsareSpecific,General,andNone.TheBHCandIHCshoulduseitsinternalBAUriskmanagementprocesstodeterminewhetherangiventransactionwiththespecificcounterpartylegalentityisawrong‐wayriskposition,andifsowhetheritconstitutes“specific”WWRornot.IfanettingagreementcontainsbothspecificWWRandnon‐specificWRRpositions,reportasSpecific.NetCE(CACNM912)Thecurrentcreditexposuretothecounterpartylegalentityforthenettingagreementunderclose‐out.Forasinglenettingset(e.g.whenNettingLevelisnotClient),thisiscalculatedasthegreaterofzeroandthedifferencebetweentheaggregatemark‐to‐marketvalueofsecuritiesorcashpostedtothecounterpartylegalentityandtheaggregatemark‐to‐marketvalueofsecuritiesorcashreceivedfromthatcounterpartylegalentity.TotalStressedNetCE(SeverelyAdverse‐CACNR536;Adverse‐CACNR537)ThefullrevaluationofNetCEforbothSFTandderivativeexposurestothelegalentityundertheFRstressedmarketenvironment–onevalueforeachsupervisoryglobalmarketshockscenario.Thisamountshouldonlybereportedonceperlegalentity.Theglobalmarketshockshouldbeappliedtoallassets,includingcollateral,priortoapplicationofthemaxfunction.Forasinglenettingagreement,thisiscalculatedasthegreaterofzeroandthedifferencebetweentheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashpostedtothecounterpartylegalentityandtheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashreceivedfromthatcounterpartylegalentity.Thisitemisintendedtocaptureallexposures(bothSFTsandderivatives)toaconsolidatedcounterpartyandreportedatthelegal‐entitylevel.Iftherearealsoderivativesexposurestoaconsolidatedcounterpartyreportedonthissub‐schedule,thederivativeamountsmustalsobereportedforeachlegalentitytowhichtherearederivativesexposuresandincludedintheTotalNetStressedCEitem,eventhoughthederivativeexposuresarenotincludedinanySFTagreementwiththatlegalentity.IftherearebothderivativeandSFTexposurestoagivenlegalentity,onlytheagreementdetailsassociatedwiththeSFTexposuresshouldbereported.Notethatanyexposuretype(SFTsorderivatives)totheconsolidatedcounterpartymustbereported.Soifthereareonlyderivativeexposurestoalegalentity,thatlegalentitymustbereportedandtheassociatedstressedderivativeNetCEamountwouldbereportedintheTotalNetStressedCEitemand0wouldbereportedintheNetStressedCEitem;theagreementdetailswouldbeleftblank.StressedNetCE(SeverelyAdverse‐CACNR538;Adverse‐CACNR539)ThefullrevaluationofNetCEforSFTexposuresonlyundertheFRstressedmarketenvironment–onevalueforeachsupervisoryglobalmarketshockscenario.Theglobalmarketshockshouldbeappliedtoall

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assets,includingcollateral,priortoapplicationofthemaxfunction.Forasinglenettingagreement,thisiscalculatedasthegreaterofzeroandthedifferencebetweentheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashpostedtothecounterpartylegalentityandtheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashreceivedfromthatcounterpartylegalentity.Mark‐to‐MarketPosted(CACNR544)Thegrosscumulativemark‐to‐market(MtM)valueofthecashandassetspostedtothelegalentityunderthenettingagreement.Ifthenettingagreementcomprisesseveralnettingsets,reportthesumoftheMtMpostedvaluesforthosenettingsetsthatareinthemoney(haveanetpositiveMtMamount).Mark‐to‐MarketReceived(CACNR545)Thegrosscumulativemark‐to‐market(MtM)valueofthecashandassetsreceivedfromthelegalentityunderthenettingagreement.Ifthenettingagreementcomprisesseveralnettingsets,reportthesumoftheMtMreceivedvaluesforthosenettingsetsthatareinthemoney(haveanetpositiveMtMamount).Theseamountsmustbereportedreflectingtheiractualmark‐to‐marketamount,i.e.,positivemark‐to‐marketvaluesshouldbereportedaspositive.StressedMark‐to‐MarketPosted(SeverelyAdverse‐CACNR540;Adverse‐CACNR541)ThegrosscumulativeMtMvaluesusingfullrevaluationundereachsupervisoryglobalmarketshockscenarioofthecashandassetsreportedintheMark‐to‐MarketPostedcolumn.Ifthenettingagreementcomprisesseveralnettingsets,reportthesumoftheStressedMtMpostedvaluesforthosenettingsetsthatareinthemoney(haveanetpositiveMtMamount).StressedMark‐to‐MarketReceived(SeverelyAdverse‐CACNR542;Adverse‐CACNR543)ThegrosscumulativeMtMvaluesusingfullrevaluationundereachsupervisoryglobalmarketshockscenarioofthecashandassetsreportedintheMark‐to‐MarketReceivedcolumn.Ifthenettingagreementcomprisesseveralnettingsets,reportthesumoftheStressedMtMreceivedvaluesforthosenettingsetsthatareinthemoney(haveanetpositiveMtMamount).Theseamountsmustbereportedreflectingtheiractualmark‐to‐marketamount,i.e.,positivemark‐to‐marketvaluesshouldbereportedaspositive.CounterpartyCreditEntityType( CACNR546)Thetypeofinstitutionforwhichthefive‐yearCDSspreadisbeingreported.ThepossibleoptionsareCPLegalEntity,CPParent,andProxy.UseProxyifandonlyifthereisnointernalmarkfortheCPlegalentityoritsparentandprovidetheBHC’sorIHC’sinternalproxyCDSspreadunderCounterpartyCreditSpreadandacommerciallyavailableCDSidentifierunderCounterpartyLegalEntityIdentifier(seebelow).Inallothercases,ifthereisaninternalmarkfortheCPLegalEntity,choose“CPLegalEntity”,otherwisechoose“CPParent”.CounterpartyCreditSpread( CACNR547)Thefive‐yearCDSspreadforwhichthereferenceentityiseithertheCPlegalentity,theCPParent(consolidatedorganization),ortheProxy.CounterpartyStressedCreditSpread(SeverelyAdverse‐CACNR548;Adverse‐CACNR549)Thereportedfive‐yearCDSspreadasstressedaccordingtothesupervisoryglobalmarketshockscenario.CounterpartyLegalEntityIdentifier( CACN9224)Theofficialgloballyrecognizedlegalentityidentifier(LEI)oftheCPlegalentity.IfanLEIisunavailable,reportaCDSidentifierthatiscommerciallyavailableassociatedwiththereportedCDSspread(suchasaMarkitREDcodeorBloombergCDSticker).IncaseacommerciallyavailableCDSidentifierisused,specifytheidentifierasastringintheform“<Source>|<CDSidentifier>”. L.5.2—SFTassetspostedandreceivedbycounterpartylegalentityandmasternettingagreement

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Line Item Instructions ReporttheinformationrequiredbyeachcolumnforeachconsolidatedcounterpartyreportedinL.5.1,includingtheCCPsandG‐7sovereigncountries,andforallassociatedlegalentitiesandagreements.InthecaseaCCPitselfisthebi‐lateralcounterpartytoaSFT,thentheCCPmustbeincludedintheconsiderationofwhichbi‐lateralcounterpartiesarethe"top25"asrankedbytherankingmethodologies.Informationinthisscheduleisreportedatathelevelofnettingagreements.Thetop25non‐CCPandnon‐G‐7counterpartiesshouldbereportedforeachrankingmethodologyusedtoreportcounterpartiesinsub‐scheduleL.5.1.Forthosecounterpartiesthatappearinmorethanonetable,onlytherank,identifyinginformation(names,IDs,etc.),andanyinformationnotreportedinanyothersubmissionmustbereported.NettingAgreementReporting:Informationmustbereportedforeachnettingagreementheldwithalegalentityofaconsolidatedcounterpartyorganization,evenifthenetcurrentexposureforagivennettingagreementiszero.Forexample,ifacounterpartyhastwosubsidiaries,andtwonettingagreementshavebeenexecutedwiththefirstsubsidiaryandoneagreementwiththesecondsubsidiary,thenthreelinesofinformationwouldbereportedforthatcounterparty.ThesemustcorrespondtothenettingagreementsandassociatednettingagreementIDsreportedinL.5.1.

Item Instructions SubscheduleID(CACVM926)Thesubscheduleonwhichtheconsolidatedcounterpartyisbeingreported,i.e.L.5.2orL.5.2.a.Rank(CACNM899)Therankoftheconsolidated/parentcounterpartyasorderedaccordingtotheinstructionsabove.ForCCPs,specifyrankas“CCP”;forG‐7sovereigns,specifyrankas“G7”.CounterpartyName(CACNM900)ThenameoftheconsolidatedorganizationthatiseitheraCCP,G‐7sovereigncountry,oroneofthetop25counterparties.Parent/ConsolidatedEntityCounterpartyID(CACNM901)Auniqueidentifier(forexample,alphanumeric)assignedtothecounterpartyreportedintheCounterpartyNamecolumn.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedulesinthisschedule.CounterpartyLegalEntity(CACN9017)Thenameofthelegalentitywithwhomthenettingagreementwasexecuted.Thiscouldbeasubsidiaryoraffiliateoftheconsolidatedorganizationortheconsolidatedorganizationitself.LegalEntityID(CACNR621)Auniqueidentifier(forexample,alphanumeric)assignedtothelegalentityreportedintheCounterpartyLegalEntitycolumn,whichmustcorrespondtotheparent/consolidatedentity.ThisIDmustbeuniqueandconsistentacrosssub‐schedules.NettingAgreementID(CACNM902)Auniqueidentifier(forexample,alphanumeric)assignedtothenettingagreementbeingreported. AssetCategories

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Posted:theaggregatemark‐to‐marketvalueoftheassetcategory/sub‐categorypostedtoaparent/consolidatedcounterpartyaspartofasecuritieslending/borrowingorrepurchase/reverserepurchaseagreement.Includesituationsinwhichthefirmisactingasaprincipaloronbehalfofaclientforwhichlenderindemnificationhasbeenprovidedagainsttheborrower’sdefault.Ifthenettingagreementcomprisesseveralnettingsets,reportthesumofthepostedvaluesforthosenettingsetsthatare“inthemoney”,i.e.haveanetpositiveMtMamountforthosenettingsetsforwhichthenet(stressed)exposure(i.e.exposurenetofcollateral)ispositiveunderthatscenario.Received:theaggregatemark‐to‐marketvalueoftheassetcategory/sub‐categoryreceivedfromaparent/consolidatedcounterpartyaspartofasecuritieslending/borrowingorrepurchase/reverserepurchaseagreement.Includesituationsinwhichthefirmisactingasaprincipaloronbehalfofaclientforwhichlenderindemnificationhasbeenprovidedagainsttheborrower’sdefault.Ifthenettingagreementcomprisesseveralnettingsets,reportthesumofthereceivedvaluesforthosenettingsetsthatare“inthemoney”,i.e.haveanetpositiveMtMamountforthosenettingsetsforwhichthenet(stressed)exposure(i.e.exposurenetofcollateral)ispositiveunderthatscenario.Theseamountsmustbereportedreflectingtheiractualmark‐to‐marketamount,i.e.positivemark‐to‐marketvaluesshouldbereportedaspositive.CentralDebtThiscategoryincludesdebtobligationsissuedbyasovereignentityoragovernment‐sponsoredenterprise(G.S.E.).Thiscategorydoesnotincludeinflation‐indexedsecurities.Theamountsmustbeseparatedbythesovereignentitysub‐categories:UnitedStates,Germany,UnitedKingdom&France,OtherEurozone,Japan,andOther.

