FR 2052a — Complex Institution Liquidity Monitoring Report

Refers to assets that are owned outright that are (i) free of legal, regulatory, contractual, or other restrictions on the ability of the reporting entity to monetize the assets; and (ii) not pledged, explicitly or implicitly, to secure or to provide credit enhancement to any transaction. Exclude all unencumbered assets that are pledged to a central bank or a U.S. government- sponsored enterprise that meet the specifications of, and should be reported under, product

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

executed, but not yet settled as those transactions should be reported in lines I.A.5: Unsettled Asset Purchases or I.A.6: Forward Asset Purchases, depending on the timing of settlement. Any amounts due to the reporting institution with respect to any associated hedges should not be added or subtracted from the fair value of the asset. Include unencumbered loans and leases even though these loans and leases must also be reported under the appropriate Inflows- Unsecured and Inflows-Secured products. Do not exclude assets that are owned outright at a subsidiary of the reporting entity, but have been pledged to secure a transaction with another subsidiary of the reporting entity; to the extent these assets remain unencumbered. I.A.2: Capacity Refers to the available credit extended by central banks or GSEs that is secured by acceptable collateral, where (i) potential credit secured by the assets is not currently extended to the reporting entity or its consolidated subsidiaries; and (ii) the pledged assets are not required to support access to the payment services of a central bank. The amount of available capacity should be reported net of any advances that have already been drawn upon or other forms of encumbrance (e.g., FHLB LOCs). The [Market Value] field should indicate the market value of collateral pledged, while the [Lendable Value] field should indicate the residual capacity available to draw against this collateral. For the purpose of reporting available capacity and encumbrance, under circumstances where draws are not assessed against specific individual assets, but rather the entire pool of collateral generally, assume that the lowest quality assets are encumbered first followed by higher quality assets (quality in terms of high-quality liquid asset categories under the LRM Standards). Include unencumbered loans, even though these loans must also be reported under the appropriate Inflows-Unsecured and Inflows-Secured products. Use the [Sub-Product] field to identify the specific source of the capacity according to the following choices: • FRB (Federal Reserve Bank) • SNB (Swiss National Bank) • BOE (Bank of England) • ECB (European Central Bank) • BOJ (Bank of Japan) • RBA (Reserve Bank of Australia) • BOC (Bank of Canada) • OCB (Other Central Bank) • FHLB (FHLB System) • Other GSE

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

Refers to reserve bank balances maintained at a Federal Reserve Bank, less the reserve balance requirement as defined in section 204.5(a)(1) of Regulation D (12 CFR 204.5(a)(1)), foreign withdrawable reserves maintained at other central banks, and Federal Reserve term deposits that are not held to satisfy reserve requirements. Reserve Bank balances has the meaning set forth in the LRM Standards. For those accounts that explicitly and contractually permit withdrawal upon demand prior to the expiration of the term or that may be pledged as collateral for term or automatically renewing overnight advances from the Federal Reserve Bank, report the [Maturity Bucket] value as “Open”. For other accounts, report the [Maturity Bucket] value that corresponds with the contractual maturity. Foreign withdrawable reserves have the meaning set forth in the LRM Standards. Use the [Sub-Product] field to further identify the specific central bank account according to the following choices, or “Currency and Coin” for currency and banknotes: • FRB (Federal Reserve Bank) • SNB (Swiss National Bank) • BOE (Bank of England) • ECB (European Central Bank) • BOJ (Bank of Japan) • RBA (Reserve Bank of Australia) • BOC (Bank of Canada) • OCB (Other Central Bank) • Currency and Coin10

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

Refers to balances held at central banks that are not immediately withdrawable and currency and banknotes, including the reserve balances and term deposits that are held to satisfy reserve requirements. Use the [Sub-Product] field to further identify the specific central bank account according to the following choices, or “Currency and Coin” for currency and banknotes: • FRB (Federal Reserve Bank) • SNB (Swiss National Bank) • BOE (Bank of England) • ECB (European Central Bank) • BOJ (Bank of Japan) • RBA (Reserve Bank of Australia) • BOC (Bank of Canada) • OCB (Other Central Bank) • Currency and Coin8

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

Refers to transactions involving the purchase of securities that have been executed, but have not yet settled; and for which the settlement contractually occurs within the period of time (after the trade date) generally established by regulations or conventions in the marketplace or exchange in which the transaction is being executed (i.e., regular-way security trades). Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities purchased. Report failed settlements with a [Forward Start Bucket] value of “Open”.

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

Refers to transactions involving the purchase of securities that have been executed, but not yet settled; and for which the settlement contractually occurs outside the period of time (after the trade date) generally established by regulations or conventions in the marketplace or exchange in which the transaction is being executed (i.e., not a regular-way security trade). Use the 10 Report U.S. and foreign currency and coin owned and held in all offices of the consolidated holding company; currency and coin in transit to a Federal Reserve Bank or to any other depository institution for which the reporting holding company’s subsidiaries have not yet received credit; and currency and coin in transit from a Federal Reserve Bank or from any other depository institution for which the accounts of the subsidiaries of the reporting holding company have already been charged. [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities purchased. These transactions must also be included in the calculation of products I.O.7: Net 30-day Derivative Receivables and O.O.20: Net 30-day Derivative Payables. Report failed settlements with a [Forward Start Bucket] value of “Open”.

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

Refers to encumbered assets, of which the reporting entity is the beneficial owner (i.e., the assets are represented on the accounting balance sheet), that are not otherwise captured under other FR 2052a balance sheet products in the I.A, I.U or I.S tables.

Applicable fields: product, sub_product, maturity_bucket, currency, market_value, lendable_value, reporting_entity.

Refers to the maturing incoming cash flows related to uncollateralized derivatives (e.g., interest rate, equity, commodity, and option premiums). Report contractually known receivables for fixed and floating rate payables. If a floating rate has not been set, report the undiscounted anticipated cash flow by maturity. Do not include brokerage commission fees, exchange fees, or cash flows from unexercised in-the-money options. Netting receivables and payables by counterparty and maturity date is allowed if a valid netting agreement is in place, allowing for the net settlement of contractual flows. Do not include receivables related to the exchange of principal amounts for foreign exchange transactions, as these should be reported in the Supplemental-Foreign Exchange table under products S.FX.1 through S.FX.3.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the fair value under GAAP of collateral due to the reporting entity as of date T (the collateral flow). This product does not represent the entire stock of collateral held. Collateral calls should be related to outstanding collateralized contracts which include but are not limited to derivative transactions with bilateral counterparties, central counterparties, or exchanges. Use the Maturity Bucket field to identify the expected settlement date. For collateral calls with same-day settlement (i.e., the collateral is both called and received on date T), report using the “Open” value in the Maturity Bucket field. If the settlement date or [Maturity Bucket] is unknown, then exclude the transaction from the data collection. If the [Currency] or [Collateral Class] is unknown then default to [Currency] =”USD” and [Collateral Class] = “Z-1” (i.e., the asset category for “all other assets”).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all sales of TBA contracts for market making or liquidity providing. Do not include TBA sales which are part of a Dollar Roll, as defined under products I.S.3 or O.S.3.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to legally binding agreements that provide the reporting entity with the ability to draw funds at a future date. Report only facilities that are committed, as defined in the LRM Standards.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to inflows related to broker-dealer segregated accounts, as set forth in the LRM Standards. The I.O.[Maturity Bucket] value must reflect the date of the next scheduled calculation of the amount required under applicable legal requirements for the protection of customer assets with respect to each broker-dealer segregated account, in accordance with the reporting entity’s normal frequency of recalculating such requirements.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to contractual interest and dividend payments receivable on securities and loans and leases owned by the reporting entity. Do not include receivables related to unsecured derivative transactions, which should be reported under product I.O.1: Derivatives Receivables and included in the calculation of I.O.7: Net 30-day Derivative Receivables. Use the [Treasury Control] field to identify payments receivable related to securities that are similarly flagged in the Inflows-Assets table. For all interest and dividend payments reported, indicate the corresponding collateral class in the [Collateral Class] field. For interest on loans and leases, use the [Counterparty] field to designate the payer of the interest. Under circumstances where the interest and dividend payments receivable are uncertain (e.g., a floating rate payment has not yet been set), forecast receivables for a minimum of 30 calendar days beyond the as-of date (T). Exclude interest and dividends receivable on assets securing Covered Federal Reserve Facility Funding.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the net derivative cash inflow amount, as set forth in the LRM Standards.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to contractual principal payments receivable on reporting entity-owned investment securities. For amortizing products for which the principal and interest amounts cannot be readily separated, report aggregated principal and interest cash inflows, and do not report the interest under I.O.6: Interest and Dividends Receivable. For other products, report the contractual principal cash payment to be received, excluding interest payments, which should be reported under product I.O.6: Interest and Dividends Receivable. Do not include principal payments receivable on loans and leases, which should be reported separately under the appropriate product in the Inflows-Unsecured or Inflows-Secured tables. Do not include principal payments receivable on securities that are currently encumbered. Use the [Treasury Control] field to identify payments receivable related to securities that are similarly flagged in the Inflows-Assets table. For all principal payments reported, indicate the corresponding collateral class in the [Collateral Class] field. Under circumstances where the principal payments receivable are uncertain (e.g., an index-linked structured note, where the payout has not yet been determined), forecast receivables for 30 calendar days beyond the as-of date (T).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to other contractual cash inflows that do not adhere to the definitions of the products outlined above. Contact the supervisory team to determine if the associated cash flow should be reported. Use the comments table to provide a general description of other cash inflows included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all reverse repurchase agreements (including under Master Repurchase Agreement or Global Master Repurchase Agreements).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to total return swaps that are not booked in client accounts, where the reporting entity is economically short the underlying reference asset and the counterparty is economically long. Use the [Maturity Bucket] to designate the earliest date a transaction could be unwound or terminated. Use the [Collateral Class] field to designate the reference asset of the transaction. Use the following [Sub-Product] values to designate how the position is “covered” (i.e., hedged): • Physical Long Position  Refers to transactions hedged with physical long positions. In the event the long position that has been encumbered to another transaction, use the [Effective Maturity Bucket] to indicate the period of the encumbrance. For long positions held unencumbered, set the [Unencumbered] flag to “Y”. • Synthetic Customer Short  Refers to transactions hedged with a customer’s synthetic short position reported in O.S. 9. • Synthetic Firm Financing  Refers to transactions where the associated hedge meets the definition of O.S.10. • Futures  Refers to transactions hedged with futures contracts. • Other  Refers to all other methods of hedging. • Unhedged  Refers to positions that are not economically hedged with another instrument or transaction.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all securities borrowing transactions (including under Master Securities Loan Agreements).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to transactions using “To Be Announced” (TBA) contracts with the intent of providing financing for a specific security or pool of collateral. Report transactions where the reporting entity has agreed to buy the TBA contract and sell it back at a later date.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to transactions where non-cash assets are exchanged (e.g., collateral upgrade/downgrade trades) at the inception12 of the transaction, or a non-cash asset is 12 Collateral swap transactions that are remargined with cash payments should continue to be reported under this product. borrowed and no collateral is posted (i.e., an unsecured borrowing of collateral), and the assets will be returned at a future date. For collateral swaps where there is an exchange of non-cash assets, split the collateral swap into two separate borrowing and lending transactions and report in both the Inflows-Secured and Outflows-Secured tables. I.S.4 should reflect the borrowing leg of the transaction. Report the [Collateral Class] according to the assets received. Report the fair value under GAAP of the assets received in the [Collateral Value] field. Report the fair value under GAAP of the assets pledged in the [Maturity Amount] field. Use the [Sub-Product] field to identify the type of collateral pledged based on the asset categories defined in the LRM Standards: • Level 1 Pledged • Level 2a Pledged • Level 2b Pledged • Non-HQLA Pledged • No Collateral Pledged For collateral swaps where a non-cash asset is borrowed, report the [Collateral Class] according to the assets received and report the fair value under GAAP of the assets received in the [Collateral Value] field.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to credit provided to a client to fund a trading position, collateralized by the client’s cash or security holdings. Report margin loans on a gross basis; do not net client debits and credits.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all other secured lending that does not otherwise meet the definitions of the Inflows- Secured products listed above and is not drawn from a revolving facility, for which the collateral received is contractually rehypothecatable. Use the comments table to provide a general description of secured loans included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the existing loan arising from the drawn portion of a revolving facility (e.g., a general working capital facility) extended by the reporting entity, where the facility is secured by a lien on an asset or pool of assets.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all other secured lending that does not otherwise meet the definitions of the Inflows- Secured products listed above, for which the collateral received is not contractually rehypothecatable. Use the comments table to provide a general description of other loans included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to total return swaps booked in client accounts, where the reporting entity is economically short the underlying reference asset and the client is economically long. Use the [Maturity Bucket] to designate the latest date a transaction could be unwound or terminated after taking into account clients’ contractual rights to delay termination. Use the [Collateral Class] field to designate the reference asset of the transaction. Use the following [Sub-Product] values to designate how the position is “funded” (i.e., hedged): • Physical Long Position  Refers to transactions hedged with physical long positions. In the event the long position that has been encumbered to another transaction, use the [Effective Maturity Bucket] to indicate the period of the encumbrance. For long positions held unencumbered, set the [Unencumbered] flag to “Y”. • Synthetic Customer Short  Refers to transactions where the customer synthetic long is hedged with another customer’s synthetic short position reported in O.S.9. • Synthetic Firm Financing  Refers to transactions where the associated hedge meets the definition of O.S.10. • Futures  Refers to transactions hedged with futures contracts. • Other  Refers to all other methods of hedging. • Unhedged  Refers to positions that are not economically hedged with another instrument or transaction.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to unsecured placements of the domestic currency between eligible domestic institutions made in the wholesale inter-bank or inter-dealer broker market. (e.g., fed funds11 sold, domestic sterling sold, domestic euro, domestic yen).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to unsecured placements of the domestic currency outside of the onshore market, but still placed through the wholesale inter-bank or inter-dealer broker market (e.g., Eurodollars, EuroSterling, EuroYen, EuroEuro).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the minimum balances held at other financial counterparties necessary to maintain ongoing operational activities, such as clearing and settlement. These balances may not be mandated by the counterparty, but could include, for example, a minimum balance maintained by the reporting entity to avoid intraday or end-of-day overdraft fees.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to balances placed at other financial counterparties not reported in I.U.3.Required Operational Balances. If a reporting entity cannot reasonably identify excess balances, do not report any balance as excess and report the entire balance in I.U.3: Required Operational Balances.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the existing loan arising from the drawn portion of any unsecured revolving facility (e.g., a general working capital facility) extended by the reporting entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all other unsecured loans not otherwise included in I.U products. Include any subordinated lending to affiliates that do not fall within the reporting entity’s scope of consolidation. Use the comments table to provide a general description of other loans included in this product on at least a monthly basis and in the event of a material change in reported values. 11 See: http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html for definition.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to (1) checks or drafts in process of collection that are drawn on another depository institution (or a Federal Reserve Bank) and that are payable immediately upon presentation in the country where the covered company’s office that is clearing or collecting the check or draft is located, including checks or drafts drawn on other institutions that have already been forwarded for collection but for which the reporting entity has not yet been given credit (known as cash letters), and checks or drafts on hand that will be presented for payment or forwarded for collection on the following business day; (2) government checks drawn on the Treasury of the United States or any other government agency that are payable immediately upon presentation and that are in process of collection; and (3) such other items in process of collection that are payable immediately upon presentation and that are customarily cleared or collected as cash items by depository institutions in the country where the covered company’s office which is clearing or collecting the item is located.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to balances, including, but not limited to time deposits, that are held as short-term investments (e.g., reported in schedule HC-B on the FR Y-9C) at external financial counterparties.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

