FR Y 14A: Counterparty Credit Risk / CVA Data Submission Cover Sheet. See Counterparty Schedule instructions for guidance on completing this schedule.

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1 FR Y A: Credit Risk / Data Submission Cover Sheet See Schedule instructions for guidance on completing this schedule. BHCs should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars. Institution Name: RSSD : Submission date: Data as of date: Version: When Received:

2 a) Top counterparties comprising % of firm, ranked by identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC specification % Downgrade trigger with CSAs modeled?

3 b) Top 0 counterparties ranked by Federal Reserve Severely Adverse Scenario 0 0 identifiers Credit Quality Data Exposure Data Data Credit mitigants set and FR and FR and BHC and BHC BHC specification % with CSAs Downgrade trigger modeled? b) Top 0 counterparties ranked by 0 0 identifiers Credit Quality Data Exposure Data Data Credit mitigants set Federal Reserve scenario (Severely Adverse) Federal Reserve scenario Federal Reserve scenario (Severely Adverse) Federal Reserve scenario FR scenario and FR specification FR scenario and FR specification FR scenario and BHC specification FR scenario and BHC specification BHC scenario and BHC specification % Gross CE with CSAs Downgrade trigger modeled?

4 c) Top 0 counterparties ranked by 0 0 identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC specification % with CSAs Downgrade trigger modeled? c) Top 0 counterparties ranked by Federal Reserve Severely Adverse Scenario 0 0 identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC specification % Gross CE with CSAs Downgrade trigger modeled? c) Top 0 counterparties ranked by 0 0 identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC specification % Downgrade trigger with CSAs modeled?

5 d) Top 0 collateralized counterparties ranked by (counterparties with at least one netting set with a CSA agreement in place) 0 0 Identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC % with CSAs Downgrade trigger modeled? d) Top 0 collateralized counterparties ranked by Federal Reserve Severely Adverse Scenario (counterparties with at least one netting set with a CSA agreement in place) 0 0 Identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC % Gross CE with CSAs Downgrade trigger modeled? d) Top 0 collateralized counterparties ranked by (counterparties with at least one netting set with a CSA agreement in place) 0 0 Identifiers Credit Quality Data Exposure Data Data Credit Mitigants set and FR and FR and BHC and BHC BHC % Gross CE with CSAs Downgrade trigger modeled?

6 e) Aggregate by s and collateralization Aggregate Ratings Category Exposure Data Data Rating Rating and FR and FR and BHC and BHC BHC N/A N/A Additional/Offline reserves Ratings Category Exposure Data Data Rating Rating and FR and FR and BHC and BHC BHC N/A N/A Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Rating Ratings Category Exposure Data Data Rating Rating and FR and FR and BHC and BHC BHC Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Rating Ratings Category Exposure Data Data and FR and FR and BHC and BHC BHC

7 ) EE profile by counterparty: Top counterparties comprising % of firm, ranked by Identifiers Inputs Inputs set Rating Rating Tenor Bucket in Years EE BHC Marginal PD LGD () LGD (PD) Discount Factor Stressed EE FR Scenario & FR Stressed EE FR Scenario & FR Stressed EE FR Scenario & BHC Stressed EE FR Scenario & BHC Stressed EE & BHC Stressed Marginal PD Stressed Marginal PD Stressed Marginal PD Stressed LGD () Stressed LGD Stressed LGD () () BHC Scenario Stressed LGD (PD) FR Scenario Stressed LGD (PD) Stressed LGD (PD) BHC Scenario

8 ) Credit quality by counterparty: Top counterparties ranked by comprising % of firm and Time Identifiers Data Inputs Type of Credit Quality Input set Time period (years) Market spread (bps) Spread adjustment (bps) Spread (bps) used in calculation Stressed spreads (bps) Stressed spreads (bps) Stressed spreads (bps) Mapping approach Proxy mapping approach Proxy Market input type Ticker / identifier Report date Source (Bloomberg Comments, Markit, KMV, etc.)