Sub‐category UnstressedPosted

UnstressedReceived

StressedPosted

StressedReceived

UnitedStates CACNFC53 CACNFC83 CACNFD13 CACNFD43Germany CACNFC54 CACNFC84 CACNFD14 CACNFD44UnitedKingdom&France CACNFC55 CACNFC85 CACNFD15 CACNFD45OtherEurozone CACNFC56 CACNFC86 CACNFD16 CACNFD46Japan CACNFC57 CACNFC87 CACNFD17 CACNFD47Other CACNFC58 CACNFC88 CACNFD18 CACNFD48

EquityThiscategoryincludespubliclytradedandprivatelyissuedequitysecurities.Theamountsmustbeseparatedbythecountryinwhichtheissuingentityisdomiciled,whicharegroupedintothefollowingsub‐categories:UnitedStates,Canada,UnitedKingdom,Eurozone,andOther.


UnstressedReceived

StressedPosted

StressedReceived

UnitedStates CACNFC59 CACNFC89 CACNFD19 CACNFD49Canada CACNFC60 CACNFC90 CACNFD20 CACNFD50UnitedKingdom CACNFC61 CACNFC91 CACNFD21 CACNFD51Eurozone CACNFC62 CACNFC92 CACNFD22 CACNFD52Other CACNFC63 CACNFC93 CACNFD23 CACNFD53

CorporateBonds–AdvancedEconomiesThiscategoryincludesalldebtobligationsissuedbyanypublicorprivateentitythatisnotbackedbythefullfaithandcreditofasinglesovereigncountry;specificallyitincludessupranationals.Thiscategorydoesnotincludecommercialpaper.TheissuingentitymustbedomiciledinasovereignthatisdefinedasanadvancedeconomyintheinstructionsforscheduleF.Theamountsmustbeseparatedintotwosub‐

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categories:InvestmentGrade(IG)andSub‐InvestmentGrade(Sub‐IG)asbasedontheratingofthespecificissuances.


UnstressedReceived

StressedPosted

StressedReceived

InvestmentGrade CACNFC64 CACNFC94 CACNFD24 CACNFD54Sub‐InvestmentGrade CACNFC65 CACNFC95 CACNFD25 CACNFD55

CorporateBonds–OtherEconomiesThiscategoryincludesalldebtobligationsissuedbyanypublicorprivateentitythatisnotbackedbythefullfaithandcreditofasinglesovereigncountry;specifically,itincludessupranationals.Thiscategorydoesnotincludecommercialpaper.TheissuingentitymustbedomiciledinasovereignthatisnotanadvancedeconomyasdefinedintheinstructionsforscheduleF.Theamountsmustbeseparatedintotwosub‐categories:IGandSub‐IGasbasedontheratingofthespecificissuances.


UnstressedReceived

StressedPosted

StressedReceived

InvestmentGrade CACNFC66 CACNFC96 CACNFD26 CACNFD56Sub‐InvestmentGrade CACNFC67 CACNFC97 CACNFD27 CACNFD57

Exchange‐TradedFundsThiscategoryincludesequitysharesofexchange‐tradedinvestmentfunds(ETFs).Theamountsmustbeseparatedintotwosub‐categoriesthatdefinethemajorityoftheassetsheldbyagivenETF:EquityandFixedIncome.


UnstressedReceived

StressedPosted

StressedReceived

Equity CACNFC68 CACNFC98 CACNFD28 CACNFD58FixedIncome CACNFC69 CACNFC99 CACNFD29 CACNFD59

U.S.AgencyMBS/CMBSThiscategoryincludesmortgage‐backedsecurities(MBS)andcommercialmortgage‐backedsecurities(CMBS)issuedbyU.S.governmentagenciesandU.S.government‐sponsoredenterprises(GSEs),asdefinedintheFRY‐9C.Theamountsmustbeseparatedintotwosub‐categories:Pass‐throughsandOther.


UnstressedReceived

StressedPosted

StressedReceived

Pass‐throughs CACNFC70 CACNFD00 CACNFD30 CACNFD60Other CACNFC71 CACNFD01 CACNFD31 CACNFD61

Non‐AgencyRMBS/ABS/CMBSThiscategoryincludesresidentialmortgage‐backedsecurities(RMBS),asset‐backedsecurities(ABS),andCMBSissuedbyanentityotherthanU.S.governmentagenciesorU.S.GSEs.Theamountsmustbeseparatedintotwosub‐categories:IGandSub‐IGasbasedontheratingofthespecificissuances.


UnstressedReceived

StressedPosted

StressedReceived

InvestmentGrade CACNFC72 CACNFD02 CACNFD32 CACNFD62Sub‐InvestmentGrade CACNFC73 CACNFD03 CACNFD33 CACNFD63

CashThiscategoryincludescashinanycurrencyandmustbeseparatedbycurrencyintothefollowingsub‐categories:USD,EUR,GBP,JPY,andOther.

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Sub‐category Unstressed

PostedUnstressedReceived

StressedPosted

StressedReceived

USD CACNFC74 CACNFD04 CACNFD34 CACNFD64EUR CACNFC75 CACNFD05 CACNFD35 CACNFD65GBP CACNFC76 CACNFD06 CACNFD36 CACNFD66JPY CACNFC77 CACNFD07 CACNFD37 CACNFD67Other CACNFC78 CACNFD08 CACNFD38 CACNFD68

OtherThiscategoryincludesallassettypesthatarenotreportedintheotherdefinedassetcategories.Theamountsmustbeseparatedbythefollowingsub‐categories:Inflation‐IndexedSecurities,CommercialPaper,MunicipalBonds,andOther.FortheamountreportedinOther,supportingdocumentationmustbesubmittedthatprovidesdetailsoftheassettypeswithinthesub‐category.


UnstressedReceived

StressedPosted

StressedReceived

Inflation‐IndexedSecurities CACNFC79 CACNFD09 CACNFD39 CACNFD69CommercialPaper CACNFC80 CACNFD10 CACNFD40 CACNFD70MunicipalBonds CACNFC81 CACNFD11 CACNFD41 CACNFD71Other CACNFC82 CACNFD12 CACNFD42 CACNFD72

L.5.3—AggregateSFTsbyInternalRating

Line Item Instructions Informationmustbereportedforallcounterpartiesasgroupedbyinternalrating,onelineofinformationforeachinternalrating.Postedandreceivedamountsbyassetcategoryshouldbereportedasactualmark‐to‐marketamounts.Internalrating(CACNM906)ReporttheBHC'sorIHC’sinternalratingassociatedwiththegroupofcounterpartiesincludedinthereportedamounts.Counterpartiesmustbegroupedandreportedforeachinternalrating.Externalrating(CACNM907)Reporttheexternalratingequivalenttothecounterparty'sinternalrating.ProvideanexternalratingfromaNationallyRecognizedStatisticalRatingOrganization(NRSRO).NetCE(CACNM912)ReporttheaggregateNetCEofthecounterpartiesassociatedwiththereportedratingbucket.StressedNetCE(SeverelyAdverse‐CACNFD73;Adverse‐CACNFD74;BHCorIHC‐CACNFD75)ReportthefullrevaluationofNetCEunderapplicablestressedconditions.Holdcollateralconstant;assumenoadditionalcollectionofcollateral,butdoapplystressedconditionstocollateral.ColumnInstructions(AssetCategories)IndemnifiedSecuritiesLent(NotionalBalance)(CACNFD76)Thiscategoryincludessecuritieslentforwhichtherespondenthasprovidedborrowerdefaultindemnificationtothelender.IndemnifiedCashCollateralReinvestment(NotionalBalance)(CACNFD77)

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Thiscategoryincludescashthathasbeendeliveredascollateralforwhichtherespondenthasprovideddefaultindemnificationtothelender.USTreasury&Agency(RepoPosted‐CACNFD78;RepoReceived‐CACNFD79;Sec.LendingPosted‐CACNFD94;Sec.LendingReceived‐CACNFD95)ThiscategoryincludesallU.S.Treasurysecurities,obligationsissuedbyU.S.governmentagencies,andobligationsissuedbyU.S.government‐sponsoredenterprises(GSEs)(asdefinedintheFRY‐9C.AgencyMBS(RepoPosted‐CACNFD80;RepoReceived‐CACNFD81;Sec.LendingPosted‐CACNFD96;Sec.LendingReceived‐CACNFD97)Thiscategoryincludesmortgage‐backedsecuritiesissuedbyaU.S.governmentagencyasdefinedabove.Equities(RepoPosted‐CACNFD82;RepoReceived‐CACNFD83;Sec.LendingPosted‐CACNFD98;Sec.LendingReceived‐CACNFD99)Thiscategoryincludespubliclytradedandprivatelyissuedequitysecurities.CorporateBonds(RepoPosted‐CACNFD84;RepoReceived‐CACNFD85;Sec.LendingPosted‐CACNFE00;Sec.LendingReceived‐CACNFE01)Thiscategoryincludesalldebtobligationsissuedbyanypublicorprivateentitythatisnotbackedbythefullfaithandcreditofasinglesovereigncountry;specifically,itincludessupranationals.Non‐Agency(ABS,RMBS)(RepoPosted‐CACNFD86;RepoReceived‐CACNFD87;Sec.LendingPosted‐CACNFE02;Sec.LendingReceived‐CACNFE03)Thiscategoryincludesasset‐backedsecuritiesandresidentialmortgage‐backedsecuritiesnotissuedbyaU.S.governmentagencyasdefinedabove.Sovereigns(RepoPosted‐CACNFD88;RepoReceived‐CACNFD89;Sec.LendingPosted‐CACNFE04;Sec.LendingReceived‐CACNFE05)ThiscategoryincludesdebtissuedbyanysovereignstateororganizationbackedbythefullfaithandcreditofasovereignstateotherthandebtissuedbytheU.S.TreasuryoranyU.S.Agency.Other(RepoPosted‐CACNFD90;RepoReceived‐CACNFD91;Sec.LendingPosted‐CACNFE06;Sec.LendingReceived‐CACNFE07)Thiscategoryincludesanyassetnotdefinedinanyoftheaboveassetcategories(USTreasury,AgencyMBS,Equities,CorporateBonds,Non‐Agency(ABS,RMBS),andSovereigns)andexcludescash.Cash(RepoPosted‐CACNFD92;RepoReceived‐CACNFD93;Sec.LendingPosted‐CACNFE08;Sec.LendingReceived‐CACNFE09)ThiscategoryincludescurrencytobereportedinU.S.dollaramount.