For purposes of this report, the term "Transactional Accounts" includes demand deposits as defined under Regulation D 12 CFR section 204 (Reserve Requirements of Depository Institutions); however this product only includes demand deposits placed by Retail and Small Business customers.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all other deposit balances, excluding those reported under O.D.9: Stable Affiliated Sweep Account Balances, that are held at the reporting entity by a customer or counterparty as a result of a contractual feature that automatically transfers to the reporting entity from an affiliated financial company at the close of each business day amounts identified under the agreement governing the account from which the amount is being transferred. Note: This includes sweep balances that fall under a primary purpose exemption and are not reported as brokered for Call Report purposes.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to a deposit held at the reporting entity by a customer or counterparty through a contractual feature that automatically transfers to the reporting entity from an unaffiliated financial company at the close of each business day amounts identified under the agreement governing the account from which the amount is being transferred. These accounts involve ongoing activity, rather than one deposit transaction.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to balances swept from deposit accounts into other products (e.g., CP, Fed Funds, Repo), including other deposit products at the same reporting entity. These balances should also be reported under the product that corresponds with the reporting entity’s close-of-business liability.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to any deposit held at the reporting entity that is obtained, directly or indirectly, from or through the mediation or assistance of a deposit broker as that term is defined in section 29 of the Federal Deposit Insurance Act (12 U.S.C. 1831f(g)), where the deposits are received through a deposit placement network on a reciprocal basis, such that: (1) for any deposit received, the reporting entity (as agent for depositors) places the same amount with other insured depository institutions through the network; and (2) each member of the network sets the interest rate to be paid on the entire amount of funds it places with other network members.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to deposit accounts that are placed by a third party on behalf of counterparties that do not otherwise meet the definitions of O.D.8 through O.D.12. Use the comments table to provide a general description of deposits included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to other deposit accounts that do not meet any of the definitions outlined above. Examples include but are not limited to cashier’s checks, money orders, other official checks, merchant credits, and lock box. Notify the supervisory team of any balance reported in this category. Use the comments table to provide a general description of other deposits included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to Retail and Small Business deposits in accounts that are not transactional accounts under O.D.1, but where the underlying depositors have other established relationships with the reporting entity such as another deposit account, a loan, bill payment services, or any similar service or product provided to the depositor that the reporting entity has demonstrated to the satisfaction of the supervisory team would make deposit withdrawal highly unlikely during a liquidity stress event. Do not report brokered, sweep or reciprocal deposits using this product, as they should be reported using products O.D.8 through O.D.13.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to Retail and Small Business deposits in accounts that are not transactional accounts under O.D.1 where the underlying depositors do not have other established relationships with the reporting entity that would otherwise make deposit withdrawal highly unlikely. Do not report brokered, sweep or reciprocal deposits using this product, as they should be reported using products O.D.8 through O.D.13.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to deposits from counterparties that are not Retail or Small Business customers that are operational deposits as defined in the LRM Standards, except operational escrow deposits reported under product O.D.7: Operational Escrow Accounts.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to deposits from counterparties that are not Retail or Small Business customers that are excluded from the reporting entity’s operational deposit amount based on the reporting entity’s methodology for identifying excess balances pursuant to section 249.4(b)(5). These balances must be in accounts that meet all other provisions of section 249.4(b).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all deposits balances from counterparties that are not Retail or Small Business customers where the underlying account does not meet the criteria for operational deposits (i.e., exclude excess balances in operational accounts, reported under O.D.5).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to deposits from counterparties that are operational deposits as defined in the LRM Standards in the form of operational escrow deposits. Operational escrow deposits refers to an account that a designated third party (e.g., a servicer) establishes or controls on behalf of another party to process transactions such as the payment of taxes, insurance premiums (including flood insurance), or other charges with respect to a loan or transaction, including charges that the borrower and servicer have voluntarily agreed that the servicer should collect and pay. The definition encompasses any account established for this purpose, including a "trust account", "reserve account", "impound account", or other term in different localities. With respect to, e.g., mortgage escrow accounts, an "escrow account" includes any arrangement where the servicer adds a portion of the borrower's payments to principal and subsequently deducts from principal the disbursements for escrow account items. For purposes of this section, the term "escrow account" excludes any account that is under the servicer's total control (e.g., payments collected by depository institution secured by real estate and other loans serviced for others that have not yet been remitted to owners of the loans)

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to any deposit held at the reporting entity that is obtained, directly or indirectly, from or through the mediation or assistance of a deposit broker as that term is defined in section 29 of the Federal Deposit Insurance Act (12 U.S.C. 1831f(g)), not including a reciprocal brokered deposit or a sweep account. This definition does not include wholesale negotiable CDs (see O.W.16), listing service deposits, where the only function of a deposit listing service is to provide information on the availability and terms of accounts, unless they were obtained from a deposit broker.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to stable deposit balances held at the reporting entity by a customer or counterparty through a contractual feature that automatically transfers to the reporting entity from an affiliated financial company at the close of each business day amounts identified under the agreement governing the account from which the amount is being transferred. To qualify as stable, the deposit balance must satisfy the requirement in section 104(b)(2)(iii) of the LRM Standards. Note: This includes sweep balances that fall under a primary purpose exemption and are not reported as brokered for Call Report purposes.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the maturing outgoing cash flows related to uncollateralized derivatives (e.g., interest rate, equity, commodity, and option premiums). Report contractually known payables for fixed and floating rate payables. If a floating rate has not been set, report the undiscounted anticipated cash flow by maturity. Do not include brokerage commission fees, exchange fees, or cash flows from unexercised in the money options. Netting receivables and payables by counterparty and maturity date is allowed if a valid netting agreement is in place, allowing for the net settlement of contractual flows. Do not include payables related to the exchange of principal amounts for foreign exchange transactions, as these should be reported in the Supplemental-Foreign Exchange table under products S.FX.1 through S.FX.3.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the total fair value of the collateral over which the reporting entity would lose rehypothecation rights due to a 2 notch credit rating downgrade.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total fair value of the collateral over which the reporting entity would lose rehypothecation rights due to a 3 notch credit rating downgrade.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total fair value of the collateral over which the reporting entity would lose rehypothecation rights due to a change in financial condition, which includes a downgrade of the reporting entity’s rating up to but not including default.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total cumulative fair value of additional collateral the reporting entity’s counterparties will require the reporting entity to post as a result of a 1- notch credit rating downgrade. Report figures based on contractual commitments. Collateral required includes, but is not limited to, collateral called from OTC derivative transactions and exchanges. Include outflows due to additional termination events, but do not include inflows from netting sets that are in a net receivable position. Do not double count balances reported in O.O.9.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total cumulative fair value of additional collateral the reporting entity’s counterparties will require the reporting entity to post as a result of a 2- notch credit rating downgrade. Report figures based on contractual commitments. Collateral required includes, but is not limited to, collateral called from OTC derivative transactions and exchanges. Include outflows due to additional termination events, but do not include inflows from netting sets that are in a net receivable position. Do not double count balances reported in O.O.10.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total cumulative fair value of additional collateral the reporting entity’s counterparties will require the reporting entity to post as a result of a 3- notch credit rating downgrade. Report figures based on contractual commitments. Collateral required includes, but is not limited to, collateral called from OTC derivative transactions and exchanges. Include outflows due to additional termination events, but do not include inflows from netting sets that are in a net receivable position. Do not double count balances reported in O.O.11.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total cumulative fair value of additional collateral the reporting entity’s counterparties will require the reporting entity to post as a result of a change in the reporting entity’s financial condition, which includes a downgrade of the reporting entity’s rating up to but not including default. Report figures based on contractual commitments. Collateral required includes, but is not limited to, collateral called from OTC derivative transactions and exchanges. Include outflows due to additional termination events, but do not include inflows from netting sets that are in a net receivable position. Do not double count balances reported in O.O.12.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total capacity of the reporting entity’s customer to generate funding for additional purchases or short sales of securities (i.e., the reporting entity’s obligation to fund client positions) for the following day based on the net equity in the customer’s margin account. This capacity can generally be revoked or reduced on demand (i.e., uncommitted).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to any unfunded contractual commitment to lend to a brokerage customer on margin for a specified duration greater than one day. Report the minimum contractually committed term that would be in effect upon a customer draw from the margin facility using the O.O.[Maturity Bucket] field.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to interest and dividends contractually payable on the reporting entity’s liabilities and equity. For equity dividends, report a [Collateral Class] of “Y-4”. Do not include payables related to unsecured derivative transactions, which should be reported under product O.O.1: Derivatives Payables and which should be included in the calculation of O.O.20: Net 30-day Derivative Payables. Under circumstances where the interest and dividend payments receivable are uncertain (e.g., floating rate payment has not yet been set), forecast payables for a minimum of 30 calendar days beyond the as-of date (T). Exclude interest payable on Covered Federal Reserve Facility Funding.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the fair value of collateral due to the reporting entity’s counterparties that has been called as of date T (i.e., the collateral flow). This product does not represent the entire stock of collateral posted. Collateral called for delivery should be related to the outstanding collateralized contracts which include, but are not limited to, derivative transactions with bilateral counterparties, central counterparties, or exchanges. Use the Maturity Bucket field to identify the expected settlement date. For collateral calls with same-day settlement (i.e., the collateral is both called and received on the as-of date T), report using the “Open” value in the Maturity Bucket field.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the net derivative cash outflow amount, as set forth in the LRM Standards.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to any incremental potential outflows under 32(b) of the LRM Standards related to structured transactions sponsored but not consolidated by the reporting entity that are not otherwise reported in O.O.4 or O.O.5.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to any other material cash outflows not reported in any other line that can impact the liquidity of the reporting entity. Do not report ‘business as usual’ expenses such as rents, salaries, utilities and other similar payments. Include cash needs that arise out of an extra- ordinary situation (e.g., a significant cash flow needed to address a legal suit settlement or pending transaction). Use the comments table to provide a general description of other cash outflows included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all purchases of TBA contracts for market making or liquidity providing. Do not include TBA purchases which are part of a Dollar Roll, as defined under products I.S.3 or O.S.3.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to committed credit facilities, as defined in the LRM Standards. Do not include committed liquidity facilities, as defined in the LRM Standards, which should be reported using product O.O.5: Liquidity Facility or O.O.18: Unfunded Term Margin. Do not include excess margin, which should be reported using product O.O.17: Excess Margin, or retail mortgage commitments, which should be reported using product O.O.6: Retail Mortgage Commitments. Use the O.O.[Maturity Bucket] field to indicate the earliest date the commitment could be drawn. Use the O.O.[Counterparty] field to distinguish between facilities to different counterparties: • Retail • Small Business • Non-Financial Corporate • Sovereign • Central Bank • GSE • PSE • MDB • Other Supranational • Pension Fund • Bank • Broker-Dealer • Investment Company or Advisor • Financial Market Utility • Other Supervised Non-Bank Financial Entity • Debt Issuing SPE • Non-Regulated Fund • Other