9 ) sensitivities and slides: Change to asset side for a given change in the underlying, gross of any hedges, Increase in reported as positive figure Aggregate sensitivities and slides Sensitivities for Top 0 Counterparties, ranked by Top Cpty Top Cpty Top Cpty Top Cpty Top Cpty Top Cpty Top Cpty Top Cpty Top Cpty Top 0 Cpty <<insert >> <<insert >> <<insert >> <<insert >> <<insert >> <<insert >> <<insert >> <<insert >> <<insert >> <<insert >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> <<insert Cpty >> Credit Spreads 0% 0% +bp +0% +00% +00% bp bp bp bp bp bp bp bp bp bp Spread Aggregate Aggregate by : AAA AA A BBB BB B CCC CC C NR Reference Spread Aggregate Aggregate by : AAA AA A BBB BB B CCC CC C NR Interest Rates (bps) 00bps 0bps +bp +0bps +00bps +00bps bp bp bp bp bp bp bp bp bp bp EUR <=Y Y >= 0Y >=0Y All Maturities GBP <=Y Y >= 0Y >=0Y All Maturities USD <=Y Y >= 0Y >=0Y All maturities Other material IR sensitivities FX (%) 0% 0% +% +0% +00% +00% +% +% +% +% +% +% +% +% +% +% EUR GBP Other material FX sensitivities Equity (%) 0% 0% +% +0% +00% +00% +% +% +% +% +% +% +% +% +% +% US <<Define>> Europe <<Define>> Other <<Define>> Other material equity sensitivities Commodities (%) 0% 0% +% +0% +00% +00% +% +% +% +% +% +% +% +% +% +% Oil & Oil Products Natural Gas Power Coal & Freight Softs & Ags Precious Metals Base Metals Other material commodity sensitivities Other material sensitivities <<Insert / definition/units>> <<Insert / definition/units>> <<Insert / definition/units>> 0% 0% +% +0% +00% +00% +% +% +% +% +% +% +% +% +% +% <<Insert / definition/units>> <<Insert / definition/units>> <<Insert / definition/units>>

10 ) Securities Financing Transactions (SFT) Profile by (Top 0) and Aggregate Top 0 SFT Counterparties by Cash Posted identifiers Credit Quality Data Exposure Data 0 0 set Stressed BHC scenario Stressed FR scenario Indemnified Securities Lent (Notional Balance) Indemnified Cash Collateral Reinvestment (Notional Balance)

11 ) Securities Financing Transactions (SFT) Profile Top 0 SFT Counterparties by Cash Posted Repo and Reverse Repo Gross Value of Instruments on Reporting Date US Treasury Agency MBS Equities Corporate Bonds Non Agency (ABS, RMBS) Sovereigns Other Cash (+/ ) Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received 0 0

12 ) Securities Financing Transactions (SFT) Profile Top 0 SFT Counterparties by Cash Posted Securities Lending and Borrowing Gross Value of Instruments on Reporting Date US Treasury Agency MBS Equities Corporate Bonds Non Agency (ABS, RMBS) Sovereigns Other Cash (+/ ) Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received 0 0

13 Aggregate SFTs by Rating Ratings Category Exposure Data Stressed BHC scenario Stressed FR scenario Indeminified Securities Lent (Notional Balance) Indeminified Cash Collateral Reinvestment (Notional Balance)

14 Repo and Reverse Repo Gross Value of Instruments on Reporting Date US Treasury Agency MBS Equities Corporate Bonds Non Agency (ABS, RMBS) Sovereigns Other Cash (+/ ) Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received

15 Securities Lending and Borrowing Gross Value of Instruments on Reporting Date US Treasury Agency MBS Equities Corporate Bonds Non Agency (ABS, RMBS) Sovereigns Other Cash (+/ ) Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received Posted Received

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