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L.6—DerivativeProfilebyCounterpartyandAggregateStressedinformationisonlyrequiredtobereportedfortheCCARas‐ofquarterwiththeCCARsubmission,definedbelow.Bothpositiveandnegativemark‐to‐marketnettingsetlevelinformationmustbereported.Exposureamountsreportedonthisscheduleforeachconsolidatedcounterpartyshouldbecalculatedusingthesamenettingmethodologyasusedinsub‐schedulesL.1a‐L.1d.Forexample,theaggregateofthepositivemark‐to‐marketnettingsetinformationreportedonL.6.1foraconsolidatedcounterpartyshouldequaltheGrossCEforthatsamecounterpartyonL.1.Whiletherearecross‐nettingandotherexceptionsthatpreventexactequivalence,theamountsshouldgenerallybethesame.Forpositionswithnoagreement,amountscanbeaggregatedandreportedasasinglerecord,butmustonlyincludepositions/collateralthatareconsideredvalidinaclose‐outsituationuponcounterpartydefault.TheinternalratingscategoriesreportedonthisschedulemustbethesameasthosereportedonL.1e.ForallfieldsonL.6,eachreportedmark‐to‐marketamountmustreflectthepositiveornegativecontributiontoexposureuponcounterpartydefaultandclose‐outnetting.Forexample,ifmarginorcollateralispostedtoacounterparty,thiswouldbereportedasapositiveamountandifcollateralisreceivedfromacounterparty,thiswouldbereportedanegativeamount.Inthecaseofnettingcollateralpostedagainstcollateralreceived,netpostedpositionswouldbereportedasapositiveamountandnetreceivedpositionswouldbereportedasanegativeamount.Similarly,ifapositionhaspositivemark‐to‐marketvaluefromtheperspectiveoftherespondent,themark‐to‐marketvaluewouldbereportedaspositiveandreflectedaspositivewhenperformingnettingcomputationsagainstnegativemark‐to‐marketpositions.Additionally,purchasedsingle‐nameCDShedgenotionalamountsmustbereflectedasnegative,andsoldsingle‐nameCDSexposuremustbereflectedaspositive.L.6.1—Aggregatederivativeinformationbycounterpartylegalentityandnettingset

LineitemInstructionsReporttheinformationrequiredbyeachcolumnforallCCPs,G‐7sovereigncountries,andthetop25consolidatedcounterpartiesthatarenotCCPsorG‐7sovereigncountries.InthecaseaCCPitselfisthebi‐lateralcounterpartytoaderivativeagreement,thentheCCPmustbeincludedintheconsiderationofwhichbi‐lateralcounterpartiesarethe"top25"asrankedbytherankingmethodologies.Informationinthisscheduleisreportedatathelevelofnettingsets.Forthesubmissionofdataforallquarterlysubmissions(i.e.“regularquarterlysubmissions”),thetop25non‐CCPandnon‐G‐7counterpartiesmustbereportedasrankedbyatmosttwoofthemethodologieslistedbelowinseparatetables.Rankingmethodology(1)mustbereported.Ifonlyoneofmethodologies(2)or(3)isapplicable,thentheapplicablemethodologymustbereportedalongwithmethodology(1).Ifbothmethodologies(2)and(3)areapplicable,thenoneofthosetwomethodologiesmustbereportedalongwithmethodology.Forthosecounterpartiesincludedwiththetop25bymethodology(1),onlytherankandidentifyinginformation(names,IDs,etc.)mustbereported.RankingMethodologies:(1)Rankbyexposureamount(netofcollateral)asdefinedinthecapitalframeworkcurrentlyapplicabletotherespondent.(2)Iftherespondentutilizesaninternallycomputedexposureriskmetric(e.g.potentialfutureexposure),thenrankbytheinternallycomputedexposureriskmetric.(3)Iftherespondentutilizesinternallydevelopedstressscenariosorscenario‐basedexposureriskmetric(e.g.stressedpotentialfutureexposure),thenrankbythescenariothatyieldsthelargestaggregatestressedexposure,orcorrespondinglybythestressedexposureriskmetric.Supportingdocumentation

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mustbesubmittedthatdetailsthecomputationoftheexposureamountasdefinedinthecurrentlyapplicablecapitalframeworkand,ifapplicable,theinternalexposure/riskmetricandtheappliedstressscenario.Forthesubmissionofdatafromtheas‐ofquarterforCCAR(i.e.the“CCARsubmission”),inadditiontotheregularquarterlysubmission,thetop25non‐CCPandnon‐G‐7counterpartiesshouldbereportedasrankedbyStressedNetCEoftheparent/consolidatedcounterpartyunderthesupervisoryseverelyadversescenario,thesupervisoryadversescenario,andmethodology(1)above.EachrankingmethodologymustbereportedinaseparatetablewiththeappropriateindicatorintheRankingMethodologyitem..Forthosecounterpartiesthatappearinmorethanonesubmission,onlytherank,identifyinginformation(names,IDs,etc.),andanyinformationnotreportedinanyothersubmissionmustbereported.Additionally,ifanycounterpartiesreportedinL.6.1.aorL.6.1.bhavebeenreportedintheregularquarterlysubmissionfortheas‐of‐quarter,unstressedinformationisnotrequiredtobereportedintheCCARsubmissionforthosecounterparties.NettingSetReporting:Informationmustbereportedforeachnettingsetheldwithalegalentityofaconsolidatedcounterpartyorganization,evenifthenetcurrentexposureforagivennettingsetiszero.Forexample,ifacounterpartyhastwosubsidiaries,andtwonettingsetshavebeenexecutedwiththefirstsubsidiaryandonenettingsetwiththesecondsubsidiary,thenthreelinesofinformationwouldbereportedforthatcounterparty.ForagivenCCP,reportresultsby"collateralgroup,"i.e.nettingsetequivalent–asetoftradesforwhichmarginiscalculated.TheInitialMarginandGuaranteeFundwillbeseparateforeachcollateralgroup.TodeterminetheaggregateMtMexposureinsituationswherecollateralisreceivedbytheBHCorIHC,sumthepositiveMtMvalueoftradesineachofthenettingsetsthatcomprisethecollateralgroup.ConsolidatedandLegalEntityCounterpartyReporting:TheconsolidatedcounterpartynameandIDmustbeconsistentwithsub‐schedules1,2,and3,ifapplicable.Otheridentifyinginformation–industry,country,internalrating,externalrating–mustbereportedatthelegal‐entitylevel,i.e.foreachreportedlegalentity.ItemInstructionsSubscheduleID(CACVM926)Thesubscheduleonwhichtheconsolidatedcounterpartyisbeingreported,i.e.L.6.1orL.6.1.a.Rank(CACSM899)Therankoftheconsolidated/parentcounterpartyasorderedaccordingtotheinstructionsabove.ForCCPs,specifyrankas“CCP”;forG‐7sovereigns,specifyrankas“G7”.CounterpartyName(consolidatedorganization)(CACSM900)ThenameoftheconsolidatedorganizationthatiseitheraCCP,G‐7sovereigncountry,oroneofthetop25counterparties.Parent/ConsolidatedEntityCounterpartyID(CACSR619)Auniqueidentifier(forexample,alphanumeric)assignedtothecounterpartyreportedintheCounterpartyNamecolumn,whichmustbetheparent/consolidatedentity.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedules.CounterpartyLegalEntityName(CACS9017)Thenameofthelegalentitywithwhomthenettingagreementwasexecuted.Thiscouldbeasubsidiaryoraffiliateoftheconsolidatedorganizationortheconsolidatedorganizationitself.

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LegalEntityID(CACSR621)Auniqueidentifier(forexample,alphanumeric)assignedtothelegalentityreportedintheCounterpartyLegalEntitycolumn,whichmustcorrespondtotheparent/consolidatedentity.ThisIDmustbeuniqueandconsistentacrosssub‐schedulesNettingSetID(CACSM902)Auniqueidentifier(forexample,alphanumeric)assignedtothenettingagreementbeingreported.IfanettingsetIDisnotreported,thisfieldmustbepopulatedwith“NA.”IndustryCode(CACSR620),Country(CACSM905),andRating(CACSM906)AsdefinedinScheduleL.1.CSAType(CACSR550)Identifiesthetypeofcreditsupportannex(CSA)definedinthenettingagreement.Possibleoptionsare:NoCSA,1‐wayCSA,2‐waySCSA,2‐wayoldCSA,andCentrallyCleared.“NoCSA”referstopositionswiththecounterpartywherenobilateralclose‐outnettingagreementexists,orclose‐outnettingisnotlegallyenforceableinthejurisdictionofthecounterpartylegalentity.