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to committed liquidity facilities, as defined in the LRM Standards; however, exclude unfunded term margin, which should be reported under O.O.18: Unfunded Term Margin. If facilities have aspects of both credit and liquidity facilities, the facility must be classified as a liquidity facility. Use the O.O.[Maturity Bucket] field to indicate the earliest date the commitment could be drawn. Use the O.O.[Counterparty] field to distinguish between facilities to different counterparties: • Retail • Small Business • Non-Financial Corporate • Sovereign • Central Bank • GSE • PSE, except Municipalities for VRDN structures • MDB • Other Supranational • Pension Fund • Bank • Broker-Dealer • Investment Company or Advisor • Financial Market Utility • Other Supervised Non-Bank Financial Entity • Debt Issuing SPE • Non-Regulated Fund • Municipalities for VRDN structures Includes standby purchase agreements that backstop remarketing o obligations, as well as direct-pay LOCs that provide credit enhancement. If a VRDN is not supported by an SBPA or LOC, then the remarketing obligation should also be considered as a liquidity facility under this product. • Other

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to contractual commitments made by the reporting entity to originate retail mortgages. Use the O.O.[Maturity Bucket] field to indicate the earliest date the commitment could be drawn.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to documentary trade letters of credit, documentary and clean collection, import bills and export bills, and guarantees directly related to trade finance obligations, such as shipping guarantees. Lending commitments, such as direct import or export financing for non-financial firms, should be included in O.O.4: Credit Facilities and O.O.5: Liquidity Facilities, as appropriate.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the absolute value of the largest 30-consecutive calendar day cumulative net mark-to- market collateral outflow or inflow realized during the preceding 24 months resulting from derivative transaction valuation changes, as set forth in the LRM Standards. The cumulative collateral outflow or inflow should be measured on a portfolio basis, which should include both 3rd party and affiliated transactions (for subsidiary reporting entities) that are external to the reporting entity’s scope of consolidation. However, as this product should be measured on a portfolio basis, the [Internal] and [Internal Counterparty] flags should not be used. The absolute amount should be determined across all currencies and reported in USD.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the total fair value of the collateral over which the reporting entity would lose rehypothecation rights due to a 1 notch credit rating downgrade.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all repurchase agreements (including under Master Repurchase Agreements or Global Master Repurchase Agreements).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to a total return swaps that are not booked in client accounts, where the reporting entity is economically long the underlying reference asset and the counterparty is economically short. Use the [Maturity Bucket] to designate the earliest date a transaction could be unwound or terminated. Use the [Collateral Class] field to designate the reference asset of the transaction. Use the following [Sub-Product] values to designate how the position is “covered” (i.e., hedged): • Firm Short  Refers to transactions where the associated hedge is a short sale by the reporting entity of the physical security (i.e., transactions reportable under O.S.8, excluding those with a [Sub-Product] of “Firm Longs”. • Synthetic Customer Long  Refers to transactions hedged with a customer’s synthetic long position reported in I.S. 9. • Synthetic Firm Sourcing  Refers to transactions where the associated hedge meets the definition of I.S.10. • Futures  Refers to transactions hedged with futures contracts. • Other  Refers to all other methods of hedging. • Unhedged  Refers to positions that are not economically hedged with another instrument or transaction.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all other secured financing transactions that do not otherwise meet the definitions of Outflows-Secured products listed above, and for which rehypothecation rights over the collateral pledged are conferred to the reporting entity’s counterparty. Use the comments table to provide a general description of other secured financing transactions included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to all securities lending transactions (including under Master Securities Loan Agreements).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to transactions using TBA contracts with the intent of financing a security or pool of collateral. Report transactions where the reporting entity has agreed to sell the TBA contract and buy it back at a later date.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to transactions where non-cash assets are exchanged (e.g., collateral upgrade/downgrade trades) at the inception14 of the transaction, or a non-cash asset is lent and no collateral is received (i.e., an unsecured loan of collateral), and the assets will be returned at a future date. For collateral swaps where non-cash assets are exchanged, split the collateral swap into two separate lending and borrowing transactions and report in both the Outflows-Secured and 14 Collateral swap transactions that are remargined with cash payments should continue to be reported under this product. Inflows-Secured tables. O.S.4 should be reported based on the collateral pledged. Report the [Collateral Class] according to the assets pledged. Report the fair value of these assets pledged in the [Collateral Value] field. Report the fair value of assets received in the [Maturity Amount] field. Use the [Sub-Product] field to identify the type of collateral received based on the asset categories defined in the LRM Standards: • Level 1 Received • Level 2a Received • Level 2b Received • Non-HQLA Received • No Collateral Received For collateral swaps where a non-cash asset is lent, report the [Collateral Class] according to the assets pledged and report the fair value of these assets pledged in the [Collateral Value] field.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to outstanding secured funding sourced from the FHLBs. The amount borrowed and the fair value of collateral pledged to secure the borrowing should not be included under product I.A.2: Capacity with [Counterparty] field set to “GSE”.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to outstanding secured funding from central banks for exceptional central bank operations. Do not include transactions related to normal open market operations, which should be reported based on the transaction type (e.g., O.S.1: Repo) with the [Counterparty] field set to “Central Bank”. The amount borrowed and the fair value of collateral pledged to secure the borrowing should not be included under product I.A.2: Capacity. Use the [Sub-Product] field to further identify the specific source of secured funding provided according to the following groupings: • FRB (Federal Reserve Bank) • SNB (Swiss National Bank) • BOE (Bank of England) • ECB (European Central Bank) • BOJ (Bank of Japan) • RBA (Reserve Bank of Australia) • BOC (Bank of Canada) • OCB (Other Central Bank) • FRFF (Covered Federal Reserve Facility Funding)

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to a transaction where the reporting entity’s customer sells a physical security it does not own, and the entity subsequently obtains the same security from an internal or external source to make delivery into the sale. External refers to a transaction with a counterparty that falls outside the scope of consolidation for the reporting entity. Internal refers to securities sourced from within the scope of consolidation of the reporting entity. Use the [Sub-Product] field to further identify the appropriate source for delivery into the sale according to the following categories: • External Cash Transactions  Refers to securities sourced through a securities borrowing, reverse repo, or like transaction in exchange for cash collateral. • External Non-Cash Transactions  Refers to securities sourced through a collateral swap or like transaction in exchange for non-cash collateral. • Firm Longs  Refers to securities sourced internally from the reporting entity’s own inventory of collateral where the sale does not coincide with an offsetting performance-based swap derivative. • Customer Longs  Refers to securities sourced internally from collateral held in customer accounts at the reporting entity. • Unsettled - Regular Way  Refers to sales that meet the definition of regular-way securities trades under GAAP, that have been executed, but not yet settled and therefore have not been covered. Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities sold. Report failed settlements with a [Forward Start Bucket] value of “Open”. • Unsettled - Forward Refers to sales that do not meet the definition of regular-way securities trades, that have been executed, but not yet settled and therefore have not been covered. Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities sold. Report failed settlements with a [Forward Start Bucket] value of “Open”. Note that the [Sub-Product] designation may differ between the Consolidated Firm reporting entity and a subsidiary reporting entity if the collateral delivered into the short is sourced from, for example, an affiliate’s long inventory. For the subsidiary reporting entity, collateral sourced from an affiliate should be represented as sourced from an external transaction; however for the consolidated firm, this would be represented as sourced from a “Firm Long” position.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to a transaction where the reporting entity sells a security it does not own, and the entity subsequently obtains the same security from an internal or external source to make delivery into the sale. External refers to a transaction with a counterparty that falls outside the scope of consolidation for the reporting entity. Internal refers to securities sourced from within the scope of consolidation of the reporting entity. Use the [Sub-Product] field to further identify the appropriate source for delivery into the sale according to the following categories: • External Cash Transactions  Refers to securities sourced through a securities borrowing, reverse repo, or like transaction in exchange for cash collateral. • External Non-Cash Transactions  Refers to securities sourced through a collateral swap or like transaction in exchange for non-cash collateral. • Firm Longs  Refers to securities sourced internally from the reporting entity’s own inventory of collateral where the sale does not coincide with an offsetting performance-based swap derivative. • Customer Longs  Refers to securities sourced internally from collateral held in customer accounts at the reporting entity. • Unsettled - Regular Way  Refers to sales that meet the definition of regular-way securities trades under GAAP, that have been executed, but not yet settled and therefore have not been covered. Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities sold. Report failed settlements with a [Forward Start Bucket] value of “Open”. • Unsettled - Forward  Refers to sales that do not meet the definition of regular-way securities trades, that have been executed, but not yet settled and therefore have not been covered. These transactions should also be included in the calculation of products I.O.7: Net 30-day Derivative Receivables and O.O.20: Net 30-day Derivative Payables. Use the [Forward Start Amount] and [Forward Start Bucket] fields to indicate the settlement amount and settlement date of the securities sold. Report failed settlements with a [Forward Start Bucket] value of “Open”. Note that the [Sub-Product] designation may differ between the Consolidated Firm reporting entity and a subsidiary reporting entity if the collateral delivered into the short is sourced from, for example, an affiliate’s long inventory. For the subsidiary reporting entity, collateral sourced from an affiliate should be represented as sourced from an external transaction; however for the consolidated firm, this would be represented as sourced from a “Firm Long” position.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to total return swaps booked in client accounts, where the reporting entity is economically long the underlying reference asset and the client is economically short. Use the [Maturity Bucket] to designate the earliest date a transaction could be unwound or terminated. Use the [Collateral Class] field to designate the reference asset of the transaction. Use the following [Sub-Product] values to designate how the position is “covered” (i.e., hedged): • Firm Short  Refers to transactions where the associated hedge is a short sale by the reporting entity of the physical security (i.e., transactions reportable under O.S.8, excluding those with a [Sub-Product] of “Firm Longs”. • Synthetic Customer Long  Refers to transactions where the customer synthetic short is hedged with another customer’s synthetic long position reported in I.S.9. • Synthetic Firm Sourcing  Refers to transactions where the associated hedge meets the definition of I.S.10. • Futures  Refers to transactions hedged with futures contracts. • Other  Refers to all other methods of hedging. • Unhedged  Refers to positions that are not economically hedged with another instrument or transaction.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to unsecured borrowing of the domestic currency outside of the onshore market, but still placed through the inter-bank or inter-dealer broker market (e.g., Eurodollars, EuroSterling, EuroYen, EuroEuro).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to debt issuances with original maturity greater than one year, including plain vanilla floating rate notes linked to standard interest rate indexes and plain vanilla benchmark issuances with standard embedded options (i.e., call/put). Include instruments classified as long-term debt under GAAP. Include subordinated debt issued to affiliates that fall outside the reporting entity’s scope of consolidation. Do not include perpetual preferred stock.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to debt instruments with original maturity greater than one year whose principal or interest payments are linked to an underlying asset (e.g., commodity linked notes, equity linked notes, reverse convertible notes, currency linked notes). Include instruments classified as long term debt under GAAP accounting rules that also meet the structured description set forth in this product. Do not include perpetual preferred stock.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to debt issuances with an explicit guarantee from a sovereign entity or central bank (e.g., TLGP).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to issuances of unsecured debt with original maturities less than a year, including promissory notes and bank notes, but excluding the other forms of unsecured financing defined elsewhere, and excluding all deposits as defined in the Outflows-Deposits section.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to debt instruments with original maturity less than one year whose principal or interest payments are linked to an underlying asset (e.g., commodity linked notes, equity linked notes, reverse convertible notes, currency linked notes).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to certificates of deposits greater than $250,000 issued to counterparties that are not Retail or Small Business where the certificates of deposit are tradable, negotiable, and typically settle at DTCC.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the outstanding amount of funds borrowed or drawn from a committed facility provided by another institution.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to liabilities of a broker or dealer to customers, excluding payables related to customer short positions. Do not net against Lock-up Balances.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to other forms of unsecured financing that are not captured above. Notify the supervisory team of products reported in this category. Use the comments table to provide a general description of other unsecured financing included in this product on at least a monthly basis and in the event of a material change in reported values.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to (i) all other asset-backed financing arrangements that make use of conduits; and (ii) all other issuances backed by a lien on an underlying asset or pool of collateral where rights of rehypothecation over the collateral are not conferred to the investor or counterparty. Unsecured Funding General Guidance: For products that generate unsecured funding, report the contractual liabilities based on the remaining maturity of the issuance. Do not record book/fair value. To the extent that the interest payable on structured instruments is realized through increases or decreases in the principal balance, this interest/return should be aggregated with the principal maturity amount of the associated product. For debt instruments issued at a discount, report the final maturity obligation under the [Maturity Amount] field, and not under product O.O.19: Interest & Dividends Payable. For all other periodic interest payments report those under product O.O.19 Interest & Dividends Payable. The following list outlines the unsecured products to be reported in the Outflows-Wholesale table:

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to unsecured borrowing of the domestic currency between eligible domestic institutions made in the wholesale inter-bank or inter-dealer broker market. (e.g., fed funds13 purchased, domestic sterling purchased, domestic euro, domestic yen). 13 For FRBNY definition, see: http://www.newyorkfed.org/aboutthefed/fedpoint/fed15.html Onshore borrowing must satisfy the following criteria: (1) the currency denomination of the transaction is matched with the jurisdiction in which the transaction is booked; and (2) the transacting entities (i.e., the legal entities party to the transaction) are both domiciled in the same jurisdiction.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, reporting_entity.