IndependentAmount(nonCCP)orInitialMargin(CCP)(CACSR551)ThenetamountofmarginpostedbytheCPlegalentityatthetimeofexecutionoftheagreement.IfthenettingagreementiswithaCCPlegalentity,thisamountisthenetinitialmarginpostedtotheCCPlegalentity.Theinitialmarginmaybeintheformofcashand/orsecurities;reporttheaggregateMtMvalueofcashandsecurities.Thisamount,ifpositive,mustbereportedforallCCPsincludingthosewithwhichtherespondenthasnoactivetrades.Non‐CashCollateralType(CACSR552)Identifythetype(s)ofnon‐cashcollateralorinitialmarginallowedundertheagreement.Allpostedcollateral/initialmargintypesshouldbereportedandseparatedbyacomma.Possibleoptionsare:U.S.Debt,Non‐U.S.SovereignDebt,InvestmentGradeCorporateDebt,PublicEquity,PublicConvertibles,andOther.ExcessVariationMargin(forCCPs)(CACSR553)Thetotalamountofexcessvariationmargin(mark‐to‐marketmarginpostedbytheBHCorIHCinexcessoftheCCP’srequirements)postedtotheCCPlegalentityundertheagreement.DefaultFund(forCCPs)(CACSR554)TheamountrequiredundertheagreementtobecontributedtothedefaultfundofaCCPlegalentity.Thisamount,ifpositive,mustbereportedforallCCPsincludingthosewithwhichtherespondenthasnoactivetrades.ThresholdCP(CACSR555)Thethresholdamountforeachpartyistheamountofexposurethatonepartyiswillingtohavetotheotherpartybeforetheotherpartyisrequiredtopostcollateral.ThresholdBHCorIHC(CACSR556)Thethresholdamountforeachpartyistheamountofexposurethatonepartyiswillingtohavetotheotherpartybeforetheotherpartyisrequiredtopostcollateral.MinimumTransferAmountCP(CACSR557)Theminimumamountthatmustbetransferredtothecounterpartyforanymargincall.MinimumTransferAmountBHCorIHC(CACSR558)TheminimumamountthatmustbetransferredtotheBHCorIHCforanymargincall.

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MarginingFrequency(CACSR559)Thefrequency(indays)ofmargincalls,perthenettingagreement.CSAcontractualfeatures(non‐vanilla)(CACSR560)Indicatesifanyofthetransactionsconductedundertheagreementhaveanynon‐vanillacontractualfeatures.Possibleoptionsare:DowngradeTrigger,BreakClause–Mandatory,BreakClause–Optional,andOther.Ifmorethanoneappliesforagivennettingset,listthemall(commaseparated).WrongWayRiskPosition(CACSR561)Indicatesifanyofthetransactionsconductedundertheagreementareconsideredwrong‐wayriskpositions.PossibleoptionsareSpecific,General,andNone.TheBHCandIHCshoulduseitsinternalBAUriskmanagementprocesstodeterminewhetherangiventransactionwiththespecificcounterpartylegalentityisawrong‐wayriskposition,andifsowhetheritconstitutes“specific”WWRornot.TotalNetStressedCE(SeverelyAdverse‐CACSR562;Adverse‐CACSR563)ThefullrevaluationofNetCEforbothderivativeandSFTexposurestothelegalentityundertheFRstressedmarketenvironment–onevalueforeachsupervisoryglobalmarketshockscenario.Thisamountshouldonlybereportedonceperlegalentity.Theglobalmarketshockshouldbeappliedtoallassets,includingcollateral,priortoapplicationofthemaxfunction.Forasinglenettingagreement,thisiscalculatedasthegreaterofzeroandthedifferencebetweentheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashpostedtothecounterpartylegalentityandtheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashreceivedfromthatcounterpartylegalentity.Thisitemisintendedtocaptureallexposures(bothSFTsandderivatives)toaconsolidatedcounterpartyandreportedatthelegal‐entitylevel.IftherearealsoSFTexposurestoaconsolidatedcounterpartyreportedonthissub‐schedule,theSFTamountsmustalsobereportedforeachlegalentitytowhichthereareSFTexposuresandincludedintheTotalNetStressedCEitem,eventhoughtheSFTexposuresarenotincludedinanyderivativeagreementwiththatlegalentity.IftherearebothderivativeandSFTexposurestoagivenlegalentity,onlytheagreementdetailsassociatedwiththederivativeexposuresshouldbereported.Pleasenotethatanyexposuretype(SFTsorderivatives)totheconsolidatedcounterpartymustbereported.SoifthereareonlySFTexposurestoalegalentity,thatlegalentitymustbereportedandtheassociatedstressedSFTNetCEamountwouldbereportedintheTotalNetStressedCEitemand0wouldbereportedintheNetStressedCEitem;theagreementdetailswouldbeleftblank.NetStressedCE(SeverelyAdverse‐CACSR564;Adverse‐CACSR565)ThefullrevaluationofNetCEforderivativeexposuresonlyundertheFRstressedmarketenvironment–onevalueforeachsupervisoryglobalmarketshockscenario.Theglobalmarketshockshouldbeappliedtoallassets,includingcollateral,priortoapplicationofthemaxfunction.Forasinglenettingagreement,thisiscalculatedasthegreaterofzeroandthedifferencebetweentheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashpostedtothecounterpartylegalentityandtheaggregatestressedmark‐to‐marketvalueofsecuritiesorcashreceivedfromthatcounterpartylegalentity.UnstressedExposureMtM(CACSR566)Themark‐to‐marketvalueofexposureundertheagreement,notincludingcollateralbutincludingnettingofpositionswherelegallybinding.Thiscouldbeapositiveornegativevalue.TheaggreagateofthepositiveamountsforagivenconsolidatedcounterpartyshouldbeequivalenttotheGrossCEfortheconsolidatedcounterparty.

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StressedExposureMtM(SeverelyAdverse‐CACSR567;Adverse‐CACSR568)Themark‐to‐marketvalueofexposurebasedonthefullrevaluationofallderivativesundertheagreement,asrevaluedaccordingtothesupervisoryglobalmarketshockscenarios,notincludingcollateralbutincludingnettingofpositionswherelegallybinding.Thiscouldbeapositiveornegativevalue.TotalUnstressedMtMCashCollateral(non‐CCPs)(CACSR569)Themark‐to‐marketvalueofnetcashcollateralpostedbythenon‐CCPlegalentityunderthenettingagreement,includingnettingwherelegallybinding.Thiscouldbeapositiveornegativevalue.Allcollateralreportedshouldbeeligiblefinancialcollateral.Thisamountissub‐dividedbycurrencyinthesubsequentcolumns.ThisitemisnotreportedforCCPs.Cashcollateral(nonCCPs)orVariationMargin(CCPs)MtM–USD(CACSR570),EUR(CACSR571),GBP(CACSR572),JPY(CACSR573),Other(CACSR574)Themark‐to‐marketvalueofnetcashcollateralpostedunderthenettingagreementbyanon‐CCPlegalentityorthevariationmarginpostedtotheCCPlegalentity,intherespectivecurrency.ForCCPlegalentities,ifnon‐cashvariationmarginhasbeenposted/received,reportitsMtMvalueinUSDequivalentundertheOthercategory.Fornon‐CCPlegalentities,thetotalofthesecolumnsshouldbeequaltotheamountreportedinthecolumnTotalMtMUnstressedCashCollateral(non‐CCPs).TotalUnstressedMtMCollateral(non‐CCPs)(CACSR575)Thenetmark‐to‐marketvalueofallcollateralpostedbythenon‐CCPlegalentityunderthenettingagreement.Allcollateralreportedshouldbeeligiblefinancialcollateral.ThisitemisnotreportedforCCPs.StressedCashCollateralMtM(SeverelyAdverse‐CACSR576;Adverse‐CACSR577)Fornon‐CCPlegalentities,themark‐to‐marketvalueofthecashcollateralreportedincolumnTotalUnstressedMtMCashCollateral(non‐CCPs)asrevaluedunderthesupervisoryglobalmarketshockscenarios.ForCCPlegalentities,themark‐to‐marketvalueofthecashinitialmarginandnon‐USDcashvariationmargin,asrevaluedunderthesupervisoryglobalmarketshockscenarios.StressedTotalCollateralMtM(SeverelyAdverse‐CACSR578;Adverse‐CACSR579)Fornon‐CCPslegalentities,themark‐to‐marketvalueofallcollateralreportedinthecolumnTotalUnstressedMtMCollateral,asrevaluedunderthesupervisoryglobalmarketshockscenarios.ForCCPlegalentities,themark‐to‐marketvalueofthetotal(cash+non‐cash)initialmarginand(non‐USDcash+non‐cash)variationmargin,asrevaluedunderthesupervisoryglobalmarketshockscenarios.CDSReferenceEntityType(CACSR580)Theinstitutionforwhichthefive‐yearCDSspreadisreported.ThepossibleoptionsareCPLegalEntity,CPParent,andProxy.UseProxyifandonlyifthereisnointernalmarkfortheCPlegalentityoritsparentandprovidetheBHC’sorIHC’sinternalproxyCDSspreadunderFive‐YearCDSSpreadandacommerciallyavailableCDSidentifierunderCounterpartyLegalEntityIdentifier(seebelow).Inallothercases,ifthereisaninternalmarkfortheCPLegalEntity,choose“CPLegalEntity”,otherwisechoose“CPParent”.Five‐YearCDSSpread(CACSR581)Thequotedfive‐yearCDSspreadofthereferenceentity. CDSRecovery(CACSR582)TherecoveryrateassociatedwiththequotedCDSspread.CounterpartyLegalEntityIdentifier(CACS9224)Theofficialgloballyrecognizedlegalentityidentifier(LEI)oftheCPlegalentity.IfanLEIisunavailable,reportaCDSidentifierthatiscommerciallyavailableassociatedwiththereportedCDSspread(suchasaMarkitREDcodeorBloombergCDSticker).IncaseacommerciallyavailableCDSidentifierisused,specifytheidentifierasastringintheform“<Source>|<CDSidentifier>”.

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WrongWayRiskHedge(CACSR583)IndicatesifanyportionoftheCDShedgesarewrong‐wayriskpositionswithrespecttotheCDScounterpartyandtheCDSreferenceentity.TheBHCandIHCshoulduseitsinternalBAUriskmanagementprocesstodeterminewhethertheCDSprotection(e.g.sovereignCDS)withthespecificcounterpartylegalentity(e.g.bankinthesovereign)isawrong‐wayhedge.Possibleoptionsare“Y”and“N”.CDSHedgeNotional(CACSR584)ThenotionalamountofspecificCDShedgesonthederivativesundertheagreement.ThespecificCDShedgesthatareallowedtobeincludedareboughtplain‐vanillaCDSprotection(single‐nameandindex,wheretheindexincludestheCPlegalentityasoneofthereferenceentities)whichdonothaveanynon‐vanillacontractualfeatures,anddonotconstitutewrong‐waypositions.CDSHedgeCR01(CACSR585)TheCR01oftheCDShedge,forthespecificCDSpositions.StressedFive‐YearCDSSpread(SeverelyAdverse‐CACSR586;Adverse‐CACSR587)Thefive‐yearCDSspreadasstressedunderthesupervisoryglobalmarketshockscenarios.SCDSHedgeStressedCR01(SeverelyAdverse‐CACSR588;Adverse‐CACSR589)CR01oftheCDShedgeunderthesupervisoryglobalmarketshockscenarios,forthespecificCDSpositions,underthesupervisoryglobalmarketshockscenarios.StressedCVA(SeverelyAdverse‐CACSR590;Adverse‐CACSR591)CVAforthederivativeswithintheagreementasevaluatedunderthesupervisoryglobalmarketshockscenarios.L.6.2—Derivativeassetspostedandreceivedbyconsolidated/parentcounterparty.

LineitemInstructionsReporttheinformationrequiredbyeachcolumnforallCCPs,G‐7sovereigncountries,andthetop25counterpartiesthatarenotCCPsorG‐7sovereigncountries.Informationmustbereportedforeachconsolidatedcounterpartyorganizationandassociatedlegalentitiesandnettingsetsreportedinsub‐scheduleL.6.1.InthecaseaCCPitselfisthebi‐lateralcounterpartytoaderivativeagreement,thentheCCPmustbeincludedintheconsiderationofwhichbi‐lateralcounterpartiesarethe"top25"asrankedbytherankingmethodologiesInformationinthisscheduleisreportedatathelevelofnettingagreements.Informationmustbereportedforeachnettingsetheldwithalegalentityofaconsolidatedcounterpartyorganization,evenifthenetcurrentexposureforagivennettingsetiszero,andmustcorrespondtothenettingsetsreportedinL.6.1.Forexample,ifacounterpartyhastwosubsidiaries,andtwonettingsetshavebeenexecutedwiththefirstsubsidiaryandonenettingsetwiththesecondsubsidiary,thenthreelinesofinformationwouldbereportedforthatcounterparty.ForagivenCCP,reportresultsby"collateralgroup".TheInitialMarginandGuaranteeFundwillbeseparateforeachcollateralgroup,whichisanetting‐setequivalentinthatitisasetoftradesforwhichcollateraliscomputed,ofwhichthereonlymaybeonlyonedependingontheCCP.SubscheduleID(CACVM926)Thesubscheduleonwhichtheconsolidatedcounterpartyisbeingreported,i.e.L.6.2orL.6.2.a.

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Rank(CACSM899)Therankoftheconsolidated/parentcounterpartyasorderedaccordingtotheinstructionsabove.ForCCPlegalentities,specifyrankas“CCP”;forG‐7sovereigns,specifyrankas“G7”.CounterpartyName(consolidatedorganization)(CACSM900)ThenameoftheconsolidatedorganizationthatiseitheraCCP,G‐7sovereigncountry,oroneofthetop25counterparties.Parent/ConsolidatedEntityCounterpartyID(CACSR619)Auniqueidentifier(forexample,alphanumeric)assignedtothecounterpartyreportedintheCounterpartyNamecolumn.ThecounterpartyIDmustbeuniqueandconsistentacrosssub‐schedulesinthisschedule.CounterpartyLegalEntityName(CACS9017)Thenameofthelegalentitywithwhomthenettingagreementwasexecuted.Thiscouldbeasubsidiaryoraffiliateoftheconsolidatedorganizationortheconsolidatedorganizationitself.LegalEntityID(CACSR621)Auniqueidentifier(forexample,alphanumeric)assignedtothelegalentityreportedintheCounterpartyLegalEntitycolumn,whichmustcorrespondtotheparent/consolidatedentity.ThisIDmustbeuniqueandconsistentacrosssub‐schedulesNettingSetID(CACSM902)Auniqueidentifier(forexample,alphanumeric)assignedtothenettingsetbeingreported.

DerivativeTypesReporttheunstressedandstressedmark‐to‐marketexposureamountsforthecategoriesofderivativesbelow.Foranyderivativecontractthatcontainsoptionality,“vanilla”meansAmericanorEuropeanstylewithnoadditionalcontractfeatures.Allothersshouldbeclassifiedaseither“structured”or“exotic.”Derivativecontractsthatdonotcontainoptionalityareconsidered“vanilla.”DerivativeType Unstressed StressedVanillaInterestRate CACSR592 CACSR606VanillaFX CACSR593 CACSR607VanillaCommodity(Cash) CACSR594 CACSR608VanillaCredit CACSR595 CACSR609VanillaEquity CACSR596 CACSR610StructuredInterestRate CACSR597 CACSR611FlowExoticandStructuredFX CACSR598 CACSR612OtherCash&PhysicalCommodity CACSR599 CACSR613Other(SingleName)Credit CACSR600 CACSR614Structured(Multi‐Name)Credit CACSR601 CACSR615ExoticEquity CACSR602 CACSR616Hybrids CACSR603 CACSR617StructuredProducts(MBS,ABS) CACSR604 CACSR618Other CACSR605 CACSR655

L.7—NotestotheCCRScheduleUsethissub‐scheduletosubmitvoluntarilyanyadditionalinformation(e.g.,data)thatgivesclarityontheportfolio.Morethanoneadditionaltabmaybeprovided.IftheBHCorIHCelectstoprovideadditionaldata,thisshouldincludeanexplanationoftheadditionaldataandwhyitisprovided.IfthedatalinkstodatainothertabsoftheCCRschedule,thenacleardataidentifiermustbeprovidedsuchthattabsmaybemergedifnecessary(seemergeabilityrequirementsabove).

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ScheduleM—BalancesScheduleM.1–Quarter‐endBalancesForeachlineitemlistedbelow,reportallloansandleasesheldforinvestment(HFI)orheldforsale(HFS).Includethefairvalueofallloansheldforinvestmentandallloansheldforsalethattheholdingcompanyhaselectedtoreportatfairvalueunderafairvalueoption(FVO).IncolumnAreportloansheldforinvestmentatamortizedcost(HFIatAC)indomesticoffices.IncolumnBreportloansheldforsaleormeasuredatfairvalueunderafairvalueoptionindomesticoffices.IncolumnCreportloansheldforinvestmentatamortizedcostininternationaloffices.IncolumnDreportloansheldforsaleormeasuredatfairvalueunderafairvalueoptionininternationaloffices.Reportalldollaramountsinmillions.ThebalancesreportedhereshouldbeconsistentwiththebalancesreportedonScheduleHC‐CoftheFRY‐9Cforcorrespondinglineitems.Forexample,thereportedbalanceofloansheldindomesticofficessecuredbyfirstliensonresidentialrealestate(line1.a.(1).(a),columnA+line1.a.(1).(a),columnB+line1.a.(1).(b),columnA,+line1.a.(1).(b),columnB)shouldequalthebalanceofsuchloansreportedonScheduleHC‐CoftheFRY‐9C(line1.c.(2).(a),columnB).AmorecomprehensivelistofrelationshipsbetweenthisscheduleandtheFRY‐9Cwillbeincludedwiththetechnicalinstructionsprovidedtoallsubmittinginstitutions.Lineitem1.a.(1).(a),FirstmortgagesReportfirstmortgageloansthatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.c.(2).(a).Donotincludefirstlienclosed‐endhomeequityloans.Lineitem1.a.(1).(b),FirstlienHELOANsReportfirstlienclosed‐endhomeequityloans(HELOANs)thatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.c.(2).(a).Donotincludefirstmortgages.Lineitem1.a.(2).(a),JuniorlienHELOANsReportjuniorlienclosed‐endhomeequityloans(HELOANs)thatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.c.(2).(b).Lineitem1.a.(2).(b),HELOCsReporthomeequitylinesofcredit(HELOCs)thatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.c.(1).Lineitem1.b.(1),ConstructionandlanddevelopmentReportconstructionandlanddevelopment(CLD)loansthatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,lines1.a.(1)and1.a.(2).Lineitem1.b.(2),MultifamilyrealestateReportmultifamilyrealestateloansthatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.d.Lineitem1.b.(3).(a),Owner‐occupiednonfarmnonresidentialReportowneroccupiednonfarmnonresidentialloansthatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.e.(1).Lineitem1.b.(3).(b),Non‐owner‐occupiednonfarmnonresidential

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Reportnon‐owner‐occupiedloansthatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.e.(2).Lineitem1.c,SecuredbyfarmlandReportloanssecuredbyfarmlandthatmeettheloancriteriadefinedinFRY‐9C,ScheduleHC‐C,line1.b.Lineitem2.a,GradedC&IloansReportgradedC&IloansincludedinFRY‐9C,ScheduleHC‐C,lines4.aand4.b.Alsoincludenon‐purposeloansreportedinlines4.aand4.bofScheduleHC‐CoftheFRY‐9Cregardlessofwhetherthoseloansaregraded.Donotincludescoredordelinquencymanagedsmallbusinessloans,small/mediumenterprise(SME)cards,orcorporatecards.Lineitem2.b,SmallbusinessloansReportsmallbusinessloansincludedinFRY‐9C,ScheduleHC‐C,lines2.a,2.b,3,4.a,4.b,7,9.a,9.b.(2),and10.b.Smallbusinessloansareloansthatare“scored”or“delinquencymanaged”forwhichacommercialinternalriskratingisnotusedorthatusesadifferentscalethanothercorporateloans.Donotincludegradedloans,SMEcards,corporatecards,non‐purposeloans,orloansforpurchasingandcarryingsecurities.Lineitem2.c,SMEcardsandcorporatecardsReportSMEcardandcorporatecardloansincludedinFRY‐9C,ScheduleHC‐C,lines4.a,4.b,6.a,6.b,6.d,and9.b.(2).SMEcardsarecreditcardaccountswheretheloanisunderwrittenwiththesoleproprietororprimarybusinessownerasanapplicant.Corporatecardsareemployer‐sponsoredcreditcardsforusebyacompany’semployees.Onlyincludecardswherethereisanyindividualliabilityassociatedwiththesub‐linessuchthattheindividualborrowercharacteristicsaretakenintoaccountduringtheunderwritingdecisionand/orperformanceofthecreditisreportedtothecreditbureaus.Donotincludeloansforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlosses(suchloansshouldbereportedasgradedC&Iloansorothercommercialloans).Lineitem3.a,BankcardsReportbankcardloansincludedinFRY‐9C,ScheduleHC‐C,line6.a.DonotincludeSMEcardandcorporatecardloans.Lineitem3.b,ChargecardsReportchargecardloanstoconsumersincludedinFRY‐9C,ScheduleHC‐C,line6.aand9.b.(2).DonotincludeSMEcardandcorporatecardloansorloansforwhichacommercially‐gradedcorporationisultimatelyresponsibleforrepaymentofcreditlosses.Lineitem4.a,AutoloansReportautoloansincludedinFRY‐9C,ScheduleHC‐C,line6.c.Lineitem4.b,StudentloansReportstudentloansincludedinFRY‐9C,ScheduleHC‐C,lines6.band6.d.Lineitem4.c,Non‐purposeconsumerlendingReportnon‐purposeloansincludedinFRY‐9C,ScheduleHC‐C,lines6.band6.d.Non‐purposeloansareloanscollateralizedbysecuritiesmadeforanypurposeotherthanpurchasingorcarryingsecurities.Lineitem4.d,AutoleasesReportautoleasesincludedinFRY‐9C,ScheduleHC‐C,line10.a.