Refers to the carrying value of regulatory capital, as defined in section 3 of the LRM Standards, excluding capital instruments already reported in the O.W table.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to all other liabilities not otherwise captured under other FR 2052a balance sheet products, including intangible liabilities.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to assets that are past due by more than 90 days or non-accrual.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to all other assets not otherwise captured under other FR 2052a balance sheet products, including intangible, life insurance and deferred tax assets.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the value of offsetting of payables and receivables with a single counterparty permissible under section 102 of the LRM Standards that are otherwise reported on a gross basis for the purpose of the FR 2052a. This offsetting value must be represented as a negative number and reported twice to reflect the adjustments to both asset and liability values. For Category I firms, this product must be reported for each as-of date according to the Frequency and Timing of Data Submission section of the General Instructions.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to all other adjustments to the value of FR 2052a balance sheet products necessary to arrive at the carrying value consistent with section 102 of the LRM Standards. These adjustments may be represented as positive or negative numbers depending on whether they correspond to increases (positive) or decreases (negative) to the asset or liability balance sheet product values represented elsewhere in the Inflows, Outflows or Supplemental sections of the FR 2052a report. Carrying value adjustments may include cases: • where the amount reported under an FR 2052a balance sheet product represents the undiscounted cash value, but the carrying value should reflect the fair value of the exposure; • where the amount reported under an FR 2052a balance sheet product represents the fair or market value, but the carrying value should reflect the historical book or amortized cost value; • where the scope of exposures reportable for an FR 2052a balance sheet product exceeds the scope of exposures applicable under section 102 of the LRM Standards.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the aggregate value of derivative transactions not subject to qualifying master netting agreements that are assets and the net value of derivative transactions within qualifying master netting agreements where the netting sets are assets. In both cases, the asset amount must be calculated as if no variation margin had been exchanged.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has received (total stock by applicable [Collateral Class]) from its counterparties as variation margin against both house and customer positions. Exclude variation margin received on outstanding contracts in the form of settlement payments, which must be reported under S.DC.4. Use the [Netting Eligible] field to identify the value of collateral that meets the criteria referenced in section 107(f)(1) of the LRM Standards.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the reporting entity’s contributions to a central counterparty’s mutualized loss sharing arrangement, where the reporting entity’s clearing activity with the central counterparty includes derivative transactions. Report the fair value of assets contributed, regardless of whether the contribution is included on the reporting entity’s balance sheet.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the reporting entity’s asset pledges (e.g., in the form of initial margin) and contributions to a central counterparty’s mutualized loss sharing arrangement, where the reporting entity’s clearing and/or settlement activity with the central counterparty does not include derivative transactions. Report the fair value of assets contributed, regardless of whether the contribution is included on the reporting entity’s balance sheet.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral called by the reporting entity’s counterparties that the reporting entity has yet to deliver due to a dispute. Disputes include, but are not limited to, valuation of derivative contracts. If the total amount that would have been reported related to distinct disputes over the previous year for products S.DC.13 and S.DC.14 is less than $500 million, the reporting firm need not report this product.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has called from its counterparties, but has not yet received due to a dispute. Disputes include, but are not limited to, valuation of derivative contracts. If the total amount that would have been reported related to distinct disputes over the previous year for products S.DC.13 and S.DC.14 is less than $500 million, the reporting firm need not report this product.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of unsegregated collateral that the reporting entity may be required by contract to return to a counterparty because the collateral currently held by the reporting entity exceeds the counterparty’s current collateral requirements under the governing contract.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity is contractually obligated to post to a counterparty, but has not yet posted as it has not yet been called by the reporting entity’s counterparty.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity could call for or otherwise reclaim under legal documentation, but has not yet been called. U.S. firms that are identified as Category III banking organizations with average weighted short-term wholesale funding of less than $75 billion; U.S. firms that are identified as Category IV banking organizations; FBOs that are identified as Category III foreign banking organizations with average weighted short-term wholesale funding of less than $75 billion; and FBOs that are identified as Category IV foreign banking organizations have the option of not reporting this product.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the potential funding risk arising from the reporting entity’s derivative counterparties having the contractual ability to substitute collateral with higher liquidity value currently held by the reporting entity with collateral of lower liquidity value or collateral that the reporting entity cannot monetize either due to liquidity or operational constraints. Report only a single value in USD per reporting entity, representing the difference between the fair value of the collateral held and the fair value of collateral that could be received, after applying the haircut factors prescribed in the LRM Standards.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the potential funding capacity arising from the reporting entity’s contractual ability to substitute collateral with higher liquidity value currently posted to a derivatives counterparty with collateral of lower liquidity value. Report only a single value in USD per reporting entity, representing the difference between the fair value of the collateral held and the fair value of the collateral that could be posted, after applying the haircut factors prescribed in the LRM Standards. U.S. firms that are identified as Category III banking organizations with average weighted short-term wholesale funding of less than $75 billion; U.S. firms that are identified as Category IV banking organizations; FBOs that are identified as Category III foreign banking organizations with average weighted short-term wholesale funding of less than $75 billion; and FBOs that are identified as Category IV foreign banking organizations have the option of not reporting this product.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the aggregate value of derivative transactions not subject to qualifying master netting agreements that are liabilities and the net value of derivative transactions within qualifying master netting agreements where the netting sets are liabilities. In both cases, the liability amount must be calculated as if no variation margin had been exchanged.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the potential funding risk arising from the reporting entity’s counterparties of non- derivative transactions having the contractual ability to substitute collateral with higher liquidity value currently held by the reporting entity with collateral of lower liquidity value or collateral that the reporting entity cannot monetize either due to liquidity or operational constraints. Report only a single value in USD per reporting entity, representing the difference between the fair value of the collateral held and the fair value of collateral that could be received, after applying the haircut factors prescribed in the LRM Standards.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the potential funding capacity arising from the reporting entity’s contractual ability to substitute collateral with higher liquidity value currently posted to a counterparty of a non- derivative transaction with collateral of lower liquidity value. In calculating substitution capacity, include in scope only settled funding transactions (i.e., excluding forward-starting transactions) that have a residual maturity of greater than 30 days where the reporting entity has the contractual right to substitute assets pledged. The value reported should also be limited based upon the value of collateral a reporting entity currently holds and could substitute into the transaction on the reporting date. Specifically, a reporting entity must use the “Open” (day 0) maturity bucket to designate the value of substitution capacity limited by assets eligible for substitution that are currently owned outright and held unencumbered (i.e., the assets would be reported in I.A.1 or I.A.2). Additionally, a reporting entity must disclose capacity based upon assets eligible for substitution that are owned outright and currently encumbered, but will become unencumbered on the first good business day following the current reporting date. This additional capacity should be reported using the maturity bucket that corresponds to the calendar day when the assets eligible for substitution would become unencumbered. Report only values in USD, representing the difference between the fair value of the collateral held and the fair value of the collateral that could be posted, after applying the haircut factors prescribed in the LRM Standards. U.S. firms that are identified as Category III banking organizations with average weighted short-term wholesale funding of less than $75 billion; U.S. firms that are identified as Category IV banking organizations; FBOs that are identified as Category III foreign banking organizations with average weighted short-term wholesale funding of less than $75 billion; and FBOs that are identified as Category IV foreign banking organizations have the option of not reporting this product.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the cumulative value of payments delivered as variation margin on outstanding derivative contracts for the purpose of settling a change in the market value of the contract (e.g., “settled-to-market” derivatives).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the cumulative value of payments received as variation margin on outstanding derivative contracts for the purpose of settling a change in the market value of the contract (e.g., “settled-to-market” derivatives).

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has posted (total stock by applicable [Collateral Class]) to its counterparties as initial margin on its own proprietary derivatives positions. Include any independent amount pledged that must be maintained by contract, where the independent amount pledged does not also serve as variation margin by offsetting a derivative liability as-of the reporting date.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has posted (total stock by applicable [Collateral Class]) to its counterparties as initial margin on behalf of customers. Include initial margin related to customer transactions to which the reporting entity is acting as either principal or agent. Use the [Sub-Product 2] field to distinguish initial margin posted where the reporting entity is acting as agent and does not guarantee the performance of the counterparty to its customer from all other initial margin posted on behalf of customers.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has received (total stock by applicable [Collateral Class]) from its counterparties as initial margin against both house and customer positions. Include any independent amount received that must be maintained by contract, where the independent amount received does not also serve as variation margin by offsetting a derivative asset as-of the reporting date. Use the [Sub-Product 2] field to distinguish initial margin received from customers where the reporting entity is acting as agent and does not guarantee the performance of the counterparty to its customer from all other initial margin received from customers.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has posted (total stock by applicable [Collateral Class]) to its counterparties as variation margin on its own proprietary derivatives positions. Exclude variation margin delivered on outstanding contracts in the form of settlement payments, which must be reported under S.DC.3.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to the fair value of collateral that the reporting entity has posted (total stock by applicable [Collateral Class]) to its counterparties as variation margin on behalf of customers. Include variation margin related to customer transactions to which the reporting entity is acting as either principal or agent. Use the [Sub-Product 2] field to distinguish variation margin posted where the reporting entity is acting as agent and does not guarantee the performance of the counterparty to its customer from all other variation margin posted on behalf of customers.

Applicable fields: product, sub_product, counterparty, maturity_bucket, currency, market_value, notional_value, reporting_entity.

Refers to single outright transaction involving the exchange of one currency for another at an agreed upon rate with immediate delivery according to local market convention (usually two business days). Report both the receivable and payable sides of the transaction.

Applicable fields: product, currency_pair, maturity_bucket, notional_value, market_value, reporting_entity.

Refers to transactions involving the physical exchange of two currencies at a rate agreed upon on the date of the contract for delivery at least two business days in the future or later. Refers to both forward outright transactions (e.g., bespoke bilateral contracts) and standardized futures contracts (i.e., exchange traded).

Applicable fields: product, currency_pair, maturity_bucket, notional_value, market_value, reporting_entity.