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Lineitem4.e,OtherconsumerloansReportallotherconsumerloansincludedinFRY‐9C,ScheduleHC‐C,lines6.band6.dthatarenotreportedelsewhereonthisschedule.Lineitem4.f,OtherconsumerleasesReportallotherconsumerleasesincludedinFRY‐9C,ScheduleHC‐C,line10.athatarenotreportedelsewhereonthisschedule.Lineitem5.a,LoanstoforeigngovernmentsReportgradedloanstoforeigngovernmentsincludedinFRY‐9C,ScheduleHC‐C,line7.Alsoincludenon‐purposeloansreportedinline7ofScheduleHC‐CoftheFRY‐9Cregardlessofwhetherthoseloansaregraded.Donotincludescoredordelinquencymanagedloansreportedassmallbusinessloansabove.Lineitem5.b,AgriculturalloansReportgradedagriculturalloansincludedinFRY‐9C,ScheduleHC‐C,line3.Alsoincludenon‐purposeloansreportedinline3ofScheduleHC‐CoftheFRY‐9Cregardlessofwhetherthoseloansaregraded.Donotincludescoredordelinquencymanagedloansreportedassmallbusinessloansabove.Lineitem5.c,SecuritieslendingReportallloansforpurchasingorcarryingsecuritiesincludedinFRY‐9C,ScheduleHC‐C,line9.b.(1).Lineitem5.d,LoanstofinancialinstitutionsReportgradedloanstofinancialinstitutionsincludedinFRY‐9C,ScheduleHC‐C,lines2.a,2.b,and9.a.Alsoincludenon‐purposeloansreportedinlines2.a,2.b,and9.aofScheduleHC‐CoftheFRY‐9Cregardlessofwhetherthoseloansaregraded.Donotincludescoredordelinquencymanagedloansreportedassmallbusinessloansabove.Lineitem5.e,OthercommercialloansReportothergradedcommercialloansincludedinFRY‐9C,ScheduleHC‐C,line9.b.(2).Alsoincludenon‐purposeloansreportedinline9.b.(2)ofScheduleHC‐CoftheFRY‐9Cregardlessofwhetherthoseloansaregraded.Donotincludescoredordelinquencymanagedloansreportedassmallbusinessloansabove,SMEandcorporatecardloansreportedasSMEandcorporatecardloans,orchargecardsreportedaschargecardsabove.Lineitem5.f,OthercommercialleasesReportothergradedcommercialleasesincludedinFRY‐9C,ScheduleHC‐C,line10.b.Alsoincludenon‐purposeloansreportedinline10.bofScheduleHC‐CoftheFRY‐9Cregardlessofwhetherthoseloansaregraded.Donotincludescoredordelinquencymanagedloansreportedassmallbusinessloansabove.ScheduleM.2‐FRY‐9CReconciliationFortheselectportfoliosfromScheduleM.1listedbelow,reportthebalanceofloansincludedintheindicatedlineitemsonScheduleHC‐CoftheFRY‐9C.IncolumnAreportloansheldforinvestmentatamortizedcost(HFIatAC).IncolumnBreportloansheldforsale(HFS)ormeasuredatfairvalueunderafairvalueoption(FVO).Reportalldollaramountsinmillions.ThebalancesreportedhereshouldbeconsistentwiththebalancesreportedonScheduleM.1forthecorrespondingportfolios.Forexample,thereportedbalanceofsmallbusinessloansheldforinvestmentatamortizedcost(lines1.ato1.h,columnA)shouldequalthebalanceofsuchloansreportedonScheduleM.1

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(line2.b,columnA+line2.b,columnC).Amorecomprehensivelistofrelationshipsbetweenthisschedule,ScheduleM.1,andtheFRY‐9Cwillbeincludedwiththetechnicalinstructionsprovidedtoallsubmittinginstitutions.1.SmallbusinessloansForeachofthefollowinglineitemsunderline1,reportthesmallbusinessloansreportedinline2.binScheduleM.1thatareincludedintheindicatedlineitemonScheduleHC‐CoftheFRY‐9C:Lineitem1.a‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,lines2.aand2.b.Lineitem1.b‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line3.Lineitem1.c‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,lines4.aand4.b.Lineitem1.d‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line7.Lineitem1.e‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line9.a.Lineitem1.f‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line9.b.(2).Lineitem1.g‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line10.b.2.SMEcardsandcorporatecardsForeachofthefollowinglineitemsunderline2,reporttheSMEcardandcorporatecardloansreportedinline2.cinScheduleM.1thatareincludedintheindicatedlineitemonScheduleHC‐CoftheFRY‐9C:Lineitem2.a‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,lines4.aand4.b.Lineitem2.b‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.a.Lineitem2.c‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.b.Lineitem2.d‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.d.Lineitem2.e‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line9.b.(2).3.ChargecardsForeachofthefollowinglineitemsunderline3,reportthechargecardloansreportedinline3.binScheduleM.1thatareincludedintheindicatedlineitemonScheduleHC‐CoftheFRY‐9C:Lineitem3.a‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.a.Lineitem3.b‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line9.b.(2.4.StudentloansForeachofthefollowinglineitemsunderline4,reportthestudentloansreportedinline4.binScheduleM.1thatareincludedintheindicatedlineitemonScheduleHC‐CoftheFRY‐9C:Lineitem4.a‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.b.Lineitem4.b‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.d.5.Non‐purposeconsumerlendingForeachofthefollowinglineitemsunderline5,reportthenon‐purposeloansreportedinline4.cinScheduleM.1thatareincludedintheindicatedlineitemonScheduleHC‐CoftheFRY‐9C:Lineitem5.a‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.b.Lineitem5.b‐ReportloansincludedinFRY‐9C,ScheduleHC‐C,line6.d.

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ScheduleM.3‐PrincipalBalanceofRetailLoansinDomesticOfficesHeldforInvestmentatAmortizedCostbyPurchaseCreditImpairmentForeachlineitemlistedbelow,reportthebookvalueandunpaidprincipalbalance(UPB)ofallretailloansandleasesheldforinvestmentatamortizedcost(HFIatAC)indomesticofficesbypurchasecreditimpairmentstatus.Donotincludeloansheldforsaleorloansmeasuredatfairvalueunderafairvalueoption.Donotincludeloansheldininternationaloffices.IncolumnAreportthebookvalueofnon‐purchasecreditimpaired(non‐PCI)loans.IncolumnBreporttheUPBofnon‐PCIloans.IncolumnCreportthebookvalueofpurchasecreditimpaired(PCI)loans.IncolumnDreporttheUPBofPCIloans.Reportalldollaramountsinmillions.Forthepurposesofthisschedule,thebookvalueofaloanheldforinvestmentatamortizedcostistheoriginalcostoftheloanlessanywrite‐downsassociatedwithdepreciation,amortization,orimpairmentcosts.TheUPBoftheloanisthetotalprincipalamountoutstandingasoftheendofthereportingperiodandshouldnotreflectanyaccountingbasedwrite‐downsorpurchasecreditimpairments.ThebookvaluereportedhereshouldbeconsistentwiththebalancesreportedonScheduleM.1forthecorrespondingportfolios.Forexample,thebookvalueoffirstmortgagesheldforinvestmentatamortizedcostindomesticoffices(line1.a.(1).(a),columnA+line1.a.(1).(a),columnC)shouldequalthebalanceofsuchloansreportedonScheduleM.1(line1.a.(1).(a),columnA).AmorecomprehensivelistofrelationshipsbetweenthisscheduleandScheduleM.1willbeincludedwiththetechnicalinstructionsprovidedtoallsubmittinginstitutions.1.a.(1).(a),FirstmortgagesReportfirstmortgageloansthatarereportedinline1.a.(1).(a)inScheduleM.1.1.a.(1).(b),FirstlienHELOANsReportfirstlienclosed‐endhomeequityloans(HELOANs)thatarereportedinline1.a.(1).(b)inScheduleM.1.1.a.(2).(a),JuniorlienHELOANsReportjuniorlienclosed‐endhomeequityloans(HELOANs)thatarereportedinline1.a.(2).(a)inScheduleM.1.1.a.(2).(b),HELOCsReporthomeequitylinesofcredit(HELOCs)thatarereportedinline1.a.(2).(b)inScheduleM.1.2.a.,BankcardsReportbankcardloansthatarereportedinline3.ainScheduleM.1.2.b.,ChargecardsReportchargecardloansthatarereportedinline3.binScheduleM.1.3.a.,AutoloansReportautoloansthatarereportedinline4.ainScheduleM.1.3.b.,AllotherconsumerloansandleasesReportallotherconsumerloansandleasesthatarereportedinlines4.b,4.c,4.d,4.e,and4.finScheduleM.1.

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AppendixA:FRY‐14QSupportingDocumentation SupportingDocumentationforScheduleC–RegulatoryCapitalInstrumentsAdditionalInformationrequiredforcapitalinstrumentissued(TiedtoC.3:RegulatoryCapitalInstrumentsIssuancesDuringQuarter)

Forallcapitalinstrumentsexceptforcommonstockthatwereissuedduringthequarter,includeasaseparateattachmenttotheschedulesubmissiontheprospectussupplement,certificateofdesignation,ortheindenturefortheinstrument.