Refers to transactions involving the exchange of two currencies on a specific date at a rate agreed at the time of the conclusion of the contract (e.g., the “near” leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate applied to the near leg) agreed at the time of the contract (e.g., the “far” leg). This product includes but is not limited to both FX forward swaps that involve only the exchange of notional currency values at the near leg and far leg settlement dates, and cross-currency swaps that involve both the exchange of notional currency values and periodic payments of interest over the life of the swap transaction. Use the “Near” fields (i.e., [Forward Start Amount Currency 1], [Forward Start Amount Currency 2] and [Forward Start Maturity Bucket]) to report the near leg of the transaction, and the “Maturity Amount” fields (i.e., [Maturity Amount Currency 1], [Maturity Amount Currency 2] and [Maturity Bucket]) to report the far leg of the transaction. When reporting transactions for which the near leg has already settled, do not report a value in the [Forward Start Maturity Bucket] field, but continue to report the original currency settlement values for the short leg in the “Near Amount” fields. For swaptions where the final maturity date is dependent on the exercise date (e.g., American- style or Bermuda-style), indicate the earliest possible exercise date in the [Forward Start Maturity Bucket] field, and report the final maturity in the [Maturity Bucket] field assuming the option is exercised at the earliest possible date. Appendix I: FR 2052a Data Format, Tables, and Fields Layout of the Data Collection The technical architecture for the data collection of the FR 2052a report subdivides the three general categories of inflows, outflows, and supplemental items into 13 distinct data tables and includes a mechanism for tracking comments, as displayed in the diagram below. These tables are designed to stratify the assets, liabilities, and supplemental components of a firm’s liquidity risk profile based on common data structures, while still maintaining a coherent framework for liquidity risk reporting. Diagram 1 – FR 2052a Tables and Information Hierarchy Inflows Outflows Supplemental Derivatives & Collateral Assets Deposits Liquidity Risk Measurement Unsecured Wholesale Balance Sheet Informational Secured Secured Foreign exchange Other inflows Other outflows Comments The FR 2052a Data Element Each table is comprised of a set of fields (i.e., columns) that define the requisite level of aggregation or granularity for each data element (i.e., row, or record)15. The FR 2052a framework is a “flat” or tabular structure with predefined columns and an unconstrained number of rows. The volume of data elements reported should therefore change dynamically as the size and complexity of the reporting firm’s funding profile changes. 15 Appendix I details the structure of each table. This instruction document uses the term data element to describe a unique combination of non-numeric field values in a FR 2052a table, or in other words, a unique record in one of the FR 2052a tables. Numeric values (e.g., contractual cash flow amounts, market values, lendable values, etc.) are expected to be aggregated across the unique combinations of all other fields in each FR 2052a table. • All notional currency-denominated values should be reported in millions of that currency (e.g., U.S. dollar-denominated transactions in USD millions, sterling- denominated transactions in GBP millions, etc.) • Example: The holding company has four outstanding issuances of plain vanilla long-term debt: 500mm USD-denominated bond maturing in 4 years and 6 months, o 1,000mm USD-denominated bond maturing in 5 years, o 2,000mm GBP-denominated bond maturing in 10 years, and o 250mm GBP-denominated bond maturing in 1 year and 6 months. o • Assume the USD-denominated liabilities are issued in New York, while the GBP- denominated liabilities are issued in London, and all three issuances qualify as TLAC. In this case, the two USD-denominated bonds should be summed up and reported as a single FR 2052a data element, as they exhibit the same values in all non-numeric fields (note that although the maturities are different, they both fall within the “>4 years <=5 years” maturity bucket). The two GBP issuances, however should not be aggregated, as they fall in separate and distinct maturity buckets (“>1 year <= 2 years” versus “> 5 years”). Table 2 below illustrates how these three data elements should be reported in the FR 2052a O.W (Outflows-Wholesale) table. Table 2 – Example: data element aggregation • Note: additional examples are included in the field and product definition sections of this document to illustrate the standard for aggregating and reporting FR 2052a data. Naming conventions and field types This document uses a standard syntax to refer to specific tables, fields and products in the FR 2052a data hierarchy. • Prefixes are the first component of the FR 2052a data reference syntax. There are three distinct prefixes: I, O and S, which correspond to the first letter of each specific section in the FR 2052a data hierarchy: Inflows, Outflows and Supplemental. • Tables are referenced using the appropriate prefix, followed by the first letter of the table as described in Table 3 below (with the exceptions of derivatives & collateral and foreign exchange, which are referenced as “DC” and “FX”, respectively). Example: the “Assets” table, which relates to inflows, is referenced as I.A, while o the “Deposits” table, which relates to outflows, is referenced as O.D. • Products are referenced using the table syntax and the corresponding product number. Note: The [Product] field designation is omitted to simplify the reference syntax. o A number following the table designation always refers to the product number for that table.  Table 3 below depicts the table combinations for the product syntax structure  Example: “Unencumbered Assets” (product #1) in the “Assets” table is referred to as I.A.1. Table 3 - Product Reference Syntax Prefix . Table . Product # A (Assets) I U (Unsecured) . . # (Inflows) S (Secured) O (Other) D (Deposits) O W (Wholesale) . . # (Outflows) S (Secured) O (Other) DC (Derivatives & Collateral) L (Liquidity Risk Measurement) S . B (Balance Sheet) . # (Supplemental) I (Informational Items) FX (Foreign Exchange) Field Types The data fields in each FR 2052a table fall into two categories: 1. Mandatory fields (May vary for each product, colored red in Table 4 below) 2. Dependent fields (colored blue in Table 4) • Required for certain transaction types. Example: the [Forward Start Bucket] field is generally only required for o forward starting transactions. Example: the [Internal Counterparty] field is only required for intercompany o transactions. • [Sub-Product] required for certain products. Example: The “Capacity” product in the Assets table (I.A.2) requires a [Sub- o Product] designation.  Table 4 below depicts a sample data element reporting FHLB capacity of $100mm against category L-3 collateral, with market value of $150mm and a residual maturity of > 5 years. Refer to Appendix II for a full listing of product/sub-product combinations. o Table 4 – Example: required versus dependent fields Data Tables16 Inflows Assets Unsecured Secured Other Reporting Entity text Reporting Entity text Reporting Entity text Reporting Entity text Product text Product text Product text Product text Sub-Product text Counterparty text Sub-Product text Maturity Amount numeric Market Value numeric G-SIB text Maturity Amount numeric Maturity Bucket text Lendable Value numeric Maturity Amount numeric Maturity Bucket text Forward Start Amount numeric Maturity Bucket text Maturity Bucket text Maturity Optionality text Forward Start Bucket text Forward Start Amount numeric Maturity Optionality text Effective Maturity Bucket text Collateral Class text Forward Start Bucket text Effective Maturity Bucket text Encumbrance Type text Collateral Value numeric Collateral Class text Encumbrance Type text Forward Start Amount numeric Treasury Control text Treasury Control text Forward Start Amount numeric Forward Start Bucket text Counterparty text Accounting Designation text Forward Start Bucket text Collateral Class text G-SIB text Effective Maturity Bucket text Internal text Collateral Value numeric Internal text Encumbrance Type text Internal Counterparty text Unencumbered text Internal Counterparty text Internal Counterparty text Risk Weight percent Treasury Control text Business Line text Business Line text Business Line text Internal text Internal Counterparty text Risk Weight percent Business Line text Settlement text Counterparty text G-SIB text Outflows Deposits Wholesale Secured Other Reporting Entity text Reporting Entity text Reporting Entity text Reporting Entity text Product text Product text Product text Product text Counterparty text Counterparty text Sub-Product text Counterparty text G-SIB text G-SIB text Maturity Amount numeric G-SIB text Maturity Amount numeric Maturity Amount numeric Maturity Bucket text Maturity Amount numeric Maturity Bucket text Maturity Bucket text Maturity Optionality text Maturity Bucket text Maturity Optionality text Maturity Optionality text Forward Start Amount numeric Forward Start Amount numeric Collateral Class text Collateral Class text Forward Start Bucket text Forward Start Bucket text Collateral Value numeric Collateral Value numeric Collateral Class text Collateral Class text Insured text Forward Start Amount numeric Collateral Value numeric Collateral Value numeric Trigger text Forward Start Bucket text Treasury Control text Internal text Rehypothecated text Internal text Internal text Internal Counterparty text Business Line text Internal Counterparty text Internal Counterparty text Business Line text Internal text Loss Absorbency text Business Line text Internal Counterparty text Business Line text Settlement text Rehypothecated text Counterparty text G-SIB text 16 Note that the Currency and Converted attributes are required for each value field in accordance with the Field Definitions. These fields have been omitted from this figure to simplify the illustration of the FR 2052a data structure. Supplemental Informational Derivatives & Collateral Liquidity Risk Measurement Reporting Entity text Reporting Entity text Reporting Entity text Product text Product text Product text Market Value numeric Sub-Product text Market Value numeric Collateral Class text Sub-Product2 text Collateral Class text Internal text Market Value numeric Internal text Internal Counterparty text Collateral Class text Internal Counterparty text Business Line text Collateral Level text Counterparty text G-SIB text Effective Maturity Bucket text Encumbrance Type text Netting Eligible text Treasury Control text Internal text Internal Counterparty text Business Line text Balance Sheet Foreign Exchange Comments Reporting Entity text Reporting Entity text Reporting Entity text Collection Reference text Product text Collection text Product text Maturity Amount Currency 1 numeric Product text Product Reference text Maturity Amount Currency 2 numeric Sub-Product text Sub-Product Reference text Maturity Bucket text Comments text Collateral Class text Foreign Exchange Option Direction text Maturity Bucket text Forward Start Amount Currency 1 numeric Effective Maturity Bucket text Forward Start Amount Currency 2 numeric Encumbrance Type text Forward Start Bucket text Market Value numeric Counterparty text Maturity Amount numeric G-SIB text Collateral Value numeric Settlement text Counterparty text Business Line text G-SIB text Internal text Risk Weight percent Internal Counterparty text Internal text Internal Counterparty text Appendix II-a: FR 2052a Product/Sub-Product Requirements The following table displays which products require the reporting of a Sub-Product or Sub-Product 2, along with the corresponding set of acceptable values. Table PID Product Sub-Product Sub-Product 2 Inflows - Assets 2 Capacity Federal Reserve Bank Swiss National Bank Bank of England European Central Bank Bank of Japan Reserve Bank of Australia Bank of Canada Other Central Bank Federal Home Loan Bank Other Government Sponsored Entity Inflows - Assets 3 Unrestricted Reserve Balances Federal Reserve Bank 4 Restricted Reserve Balances Swiss National Bank Bank of England European Central Bank Bank of Japan Reserve Bank of Australia Bank of Canada Other Central Bank Currency and Coin Inflows - Secured 4 Collateral Swaps Level 1 Pledged Level 2a Pledged Level 2b Pledged Non-HQLA Pledged No Collateral Pledged Outflows - Secured 4 Collateral Swaps Level 1 Received Level 2a Received Level 2b Received Non-HQLA Received No Collateral Received Outflows - Secured 6 Exceptional Central Bank Operations Federal Reserve Bank Swiss National Bank Bank of England European Central Bank Bank of Japan Reserve Bank of Australia Bank of Canada Other Central Bank Covered Federal Reserve Facility Funding Table PID Product Sub-Product Sub-Product 2 Outflows - Secured 7 Customer Shorts External Cash Transactions 8 Firm Shorts External Non-Cash Transactions Firm Longs Customer Longs Unsettled - Regular Way Unsettled - Forward Outflows - Secured 9 Synthetic Customer Shorts Firm Short 10 Synthetic Firm Financing Synthetic Customer Long Synthetic Firm Sourcing Futures Other Unhedged Inflows - Secured 9 Synthetic Customer Longs Physical Long Position 10 Synthetic Firm Sourcing Synthetic Customer Short Synthetic Firm Financing Futures Other Unhedged Supplemental - 1 Gross Derivative Asset Values Rehypothecateable