SupportingDocumentationforScheduleD–RegulatoryCapitalTransitionsAdditionalInformationRequiredforEachPlannedAction(TiedtoD.6)

InadditiontotheinformationprovidedwithinthePlannedActionworksheet,BHCsandIHCsarealsorequiredtosubmitadditionalinformationrelatedtotheactualprogressmadeonitsplannedactionsthroughthereportdate.

Ataminimum,thedocumentshouldaddressthefollowing:

Thestatusoftheactionduringthereportingquarter,andhowitcomparestotheBHC’sorIHC’sprojectionfortheplannedactiontodate.ThisshouldstatewhethertheBHCorIHCison‐trackintermsofmeetingitsplannedactionstrategyrelativetotheimpactitprojectedforthecorrespondingactioninitsmostrecentFRY‐14ARegulatoryCapitalTransitionsschedulesubmission,and/orhowithasdeviatedfromthestrategyandtherationalebehindthechanges.

ThesupplementaldocumentshouldalsodescribeindetailanynewactionstheBHCorIHChastaken,whichwasnotpartofitsproposedplannedactionsassubmittedpertheFRY‐14ARegulatoryCapitalTransitionsschedule.

Thisquarterlyinformationrelatedtoeachplannedactionmustbeprovidedinaseparateattachmentandshouldbetitled:BHCRSSD_BHCMNEMONIC_REGCAPTRANS_QTRLYUPDATE_ACTION#_YYMMDD.Notethatthe“#”inthisfilenamemustcorrespondwiththeappropriate“Action#”incolumnAofthePlannedActionsWorksheetofthemostrecentFRY‐14Asubmission.SupportingDocumentationforScheduleL–CounterpartyThesupportingdocumentshouldbetitledBHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_YYMMDD.BHCsandIHCsshouldsubmitseparatedocumentsfordifferentmodelsand/ormethodologies.Thedocumentsshouldbetitled:BHCRSSD_BHCMNEMONIC_CCR_METHODOLOGY_MODELTYPE_YYMMDD.ModelTypereferstoTradingIssuerDefault,CVAandCounterpartyDefaultLosses.TheseinstructionsarealsoprovidedintheFRY‐14Ainstructions.ThedocumentationshouldincludeadetaileddescriptionofthemethodologiesusedtoestimateTradingIssuerDefault,CVA,andCounterpartyDefaultlossesunderthestressscenariosreportedontheFRY‐14ASummaryscheduleaswellasmethodologiesusedtoproducethedataintheFRY‐14QCCRschedule(onlyfortheCCARasofquarter).Allinformationrelevantforsupervisorstounderstandtheapproachshouldbeincluded,anditshouldbetransparentinthedocumentationwheretofindtheresponsetoeachitem.AnydifferencesbetweentheBHCorIHCandtheFRscenariosinmethodology,positioncapture,orother

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materialelementsofthelossmodelingapproachshouldbeclearlydescribed.ItisexpectedthatforsomeBHCsorIHCs,therewillbeBHCorIHC‐specificorothermaterialmethodologicalitemsinadditiontothosespecificallylistedintheinstructions.Theseadditionalitemsshouldbeincludedinthedocumentationaswell.Aspartofthedetailedmethodologydocument,BHCsandIHCsshouldprovideanExecutiveSummarythatgivesanoverviewofeachmodelandanswerseachofthequestionsbelow.IfoneofthequestionsbelowisnotfullyaddressedintheExecutiveSummary,citethedocumentnameandpagenumber(s)ofthemethodologydocumentthatfullyaddressesthequestion.InadditiontotheExecutiveSummary,thereshouldbeasectionofthemethodologydocumentdevotedtoanydivergencefromtheinstructionstotheCounterpartyRisksub‐scheduleortheFR_Y‐14ASchedule.Usethissectiontoexplainanydatathatismissingornotprovidedasrequested.Thissectionshouldalsobeusedtodescribewhereandhowjudgmentwasusedtointerpretaninstruction.Supportingdocumentationforagivenmodelshouldbesubmittedatthesametimeasthelossestimatesderivedfromthatmodel.Forexample,TradingIDRsupportingdocumentationshouldbesubmittedalongwithFRY‐14QScheduleFandCVAandDefaultLosssupportingdocumentationshouldbesubmittedalongwithFRY‐14QScheduleL.TradingIssuerDefaultLosses(TradingIDL)1. Dataandsystemsa. Whatproducttypesareincludedandexcluded?Specifically,commentonwhetherequitiesareexcluded

andwhattypesofsecuritizedproducts,ifany,areexcluded.Commentonthematerialityofanyexclusions.

b. Arethereanyissuertypeexclusions?Commentonthematerialityofanyexclusions.c. ArethereanyexposuremeasurementortradecapturelimitationsimpactingtheTradingIDLestimate

inItem1ontheCounterpartyRisksub‐scheduleintheSUMMARY_SCHEDULEorthedataprovidedinsub‐schedulesCorporateCredit‐Advanced,CorporateCredit‐EM,SovereignCredit,CreditCorrelation,IDR‐CorporateCredit,orIDR‐JumpToDefaultintheFR_Y‐14Q_TRADINGSchedule?Ifso,pleaseelaborateinthedocumentation,particularlywheretheselimitationsunderstatelosses.

d. ArethereanydiscrepanciesinpositioncapturebetweentheMVandNotionalsreportedinsub‐schedulesCorporateCredit‐Advanced,CorporateCredit‐EM,SovereignCredit,CreditCorrelation,orIDR‐CorporateCreditintheFR_Y‐14Q_TRADINGSchedule?Ifso,pleaseelaborateonthediscrepanciesinthedocumentation.

e. Areanyindexorstructuredexposuresdecomposed/unbundledintosinglenameexposuresontheIDRCorpCreditorIDRJumptoDefaultsub‐schedulesintheFR_Y‐14Q_TRADINGSchedule?Ifso,provideadescriptionoftheexposuresthataredecomposedandthemethodologyused.

f. WhattypesofCVAhedgesareincludedintheFR_Y‐14Q_TRADINGScheduleandItem10ontheTradingsub‐scheduleoftheSUMMARY_SCHEDULE(e.g.,marketriskhedges,counterpartyriskhedges)?Which,ifany,ofthesehedgesareexcludedfromtheTradingIDRlossestimates(Item1ontheCounterpartyRisksub‐scheduleoftheSUMMARY_SCHEDULE)?ConfirmthathedgesmodeledinTradingIDRareexcludedfromCCRIDR.

2. PDmethodologya. Howistheseverityofdefaultrisktreated?IsastressedexpectedPDused,orisitanoutcomeinthe

tailofthedefaultdistribution?Ifanoutcomeinthetailisused,whatisthetailpercentile?b. Howisdefaultriskrepresentedoverthehorizonofthestresstest?Isacumulativetwo‐yearPDora

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one‐yearPDusedasamodelinput?Howismigrationriskcaptured?c. Whatdatasourcesandrelatedtimeperiodsareusedtogeneratetheassumptionsonstressed

expectedPDorthedefaultdistribution?Inthedocumentation,provideabreakdownofPDs(e.g.,byrating,assetcategory).ProvidestressedPDsifastressedPDisused,orprovidePDinputsifanoutcomeinthetailisused.

3. Correlationassumptionsa. WhatcorrelationassumptionsareusedintheTradingIDLmodels?4. LGDmethodologya. DothemodelsassumeastaticLGDorastochasticLGDwithanon‐zerorecoveryratevolatility?

i. IfastaticLGDisused,werethemeanLGDsstressed?WhatdatasourcesandrelatedtimeperiodswereusedtodeterminetheLGDs?Inthemethodologydocumentation,providetherelevantbreakdownofLGDsusedinthemodel(e.g.,byratings,assetcategory).

ii. IfastochasticLGDisused,elaborateontheassumptionsgeneratingthestochasticLGDinthedocumentation,includingassumptionsontheLGDmeanandvolatilityandrationaleformodelingchoices.

5. Liquidityhorizona. Whatliquidityhorizonassumptionsareused?6. Exposureatdefault(EAD)a. WhatExposureatDefault(EAD)isusedforTradingIDL?Forexample,isthecalculationbasedon

actualissuerexposures,stressedexposures,amixofboth,orsomethingelse?Ifexposuresarestressed,pleaseexplainhowtheexposureswerestressed.

7. Treatmentofgainsa. AreanygainsbeingreflectedintheTradingIDLcalculations?Ifso,elaborateinthedocumentation

howgainsaretreated.8. Modelvalidationanddocumentationa. ForanymodelsusedtoreportnumbersintheSUMMARY_SCHEDULEortheFR_Y‐14Q_Tradingthat

arealsousedinBusinessasUsual(BAU)production,havethosemodelsbeenvalidatedasusedinBAU?Ifso,attachmodelvalidationdocuments.Ifnot,elaborateinthedocumentationonanyreviewprocess.

b. Foranyad‐hocmodelsusedforCCARthatwouldnothavebeenpreviouslyvalidated,whatreviewifanyhasoccurred?Elaborateinthedocumentationwhereappropriate.

CVALosses1. Divergencefrominstructionsa. IntheFR_Y‐14Q_CCRorSummarySchedules,isbilateralCVAincludedinanyelementofthe

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submission(i.e.,CVAwherethecounterpartydefaultprobabilitiesareconditionalonthesurvivaloftheBHCorIHC)?Ifso,elaborateinthedocumentation.

b. AreCVAhedgesconsideredorincludedinanyaspectofthefirm’sCVAlossreportingorCVAcalculations?Ifso,pleaseprovidedetailanddocumentwhereCVAdataarereportednetofhedgesontheFR_Y_14Q_CCRScheduleorItem2ontheCounterpartyRisksub‐scheduleintheSUMMARY_SCHEDULE.

c. IncalculatingStressedNetCEinsub‐schedules1a,1b,1c,1d,and1einFR_Y‐14Q_CCR,arethereanyoccasionswhereitisassumedadditionalcollateralhasbeencollectedaftertheshock?Ifso,elaborateinthedocumentation.

d. ArethereanycounterpartiesforwhichyourfirmdidnotfullyimplementtheFRspecificationfortheEEprofilesonsub‐schedule2intheFR_Y‐14Q_CCR?Ifso,elaborateinthedocumentation.

e. Arethereanycounterpartiesforwhichyourfirmsubstituted‘CountryofRisk’for‘CountryofDomicile’intheFR_Y‐14Q_CCR?Ifso,elaborateinthedocumentation.