Collateral Unencumbered OTC - Bilateral Derivatives & Collateral 2 Gross Derivative Liability Values Rehypothecateable Collateral Encumbered OTC - Centralized (Principal) 3 Derivative Settlement Payments Delivered Non-Rehypothecateable Collateral OTC - Centralized (Agent) 4 Derivative Settlement Payments Received Segregated Cash Exchange-traded (Principal) 5 Initial Margin Posted - House Non-Segregated Cash Exchange-traded (Agent) 6 Initial Margin Posted - Customer 7 Initial Margin Received 8 Variation Margin Posted - House 9 Variation Margin Posted - Customer 10 Variation Margin Received Appendix II-b: FR 2052a Counterparty Requirements The following table displays which products require the reporting of the Counterparty field. Although not displayed below, the product S.B.6: Carrying Value Adjustment would require the reporting of a Counterparty to the extent the adjustment is applied to a product that also requires a counterparty designation. In addition, the table provides guidance on which specific counterparty field selections are generally applicable/not applicable. Table PID Product Applicable Counterparty Values Not Applicable Counterparty Values Outflows - Other 5 Liquidity Facilities Retail Small Business Non-Financial Corporate Sovereign Central Bank Government Sponsored Entity Public Sector Entity Multilateral Development Bank Other Supranational Pension Fund Bank Broker-Dealer Investment Company or Advisor Financial Market Utility Other Supervised Non-Bank Financial Entity Debt Issuing Special Purpose Entity Non-Regulated Fund Municipalities for VRDN Structures Other Inflows - Unsecured 5 Outstanding Draws on Unsecured Revolving Facilities Retail Municipalities for VRDN Structures 6 Other Loans Small Business Non-Financial Corporate Inflows - Secured 5 Margin Loans Sovereign 6 Other Secured Loans - Rehypothecatable Central Bank 7 Outstanding Draws on Secured Revolving Facilities Government Sponsored Entity 8 Other Secured Loans - Non-Rehypothecatable Public Sector Entity Multilateral Development Bank Outflows - Deposits 7 Operational Escrow Accounts Other Supranational 8 Non-Reciprocal Brokered Deposits Pension Fund 9 Stable Affiliated Sweep Account Balances Bank 10 Less Stable Affiliated Sweep Account Balances Broker-Dealer 11 Non-Affiliated Sweep Accounts Investment Company or Advisor 12 Other Product Sweep Accounts Financial Market Utility 13 Reciprocal Accounts Other Supervised Non-Bank Financial Entity 14 Other Third-Party Deposits Debt Issuing Special Purpose Entity 15 Other Accounts Non-Regulated Fund Other Outflows - Secured 7 Customer Shorts Outflows - Wholesale 18 Free Credits Outflows - Other 4 Credit Facilities Supplemental - D&C 1 Gross Derivative Asset Values 2 Gross Derivative Liability Values 5 Initial Margin Posted - House 6 Initial Margin Posted - Customer 7 Initial Margin Received 8 Variation Margin Posted - House 9 Variation Margin Posted - Customer 10 Variation Margin Received Supplemental - Balance Sheet 5 Counterparty Netting Table PID Product Applicable Counterparty Values Not Applicable Counterparty Values Inflows - Secured 1 Reverse Repo Non-Financial Corporate Retail 2 Securities Borrowing Sovereign Small Business 3 Dollar Rolls Central Bank Municipalities for VRDN Structures 4 Collateral Swaps Government Sponsored Entity 9 Synthetic Customer Longs Public Sector Entity 10 Synthetic Firm Sourcing Multilateral Development Bank Other Supranational Inflows - Unsecured 1 Onshore Placements Pension Fund 2 Offshore Placements Bank 3 Required Operational Balances Broker-Dealer 4 Excess Operational Balances Investment Company or Advisor 7 Cash Items in the Process of Collection Financial Market Utility 8 Short-Term Investments Other Supervised Non-Bank Financial Entity Debt Issuing Special Purpose Entity Outflows - Deposits 4 Operational Account Balances Non-Regulated Fund 5 Excess Balances in Operational Accounts Other 6 Non-Operational Account Balances Outflows - Secured 1 Repo 2 Securities Lending 3 Dollar Rolls 4 Collateral Swaps 9 Synthetic Customer Shorts 10 Synthetic Firm Financing 11 Other Secured Financing Transactions Outflows - Wholesale 9 Onshore Borrowing 10 Offshore Borrowing Supplemental-FX 1 Spot 2 Forwards and Futures 3 Swaps Outflows - Deposits 1 Transactional Accounts Retail Debt Issuing Special Purpose Entity 2 Non-Transactional Relationship Accounts Small Business Municipalities for VRDN Structures 3 Non-Transactional Non-Relationship Accounts Non-Financial Corporate Sovereign Central Bank Government Sponsored Entity Public Sector Entity Multilateral Development Bank Other Supranational Pension Fund Bank Broker-Dealer Investment Company or Advisor Financial Market Utility Other Supervised Non-Bank Financial Entity Non-Regulated Fund Other Outflows - Secured 5 FHLB Advances Government Sponsored Entity Retail Small Business Non-Financial Corporate Sovereign Central Bank Public Sector Entity Multilateral Development Bank Other Supranational Pension Fund Bank Broker-Dealer Investment Company or Advisor Financial Market Utility Other Supervised Non-Bank Financial Entity Debt Issuing Special Purpose Entity Non-Regulated Fund Municipalities for VRDN Structures Other Table PID Product Applicable Counterparty Values Not Applicable Counterparty Values Outflows - Secured 6 Exceptional Central Bank Operations Central Bank Retail Small Business Non-Financial Corporate Sovereign Government Sponsored Entity Public Sector Entity Multilateral Development Bank Other Supranational Pension Fund Bank Broker-Dealer Investment Company or Advisor Financial Market Utility Other Supervised Non-Bank Financial Entity Debt Issuing Special Purpose Entity Non-Regulated Fund Municipalities for VRDN Structures Other Appendix II-c: FR 2052a Collateral Class Requirements The following table displays the applicable reporting requirements for the Collateral Class field by Product: (1) Required: the product by definition requires a collateral class designation (2) Dependent: the product requires a collateral class designation to the extent collateral has been, or would need to be posted or received (3) Not applicable: the product should not be assigned a collateral class PID Product Required Dependent Not Applicable Inflows - Assets I.A.1 Unencumbered Assets  I.A.2 Capacity  I.A.3 Unrestricted Reserve Balances  I.A.4 Restricted Reserve Balances  I.A.5 Unsettled Asset Purchases  I.A.6 Forward Asset Purchases  I.A.7 Encumbered Assets  Inflows - Unsecured I.U.1 Onshore Placements  I.U.2 Offshore Placements  I.U.3 Required Operational Balances  I.U.4 Excess Operational Balances  I.U.5 Outstanding Draws on Unsecured Revolving Facilities  I.U.6 Other Loans  I.U.7 Cash Items in the Process of Collection  I.U.8 Short-Term Investments  Inflows - Secured I.S.1 Reverse Repo  I.S.2 Securities Borrowing  I.S.3 Dollar Rolls  I.S.4 Collateral Swaps  I.S.5 Margin Loans  I.S.6 Other Secured Loans - Rehypothecatable  I.S.7 Outstanding Draws on Secured Revolving Facilities  I.S.8 Other Secured Loans - Non-Rehypothecatable  I.S.9 Synthetic Customer Longs  I.S.10 Synthetic Firm Sourcing  Inflows - Other I.O.1 Derivative Receivables  I.O.2 Collateral Called for Receipt  I.O.3 TBA Sales  I.O.4 Undrawn Committed Facilities Purchased  I.O.5 Lock-up Balance  I.O.6 Interest and Dividends Receivable  I.O.7 Net 30-Day Derivative Receivables  I.O.8 Principal Payments Receivable on Unencumbered Investment Securities  I.O.9 Other Cash Inflows  PID Product Required Dependent Not Applicable Outflows - Wholesale O.W.1 Asset-Backed Commercial Paper: Single-Seller  O.W.2 Asset-Backed Commercial Paper: Multi-Seller  O.W.3 Collateralized Commercial Paper  O.W.4 Asset-Backed Securities  O.W.5 Covered Bonds  O.W.6 Tender Option Bonds  O.W.7 Other Asset-Backed Financing  O.W.8 Commercial Paper  O.W.9 Onshore Borrowing  O.W.10 Offshore Borrowing  O.W.11 Unstructured Long Term Debt  O.W.12 Structured Long Term Debt  O.W.13 Government Supported Debt  O.W.14 Unsecured Notes  O.W.15 Structured Notes  O.W.16 Wholesale CDs  O.W.17 Draws on Committed Lines  O.W.18 Free Credits  O.W.19 Other Unsecured Financing  Outflows - Secured O.S.1 Repo  O.S.2 Securities Lending  O.S.3 Dollar Rolls  O.S.4 Collateral Swaps  O.S.5 FHLB Advances  O.S.6 Exceptional Central Bank Operations  O.S.7 Customer Shorts  O.S.8 Firm Shorts  O.S.9 Synthetic Customer Shorts  O.S.10 Synthetic Firm Financing  O.S.11 Other Secured Financing Transactions  Outflows - Deposits O.D.1 Transactional Accounts  O.D.2 Non-Transactional Relationship Accounts  O.D.3 Non-Transactional Non-Relationship Accounts  O.D.4 Operational Account Balances  O.D.5 Excess Balances in Operational Accounts  O.D.6 Non-Operational Account Balances  O.D.7 Operational Escrow Accounts  O.D.8 Non-Reciprocal Brokered Deposits  O.D.9 Stable Affiliated Sweep Account Balances  O.D.10 Less Stable Affiliated Sweep Account Balances  O.D.11 Non-Affiliated Sweep Accounts  O.D.12 Other Product Sweep Accounts  O.D.13 Reciprocal Accounts  O.D.14 Other Third-Party Deposits  O.D.15 Other Accounts  PID Product Required Dependent Not Applicable Outflows - Other O.O.1 Derivative Payables  O.O.2 Collateral Called for Delivery  O.O.3 TBA Purchases  O.O.4 Credit Facilities  O.O.5 Liquidity Facilities  O.O.6 Retail Mortgage Commitments  O.O.7 Trade Finance Instruments  O.O.8 MTM Impact on Derivative Positions  O.O.9 Loss of Rehypothecation Rights Due to a 1 Notch Downgrade  O.O.10 Loss of Rehypothecation Rights Due to a 2 Notch Downgrade  O.O.11 Loss of Rehypothecation Rights Due to a 3 Notch Downgrade  O.O.12 Loss of Rehypothecation Rights Due to a Change in Financial Condition  O.O.13 Total Collateral Required Due to a 1 Notch Downgrade  O.O.14 Total Collateral Required Due to a 2 Notch Downgrade  O.O.15 Total Collateral Required Due to a 3 Notch Downgrade  O.O.16 Total Collateral Required Due to a Change in Financial Condition  O.O.17 Excess Margin  O.O.18 Unfunded Term Margin  O.O.19 Interest and Dividends Payable  O.O.20 Net 30-Day Derivative Payables  O.O.21 Other Outflows Related to Structured Transactions  O.O.22 Other Cash Outflows  Supplemental - Derivatives & Collateral S.DC.1 Gross Derivative Asset Values  S.DC.2 Gross Derivative Liability Values  S.DC.3 Derivative Settlement Payments Delivered  S.DC.4 Derivative Settlement Payments Received  S.DC.5 Initial Margin Posted - House  S.DC.6 Initial Margin Posted - Customer  S.DC.7 Initial Margin Received  S.DC.8 Variation Margin Posted - House  S.DC.9 Variation Margin Posted - Customer  S.DC.10 Variation Margin Received  S.DC.11 Derivative CCP Default Fund Contribution  S.DC.12 Other CCP Pledges and Contributions  S.DC.13 Collateral Disputes Deliverables  S.DC.14 Collateral Disputes Receivables  S.DC.15 Sleeper Collateral Deliverables  S.DC.16 Required Collateral Deliverables  S.DC.17 Sleeper Collateral Receivables  S.DC.18 Derivative Collateral Substitution Risk  S.DC.19 Derivative Collateral Substitution Capacity  S.DC.20 Other Collateral Substitution Risk  S.DC.21 Other Collateral Substitution Capacity  PID Product Required Dependent Not Applicable Supplemental - Liquidity Risk Measurement S.L.1 Subsidiary Liquidity That Cannot be Transferred  S.L.2 Subsidiary Liquidity Available for Transfer  S.L.3 Unencumbered Asset Hedges - Early Termination Outflows  S.L.4 Non-Structured Debt Maturing in Greater than 30-days - Primary Market Maker  S.L.5 Structured Debt Maturing in Greater than 30-days - Primary Market Maker  S.L.6 Liquidity Coverage Ratio  S.L.7 Subsidiary Funding That Cannot be Transferred  S.L.8 Subsidiary Funding Available for Transfer  S.L.9 Additional Funding Requirement for Off-Balance Sheet Rehypothecated Assets  S.L.10 Net Stable Funding Ratio  Supplemental - Balance Sheet S.B.1 Regulatory Capital Element  S.B.2 Other Liabilities  S.B.3 Non-Performing Assets  S.B.4 Other Assets  S.B.5 Counterparty Netting  S.B.6 Carrying Value Adjustment  Supplemental - Informational S.I.1 Long Market Value Client Assets  S.I.2 Short Market Value Client Assets  S.I.3 Gross Client Wires Received  S.I.4 Gross Client Wires Paid  S.I.5 FRB 23A Capacity  S.I.6 Subsidiary Liquidity Not Transferrable  Supplemental-Foreign Exchange S.FX.1 Spot  S.FX.2 Forwards and Futures  S.FX.3 Swaps  Appendix II-d: FR 2052a Forward Start Exclusions The following products should not be assigned a [Forward Start Bucket] or [Forward Start Amount] value. PID Product Inflows - Assets I.A.1 Unencumbered Assets I.A.2 Capacity I.A.3 Unrestricted Reserve Balances I.A.4 Restricted Reserve Balances I.A.7 Encumbered Assets Inflows - Unsecured I.U.3 Required Operational Balances I.U.4 Excess Operational Balances I.U.7 Cash Items in the Process of Collection I.U.8 Short-Term Investments Inflows - Other I.O.1 Derivative Receivables I.O.2 Collateral Called for Receipt I.O.3 TBA Sales I.O.4 Undrawn Committed Facilities Purchased I.O.5 Lock-up Balance I.O.6 Interest and Dividends Receivable I.O.7 Net 30-Day Derivative Receivables I.O.8 Principal Payments Receivable on Unencumbered Investment Securities I.O.9 Other Cash Inflows Outflows - Wholesale O.W.18 Free Credits Outflows - Deposits (forward start fields not provided) O.D.1 Transactional Accounts O.D.2 Non-Transactional Relationship Accounts O.D.3 Non-Transactional Non-Relationship Accounts O.D.4 Operational Account Balances O.D.5 Excess Balances in Operational Accounts O.D.6 Non-Operational Account Balances O.D.7 Operational Escrow Accounts O.D.8 Non-Reciprocal Brokered Deposits O.D.9 Stable Affiliated Sweep Account Balances O.D.10 Less Stable Affiliated Sweep Account Balances O.D.11 Non-Affiliated Sweep Accounts O.D.12 Other Product Sweep Accounts O.D.13 Reciprocal Accounts O.D.14 Other Third-Party Deposits O.D.15 Other Accounts PID Product Outflows - Other O.O.1 Derivative Payables O.O.2 Collateral Called for Delivery O.O.3 TBA Purchases O.O.4 Credit Facilities O.O.5 Liquidity Facilities O.O.6 Retail Mortgage Commitments O.O.7 Trade Finance Instruments O.O.8 MTM Impact on Derivative Positions O.O.9 Loss of Rehypothecation Rights Due to a 1 Notch Downgrade O.O.10 Loss of Rehypothecation Rights Due to a 2 Notch Downgrade O.O.11 Loss of Rehypothecation Rights Due to a 3 Notch Downgrade O.O.12 Loss of Rehypothecation Rights Due to a Change in Financial Condition O.O.13 Total Collateral Required Due to a 1 Notch Downgrade O.O.14 Total Collateral Required Due to a 2 Notch Downgrade O.O.15 Total Collateral Required Due to a 3 Notch Downgrade O.O.16 Total Collateral Required Due to a Change in Financial Condition O.O.17 Excess Margin O.O.18 Unfunded Term Margin O.O.19 Interest and Dividends Payable O.O.20 Net 30-Day Derivative Payables O.O.21 Other Outflows Related to Structured Transactions O.O.22 Other Cash Outflows Supplemental - Derivatives & Collateral S.DC.1 Gross Derivative Asset Values S.DC.2 Gross Derivative Liability Values S.DC.3 Derivative Settlement Payments Delivered S.DC.4 Derivative Settlement Payments Received S.DC.5 Initial Margin Posted - House S.DC.6 Initial Margin Posted - Customer S.DC.7 Initial Margin Received S.DC.8 Variation Margin Posted - House S.DC.9 Variation Margin Posted - Customer S.DC.10 Variation Margin Received S.DC.11 Derivative CCP Default Fund Contribution S.DC.12 Other CCP Pledges and Contributions S.DC.13 Collateral Disputes Deliverables S.DC.14 Collateral Disputes Receivables S.DC.15 Sleeper Collateral Deliverables S.DC.16 Required Collateral Deliverables S.DC.17 Sleeper Collateral Receivables S.DC.18 Derivative Collateral Substitution Risk S.DC.19 Derivative Collateral Substitution Capacity S.DC.20 Other Collateral Substitution Risk S.DC.21 Other Collateral Substitution Capacity PID Product Supplemental - Liquidity Risk Measurement S.L.1 Subsidiary Liquidity That Cannot be Transferred S.L.2 Subsidiary Liquidity Available for Transfer S.L.3 Unencumbered Asset Hedges - Early Termination Outflows S.L.4 Non-Structured Debt Maturing in Greater than 30-days - Primary Market Maker S.L.5 Structured Debt Maturing in Greater than 30-days - Primary Market Maker S.L.6 Liquidity Coverage Ratio S.L.7 Subsidiary Funding That Cannot be Transferred S.L.8 Subsidiary Funding Available for Transfer S.L.9 Additional Funding Requirement for Off-Balance Sheet Rehypothecated Assets S.L.10 Net Stable Funding Ratio Supplemental - Informational S.B.1 Regulatory Capital Element S.B.2 Other Liabilities S.B.3 Non-Performing Assets S.B.4 Other Assets S.B.5 Counterparty Netting S.B.6 Carrying Value Adjustment Supplemental - Informational S.I.1 Long Market Value Client Assets S.I.2 Short Market Value Client Assets S.I.3 Gross Client Wires Received S.I.4 Gross Client Wires Paid S.I.5 FRB 23A Capacity S.I.6 Subsidiary Liquidity Not Transferrable Appendix III: FR 2052a Asset Category Table Note: the "-Q" suffix indicates that assets meet all the asset-specific tests detailed in section 20 of Regulation WW (e.g., risk profile and market-based characteristics) Asset Category Asset Category Description HQLA Level 1 A-0-Q Cash A-1-Q Debt issued by the U.S. Treasury A-2-Q U.S. Government Agency-issued debt (excluding the US Treasury) with a US Government guarantee A-3-Q Vanilla debt (including pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S. Government Agency has a full U.S. Government guarantee A-4-Q Structured debt (excluding pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S. Government Agency has a full U.S. Government guarantee A-5-Q Other debt with a U.S. Government guarantee S-1-Q Debt issued by non-U.S. Sovereigns (excluding central banks) with a 0% RW S-2-Q Debt issued by multilateral development banks or other supranationals with a 0% RW S-3-Q Debt with a non-U.S. sovereign (excluding central banks) or multilateral development bank or other supranational guarantee, where guaranteeing entity has a 0% RW S-4-Q Debt issued or guaranteed by a non-U.S. Sovereign (excluding central banks) that does not have a 0% RW, but supports outflows that are in the same jurisdiction of the sovereign and are denominated in the home currency of the sovereign CB-1-Q Securities issued or guaranteed by a central bank with a 0% RW CB-2-Q Securities issued or guaranteed by a non-U.S. central bank that does not have a 0% RW, but supports outflows that are in the same jurisdiction of the central bank and are denominated in the home currrency of the central bank HQLA Level 2a G-1-Q Senior to preferred debt issued by a U.S. Government Sponsored Entity (GSE) G-2-Q Vanilla debt (including pass-through MBS) guaranteed by a U.S. GSE G-3-Q Structured debt (excluding pass-through MBS) guaranteed by a U.S. GSE S-5-Q Debt issued by non-U.S. Sovereigns (excluding central banks) with a 20% RW, not otherwise included S-6-Q Debt issued by multilateral development banks or other supranationals with a 20% RW, not otherwise included S-7-Q Debt with a non-U.S. sovereign (excluding central banks) or multilateral development bank or other supranational guarantee, where guaranteeing entity has a 20% RW, not otherwise included CB-3-Q Securities issued or guaranteed by a non-U.S. central bank with a 20% RW, not otherwise included HQLA Level 2b E-1-Q U.S. equities - Russell 1000 E-2-Q Non-U.S. Equities listed on a foreign index designated to by the local supervisor as qualifying for the LCR, and denominated in USD or the currency of outflows that the foreign entity is supporting IG-1-Q Investment grade corporate debt IG-2-Q Investment grade municipal obligations Asset Category Asset Category Description Non-HQLA Assets that do not meet the asset-specific tests detailed in section 20 of Regulation WW A-2 U.S. Government Agency-issued debt (excluding the US Treasury) with a US Government guarantee A-3 Vanilla debt (including pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S. Government Agency has a full U.S. Government guarantee A-4 Structured debt (excluding pass-through MBS) guaranteed by a U.S. Government Agency, where the U.S. Government Agency has a full U.S. Government guarantee A-5 Other debt with a U.S. Government guarantee S-1 Debt issued by non-U.S. Sovereigns (excluding central banks) with a 0% RW S-2 Debt issued by multilateral development banks or other supranationals with a 0% RW S-3 Debt with a non-U.S. sovereign (excluding central banks) or multilateral development bank or other supranational guarantee, where guaranteeing entity has a 0% RW S-4 Debt issued or guaranteed by a non-U.S. Sovereign (excluding central banks) that does not have a 0% RW, but supports outflows that are in the same jurisdiction of the sovereign and are denominated in the home currency of the sovereign CB-1 Securities issued or guaranteed by a central bank with a 0% RW CB-2 Securities issued or guaranteed by a non-U.S. central bank that does not have a 0% RW, but supports outflows that are in the same jurisdiction of the central bank and are denominated in the home currrency of the central bank G-1 Senior to preferred debt issued by a U.S. Government Sponsored Entity (GSE) G-2 Vanilla debt (including pass-through MBS) guaranteed by a U.S. GSE G-3 Structured debt (excluding pass-through MBS) guaranteed by a U.S. GSE S-5 Debt issued by Non-U.S. Sovereigns with a 20% RW, not otherwise included S-6 Debt issued by multilateral development banks or other supranationals with a 20% RW, not otherwise included S-7 Debt with a non-U.S. sovereign or multilateral development bank or other supranational guarantee, where guaranteeing entity has a 20% RW, not otherwise included CB-3 Securities issued or guaranteed by a non-U.S. central bank with a 20% RW, not otherwise included E-1 U.S. equities - Russell 1000 E-2 Non-U.S. Equities listed on a foreign index designated to by the local supervisor as qualifying for the LCR, and denominated in USD or the currency of outflows that the foreign entity is supporting IG-1 Investment grade corporate debt IG-2 Investment grade U.S. municipal general obligations Asset Category Asset Category Description Non-HQLA Assets other S-8 All other debt issued by sovereigns (excluding central banks) and supranational entities, not otherwise included CB-4 All other securities issued by central banks, not otherwise included G-4 Debt, other than senior or preferred, issued by a U.S. GSE E-3 All other U.S.-listed common equity securities E-4 All other non-US-listed common equity securities E-5 ETFs listed on US exchanges E-6 ETFs listed on non-US exchanges E-7 US mutual fund shares E-8 Non-US mutual fund shares E-9 All other US equity investments (including preferred shares, warrants and options) E-10 All other non-US equity investments (including preferred shares, warrants and options) IG-3 Investment grade Vanilla ABS IG-4 Investment grade Structured ABS IG-5 Investment grade Private label Pass-thru CMBS/RMBS IG-6 Investment grade Private label Structured CMBS/RMBS IG-7 Investment grade covered bonds IG-8 Investment grade obligations of municipals/PSEs (excluding U.S. general obligations) N-1 Non-investment grade general obligations issued by U.S. municipals/PSEs N-2 Non-investment grade corporate debt N-3 Non-investment grade Vanilla ABS N-4 Non-investment grade structured ABS N-5 Non-investment grade Private label Pass-thru CMBS/RMBS N-6 Non-investment grade Private label Structured CMBS/RMBS N-7 Non-investment grade covered bonds N-8 Non-investment grade obligations of municipals/PSEs (excluding U.S. general obligations) L-1 GSE-eligible conforming residential mortgages L-2 Other GSE-eligible loans L-3 Other 1-4 family residential mortgages L-4 Other multi family residential mortgages L-5 Home equity loans L-6 Credit card loans L-7 Auto loans and leases L-8 Other consumer loans and leases L-9 Commercial real estate loans L-10 Commercial and industrial loans L-11 All other loans, except loans guaranteed by U.S. government agencies L-12 Loans guaranteed by U.S. government agencies Y-1 Debt issued by reporting firm - parent Y-2 Debt issued by reporting firm - bank Y-3 Debt issued by reporting firm - all other (incl. conduits) Y-4 Equity investment in affiliates C-1 Commodities P-1 Residential property P-2 All other physical property LC-1 Letters of credit issued by a GSE LC-2 All other letters of credit, including bankers' acceptances Z-1 All other assets Appendix IV-a: FR 2052a Maturity Bucket Value List Open Day 42 Day 1 Day 43 Day 2 Day 44 Day 3 Day 45 Day 4 Day 46 Day 5 Day 47 Day 6 Day 48 Day 7 Day 49 Day 8 Day 50 Day 9 Day 51 Day 10 Day 52 Day 11 Day 53 Day 12 Day 54 Day 13 Day 55 Day 14 Day 56 Day 15 Day 57 Day 16 Day 58 Day 17 Day 59 Day 18 Day 60 Day 19 61 - 67 Days Day 20 68 - 74 Days Day 21 75 - 82 Days Day 22 83 - 90 Days Day 23 91 - 120 Days Day 24 121 - 150 Days Day 25 151 - 179 Days Day 26 180 - 270 Days Day 27 271 - 364 Days Day 28 >= 1 Yr <= 2 Yr Day 29 >2 Yr <= 3 Yr Day 30 >3 Yr <= 4 Yr Day 31 >4 Yr <= 5 Yr Day 32 >5 Yr Day 33 Perpetual Day 34 Day 35 Day 36 Day 37 Day 38 Day 39 Day 40 Day 41 Appendix IV-b: FR 2052a Maturity Bucket Tailoring (1) U.S. firms that are identified as Category I or Category II banking organizations; FBOs identified as Category II foreign banking organizations. (a) All products should be reported using the following 76 maturity buckets: Daily Weekly* Buckets 30-Day Buckets 90-Day Buckets Yearly Buckets Open > 5 Years Perpetual Day 1 Day 60 Day 61 Day 90 Day 91 Day 179 Day 180 Day 364 Day 365 Year 5 60 buckets 4 buckets 3 buckets 2 buckets 4 buckets (2) U.S. firms that are identified as Category III or Category IV banking organizations with wSTWF>$50B; FBOs that are identified as Category III or Category IV foreign banking organizations with wSTWF>$50B. (a) All outflow and supplemental products with maturities within 1 year should be reported using the 70 applicable maturity buckets, while these products with non-perpetual contractual maturities 1 year and beyond may be reported in aggregate in the ≥ 1 Year and ≤ 2 Year bucket. Daily Weekly* Buckets 30-Day Buckets 90-Day Buckets All cash flows maturing in ≥ 1 year Open Perpetual Day 1 Day 60 Day 61 Day 90 Day 91 Day 179 Day 180 Day 364 > 1 Year and ≤ 2 Years 60 buckets 4 buckets 3 buckets 2 buckets 1 bucket (b) All inflow products with maturities within 1 year should be reported using the 70 applicable maturity buckets, while these products with non-perpetual contractual maturities 1 year and beyond may be reported in aggregate in the > 5 Year bucket. Daily Weekly* Buckets 30-Day Buckets 90-Day Buckets All cash flows maturing in ≥ 1 year Open Perpetual Day 1 Day 60 Day 61 Day 90 Day 91 Day 179 Day 180 Day 364 > 5 Years 60 buckets 4 buckets 3 buckets 2 buckets 1 bucket (3) U.S. firms that are identified as Category IV banking organizations with wSTWF <$50B; FBOs that are identified as Category IV foreign banking organizations with wSTWF <$50B. (a) Balances for products I.A.1, I.A.2 and I.A.7 may be reported under the maturity bucket "Open" if the residual maturity of the instrument is < 6 months, under the "271 - 364 Days" maturity bucket if the residual maturity of the instrument is ≥ 6 months but < 1 year, and under the "> 5 Years" maturity bucket if the residual maturity of the intrument is ≥ 1 Year. Perpetual instruments must be reported under the "Perpetual" maturity bucket. Residual maturity < 6 months Residual maturity ≥ 6 months < 1 Year Residual maturity ≥ 1 Year Perpetual Open 271 - 364 Days > 5 Years 1 bucket 1 bucket 1 bucket (b) Loan cash flows reported under products I.U.6 and I.S.7 may be split into the following 2 maturity buckets: All cash flows due in ≤ 30 days All cash flows due in > 30 days Day 30 > 5 Years 1 bucket 1 bucket (c) All other inflow products with maturities within 1 year should be reported using the 70 applicable maturity buckets, while these products with non-perpetual contractual maturities beyond 1 year may be reported in aggregate in the > 5 Year bucket. Daily Weekly* Buckets 30-Day Buckets 90-Day Buckets All cash flows maturing in ≥ 1 year Open Perpetual Day 1 Day 60 Day 61 Day 90 Day 91 Day 179 Day 180 Day 364 > 5 Years 60 buckets 4 buckets 3 buckets 2 buckets 1 bucket (d) All outflow and supplemental products with maturities within 1 year should be reported using the 70 applicable maturity buckets, while these products with non-perpetual contractual maturities beyond 1 year may be reported in aggregate in the ≥ 1 Year and ≤ 2 Year bucket. Daily Weekly* Buckets 30-Day Buckets 90-Day Buckets All cash flows maturing in ≥ 1 year Open Perpetual Day 1 Day 60 Day 61 Day 90 Day 91 Day 179 Day 180 Day 364 ≥ 1 Year and ≤ 2 Years 60 buckets 4 buckets 3 buckets 2 buckets 1 bucket *The first two "weekly" buckets contain 7 days, while the last two contain 8 days (i.e., days 61-67, 68-74, 75-82, 83-90) Appendix V: FR 2052a Double Counting of Certain Exposures The FR 2052a instructions state that, as a general rule, transactions should not be reported twice in a single submission. However, there are certain exceptions to this rule and this document outlines the instances when it is acceptable. This appendix provides indicative guidance on cases where double- counting is generally appropriate and expected. The items listed below may not be exhaustive, and may have exceptions. Consult with the applicable supervisory and regulatory reporting teams for additional guidance on potential exceptions. 