2. DataandsystemsInthedocumentation,clearlyidentify,describe,andcommentonthemateriality(inbothexposureandCVAlossterms)ofanyexclusionsthatprevent100%captureofcounterpartiesortrades.Ataminimum,addressthequestionsbelowandelaborateinthedocumentationwhereappropriate.a. Asfirmsarerequiredtoreportonlycounterpartiescomprising95%ofCVAonsub‐schedule1aof

FR_Y‐14Q_CCR,pleaseprovidedetailedinformationonthecompositionofcounterpartiescomprisingtheremaining5%,includinganyrelevantindustryconcentrationsorcounterpartieswithsignificantdefaultrisk.

b. Areanycounterpartiesonsub‐schedule1aofFR_Y‐14Q_CCRexcludedfromsub‐schedule2?WherespecificcounterpartiesarereportedasTopcounterpartiesby95%ofTotalCVAononesub‐scheduleoftheSchedule,butarenotlistedonothersub‐schedules,listthesecounterpartiesinthedocumentationbynameandprovideareasonfortheirexclusion.

c. Areanycounterpartiesexcludedfromtheunstressedorstressedaggregatedatareportedinsub‐schedules1e,2,or3ofFR_Y‐14Q_CCRorthelossesreportedintheSUMMARY_SCHEDULESUMMARY_SCHEDULE(Item2intheCounterpartyRisksub‐schedule)?Inthedocumentation,elaborateonthenature,materiality,andrationalefortheseexclusions.

d. PleaseensurethatthemethodologydocumentationincludesadescriptionofhowstressedorunstresseddiscountfactorsareincludedintheCVAcalculation.

e. Dotheexpectedexposure(EE)profiles,CDSspreads,PDs,LGDs,discountfactors,asprovidedonsub‐schedule2,comefromthesamesystemsasthoseusedforthecalculationofCVAlossesasprovidedintheSUMMARY_SCHEDULE(Item2intheCounterpartyRisksub‐schedule)?Ifnot,elaborateinthedocumentation.

f. ForunstressedandstressedCVAreportedintheFR_Y‐14Q_CCRSchedule,whichcounterparties,counterpartytypes,ortradetypesarecalculatedofflineorusingseparatemethodologies?Whyaretheycalculatedofflineorwithadifferentmethodology?Elaborateinthedocumentation.

g. Areanyadd‐onsusedtocalculatestressedCVAintheFR_Y‐14Q_CCRSchedule?Elaborateregardingthenatureandrationaleforeachtypeofadd‐oninthedocumentation.

h. Arethereanyadditional/offlineCVAreservesreportedinsub‐schedule1eintheFR_Y‐14Q_CCRSchedule?Ifso,elaborateaboutthenatureofthesereservesinthedocumentation.Explainwhatcounterparties,counterpartytypes,ortradetypesareincluded,whyaretheycalculatedasreserves,andhowtheyarestressed.

i. ArethereanyexposuremeasurementorproductcapturelimitationsimpactingthelossestimateinItem2ontheCounterpartyRisksub‐scheduleintheSUMMARY_SCHEDULE?Ifso,makesuretoelaborateinthedocumentation,particularlywheretheselimitationsunderstatelosses.

j. Doesthefirmconductareconciliationbetweenthesumofitems15(a)inScheduleHC‐LoftheFRY‐9C

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andtheaggregateunstressedGrossCEonsub‐schedule1eoftheFRY‐14Q_CCRSchedule?NotethatthefiguresintheFRY‐9Carecalled"netcurrentcreditexposure",asthe"net"referstocounterpartynetting.

k. Areallsensitivities/slidesprovidedasrequested?IfslidesarenotprovidedasrequestedintheFR_Y‐14Q_CCRSchedule,elaborateinthedocumentationwhytheyaremissingornotprovidedcorrectly.

l. Arethesensitivities/slidesprovidedinsub‐schedule4ofFR_Y‐14Q_CCRsourcedfromthesamecalculationengineandsystemsasusedforthefirm'slossestimates(Item2intheCounterpartyRisksub‐scheduleintheSUMMARY_SCHEDULE)?Ifnot,elaborateinthedocumentation.

m. Elaborateonhowsensitivities/slidesinsub‐schedule4ofFR_Y‐14Q_CCRweredeterminedtobematerial.Whatqualifiesariskfactorasimmaterial?

3. LGDmethodologya. FortheLGDusedtocalculatePD,aremarketimpliedrecoveryratesused?Ifnot,elaborateonthe

sourceoftheLGDassumptioninthemethodologydocumentation.b. Isthesamerecovery/LGDusedintheCVAcalculationasisusedtocalculatePDsfromtheCDSspread?

Ifnot,inthedocumentationprovideadetailedrationaleandbackupdatatosupporttheuseofadifferentLGD,andprovidethesourceoftheLGDusedtocalculateCVA.

4. Exposureatdefault(EAD)a. WhatMarginPeriodofRisk(MPOR)assumptionsareusedforunstressedandstressedCVA?b. ArecollateralvaluesstressedinthenumbersreportedintheFR_Y_14Q_CCRScheduleorItems2or3

ontheCounterpartyRisksub‐scheduleintheSUMMARY_SCHEDULE?Ifso,elaborateonthestressassumptionsapplied.

c. IntheFR_Y‐14Q_CCRsub‐schedule2,fortheBHCorIHCspecification,aredowngradetriggersmodeledintheexposureprofiles?

5. Applicationofshocksa. AretheshocksappliedtoCVA(forcalculatingItem2intheCounterpartyRisksub‐scheduleinthe

SUMMARY_SCHEDULEaswellastheStressedfiguresreportedinFR_Y‐14Q_CCR)thesameasthoseappliedtotheTradingBook(Item10intheTradingsub‐scheduleintheSUMMARY_SCHEDULE)?Wheretheydiffer,orwhereshocksapplieddivergefromtheFRshockscenario,elaborateinthedocumentation.

6. Modelvalidationanddocumentationa. ForanymodelsusedtoreportnumbersintheSUMMARY_SCHEDULEortheFR_Y‐b. 14Q_CCRthatarealsousedinBusinessasUsual(BAU)production,havethosemodelsbeenvalidated

asusedinBAU?Ifso,attachmodelvalidationdocuments.Ifnot,elaborateinthedocumentationonanyreviewprocess.

c. Foranyad‐hocmodelsusedforCCARthatwouldnothavebeenpreviouslyvalidated,whatreviewifanyhasoccurred?Elaborateinthedocumentationwhereappropriate.

CounterpartyDefaultLosses(CDL)1. Dataandsystemsa. Arethereanyexposurecaptureormeasurementlimitationsrelatedtocounterparties,productsor

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tradesimpactingthelossestimateinItem3ontheCounterpartyRisksub‐scheduleintheSUMMARY_SCHEDULE?Ifso,pleaseelaborateinthedocumentation,particularlywheretheselimitationsunderstatelosses.

b. WhattypesofCVAhedgesareincludedinCDL?ConfirmthathedgesmodeledwereexcludedfromTradingIDL.

2. PDmethodology(ifapplicable)a. Howistheseverityofdefaultrisktreated?IsastressedexpectedPDused,orisitanoutcomeinthe

tailofthedefaultdistribution?Ifanoutcomeinthetailisused,whatisthetailpercentile?b. Howisdefaultriskrepresentedoverthehorizonofthestresstest?Isacumulativetwo‐yearPDora

one‐yearPDusedasamodelinput?Howismigrationriskcaptured?c. Whatdatasourcesandrelatedtimeperiodsareusedtogeneratetheassumptionsonstressed

expectedPDorthedefaultdistribution?Inthedocumentation,provideabreakdownofPDs(e.g.,byrating,counterpartytype).ProvidestressedPDsifastressedPDisused,orprovidePDinputsifanoutcomeinthetailisused.

3. Correlationassumptions(ifapplicable)a. WhatifanycorrelationassumptionsareusedcalculatingDefaultLosses?4. LGDmethodology(ifapplicable)a. DothemodelsassumeastaticLGDorastochasticLGDwithanon‐zerorecoveryratevolatility?b. IfastaticLGDisused,arethemeanLGDsstressed?Whatdatasourcesandrelatedtimeperiodsare

usedtodeterminetheLGDs?Inthemethodologydocumentation,providetherelevantbreakdownofLGDsusedinthemodel(e.g.,byratings,counterpartytype).

c. IfastochasticLGDisused,elaborateontheassumptionsgeneratingthestochasticLGDinthedocumentation,includingassumptionsontheLGDmeanandvolatilityandrationaleformodelingchoices.

5. Liquidityhorizon(ifapplicable)a. Whatliquidityhorizonassumptionsareused?6. Exposureatdefault(EAD)(ifapplicable)a. ProvideanoverviewofhowEADismodeledforDefaultLosses?b. AreanydowngradetriggersassumedintheDefaultLossmodel?Ifso,elaborateinthedocumentation.c. WhatMarginPeriodofRisk(MPOR)assumptionsaremodeledinDefaultLosses?7. Treatmentofgains(ifapplicable)a. AreanygainsbeingreflectedintheDefaultLossescalculations?Ifso,elaborateinthedocumentation

howgainsaretreated.8. Modelvalidationanddocumentationa. ForanymodelsusedtoreportnumbersintheSUMMARY_SCHEDULEortheFR_Y‐14Q_CCRthatare

alsousedinBusinessasUsual(BAU)production,havethosemodelsbeenvalidatedasusedinBAU?If

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so,attachmodelvalidationdocuments.Ifnot,elaborateinthedocumentationonanyreviewprocess.b. Foranyad‐hocmodelsusedforCCARthatwouldnothavebeenpreviouslyvalidated,whatreviewif

anyhasoccurred?Elaborateinthedocumentationwhereappropriate.9. OtherAsthefirmconsidersanyadditionalfirm‐widelossesbeyondOTCderivativeandSFTtransactionlossesthatcouldresultfromthedefaultorpotentialdefaultofacounterpartyorcounterparties,pleasedetailanddocumentthoselosses.SupplementalDataCollectionPleaseprovideadetaileddescriptionofthedataprovidedineachtableofthesupplementaldatacollectionschedule.

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