1. All third-party exposures at subsidiaries that are designated reporting entities, as these will be, at a minimum, reported for both the consolidated reporting entity and all applicable reporting entities that comprise the consolidated firm. 2. Collateral swaps, as each transaction will be reported in both the Inflows-Secured and Outflows-Secured tables (albeit from different perspectives). 3. Collateral that has been received via a secured lending transaction and pre-positioned at a central bank or GSE, as these assets should appear in the I.S table (note that the [Unencumbered] flag must be set to false) and under product I.A.2: Capacity. 4. Loans and leases, as these must be reported in the Inflows-Unsecured or Inflows- Secured tables by counterparty as well as in the appropriate product in the I.A table according to their market value. 5. Assets that are encumbered to financing transactions and derivatives, as these must be reported under I.A.7: Encumbered Assets and the value of these positions must also be reported under the product to which they are encumbered in the O.W, O.S or S.DC tables (i.e., using the [Collateral Value] or [Market Value] fields). 6. Unsecured derivatives cash flows occurring over the next 30 days, as these must be reported under products I.O.1: Derivatives Receivables or O.O.1: Derivatives Payables and must be included in the calculation of products I.O.7: Net 30-day Derivative Receivables or O.O.20: Net 30-day Derivative Payables. 7. Derivative collateral cash flows occurring over the next 30 days, as these must be reported under products I.O.2: Collateral Called for Receipt or O.O.2: Collateral Called for Delivery and must be included in the calculation of products I.O.7: Net 30-day Derivative Receivables or O.O.20: Net 30-day Derivative Payables. 8. Foreign exchange transactions maturing over the next 30 days, as these must be reported under products S.FX.1: Spot, S.FX.2: Forwards and Futures, and S.FX.3: Swaps and must be included in the calculation of products I.O.7: Net 30-day Derivative Receivables or O.O.20: Net 30-day Derivative Payables. 9. Forward purchases and sales of securities maturing over the next 30 days, as these purchases must be reported under I.A.6: Forward Asset Purchases and sales must be reported under O.S.8: Firm Shorts, with a [Sub-Product] of “Unsettled (Forward)”, and both must be included in the calculation of products I.O.7: Net 30-day Derivative Receivables or O.O.20: Net 30-day Derivative Payables. 10. Structured and non-structured debt maturing beyond 30 days where the reporting firm is the primary market maker, as these balances will be reported in one of the Outflows-Wholesale products and in S.L.4: Non-Structured Debt Maturing in Greater than 30-days – Primary Market Maker or S.L.5: Structured Debt Maturing in Greater than 30-days – Primary Market Maker. 11. O.O.13-O.O.16: Total Collateral Required Due to a Downgrade/Change in Financial Condition, as the various downgrade levels are meant to reflect a cumulative impact. This concept is illustrated by the inequalities below: Total Collateral Required Due to a: 1 Notch Downgrade 2 Notch Downgrade 3 Notch Downgrade Change in Financial Condition ≤ ≤ ≤ 12. O.O.9-O.O.12: Loss of Re-hypothecation Rights Due to a Downgrade/Change in Financial Condition, as the various downgrade levels are meant to reflect the cumulative impact. This concept is illustrated by the inequalities below: Loss of Re-hypothecation Rights Due to a: 1 Notch Downgrade 2 Notch Downgrade 3 Notch Downgrade Change in Financial Condition ≤ ≤ ≤ 13. I.O.2: Collateral called for Receipt with a [Maturity Bucket] = “Open”, as collateral that is both called for and received on the reporting date T should be also reported in the stock of S.DC.7: Initial Margin Received or S.DC.10: Variation Margin Received. 14. O.O.2: Collateral called for Delivery with a [Maturity Bucket] = “Open”, as collateral that is both called for and posted on the reporting date T should be also be reported in the stock of S.DC.5: Initial Margin Posted- House or S.DC.6: Initial Margin Posted – Customer or S.DC.8: Variation Margin Posted – House or S.DC.9: Variation Margin Posted - Customer. 15. S.DC.14: Collateral Disputes Receivables and I.O.2: Collateral Called for Receipt, since an amount in dispute should be reflected in both products. 16. S.DC.13: Collateral Disputes Deliverables and O.O.2: Collateral Called for Delivery, since an amount in dispute should be reflected in both products. 17. S.DC.17: Sleeper Collateral Receivables, as the amount due to a reporting entity but not yet called for will also be included in the total amount of S.DC.5: Initial Margin Posted – House, S.DC.6: Initial Margin Posted – Customer, S.DC.8: Variation Margin Posted – House or S.DC.9: Variation Margin Posted - Customer. 18. S.DC.15: Sleeper Collateral Deliverables, as the amount due to a reporting firm’s counterparties that has not yet been called for should also be included in the total amount of S.DC.7: Initial Margin Received or S.DC.10: Variation Margin Received. 19. S.L.1: Subsidiary Liquidity That Cannot Be Transferred, S.L.2: Subsidiary Liquidity Available for Transfer, S.L.7: Subsidiary Funding That Cannot Be Transferred, S.L.8: Subsidiary Funding Available for Transfer and S.I.6: Subsidiary Liquidity Not Transferrable should correspond to asset and liability amounts reported elsewhere on the FR 2052A submission. 20. O.D.12: Other Product Sweep Accounts includes balances that are swept from deposit accounts into other products or other types of deposits accounts. These balances should be reported in both the product that corresponds with the contractual liability into which the funds are swept as of close of business on the reporting date, as well as O.D.12. 21. I.O.8: Principal Payments on Unencumbered Investment Securities, as the market value of these securities must also be reported in the I.A.1: Unencumbered Assets or I.A.2: Capacity products. Appendix VI: LRM: LCR to FR 2052a Mapping [Enclosure] Appendix VII: wSTWF to FR 2052a Mapping [Enclosure] Appendix VIII: LRM: NSFR to FR 2052a Mapping [Enclosure] APPENDIX VI: LCR to FR 2052a Mapping Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to assist reporting firms subject to the liquidity coverage ratio rule (LCR Rule1) in mapping the provisions of the LCR Rule to the unique data identifiers reported on FR 2052a. This mapping document is not a part of the LCR Rule nor a component of the FR 2052a report. Firms may use this mapping document solely at their discretion. From time to time, to ensure accuracy, an updated mapping document may be published and reporting firms will be notified of these changes. Key * Values relevant to the LCR # Values not relevant to the LCR NULL Should not have an associated value LCR Calculation2 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝐿𝐿𝐿𝐿𝐿𝐿 = 𝑇𝑇𝑎𝑎𝑎𝑎𝑎𝑎𝑇𝑇 𝑁𝑁𝑁𝑁𝑎𝑎 𝐿𝐿𝑎𝑎𝐶𝐶ℎ 𝑂𝑂𝑎𝑎𝑎𝑎𝑂𝑂𝑇𝑇𝑎𝑎𝑂𝑂𝐶𝐶 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = (𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) + .85(𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) + .5(𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) - 𝑀𝑀𝐻𝐻𝑀𝑀[ 𝑈𝑈𝑎𝑎𝑎𝑎𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻, 𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 ] 𝑈𝑈𝑎𝑎𝑎𝑎𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 = 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁X𝑇𝑇 2 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 + 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝐻𝐻 [ 0, .85(𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) + .5(𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) -.6667(𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎X𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) ] 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝐻𝐻 [ 0, .5(𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) -𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 -.1765( (𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) + . 85(𝐿𝐿𝑁𝑁 1𝐿𝐿 𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻 𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎 𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎 𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) ) ] = 1 + 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 1 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴𝐴𝐴 -𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴𝑢𝑢𝑎𝑎𝐴𝐴ℎ𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 -𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴𝑓𝑓𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴𝐴𝐴 1 Refer to LCR Rule as defined as specified in section 10 (c) of the LRM standards. 2 For the maturity mismatch add‐on, please note that Open maturity should still be reported in FR 2052a, and the LCR calculation will convert Open to day 1 pursuant to section 31(a)(4) of the LCR Rule. 1 + 1 + 1 𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴𝑓𝑓𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴𝑢𝑢𝑎𝑎𝐴𝐴ℎ𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 1 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑒𝑒𝑐𝑐ℎ𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴𝐴𝐴𝑢𝑢𝑎𝑎𝐴𝐴ℎ𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝐴𝐴𝐴𝐴𝑠𝑠𝑠𝑠𝑐𝑐𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝐴𝐴 -𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑒𝑒𝑐𝑐ℎ𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴𝑢𝑢𝑎𝑎𝐴𝐴ℎ𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴 𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 = 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐴𝐴 𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴 𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 -𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴 𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 + 𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴 𝑓𝑓𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 + 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐴𝐴𝑒𝑒𝑐𝑐ℎ𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚 𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐴𝐴 𝐴𝐴𝐴𝐴𝑠𝑠𝑠𝑠𝑐𝑐𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝐴𝐴 -𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐴𝐴𝑒𝑒𝑐𝑐ℎ𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴 𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 = 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴 𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 -𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴 𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐵𝐵 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 + 𝑆𝑆𝐴𝐴𝑐𝑐𝐴𝐴𝑐𝑐𝐴𝐴𝐴𝐴 𝑓𝑓𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑙𝑙 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐵𝐵 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 + 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐴𝐴𝑒𝑒𝑐𝑐ℎ𝑎𝑎𝑙𝑙𝑙𝑙𝐴𝐴 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚 𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴𝐴𝐴 𝑢𝑢𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 2𝐵𝐵 𝐴𝐴𝐴𝐴𝑠𝑠𝑠𝑠𝑐𝑐𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝐴𝐴 -𝐴𝐴 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐴𝐴𝑒𝑒 𝑐𝑐ℎ𝑎𝑎𝑙𝑙𝑙𝑙 =𝐴𝐴 𝐴𝐴𝑙𝑙𝑢𝑢𝑎𝑎𝑙𝑙𝐴𝐴 𝑐𝑐 𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 2𝑐𝑐 𝑎𝑎𝑙𝑙 𝑙𝑙𝑎𝑎 𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 𝑢𝑢 𝑎𝑎𝐴𝐴ℎ 𝐻𝐻𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 + 2 𝐵𝐵 𝑐𝑐𝑎𝑎𝑙𝑙𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝑙𝑙 𝑐𝑐𝑙𝑙𝑎𝑎𝐴𝐴𝐴𝐴 2 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑒𝑒𝑐𝑐𝐴𝐴𝐴𝐴𝐴𝐴𝐻𝐻𝐻𝐻𝐻𝐻𝐴𝐴 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝑐𝑐𝑎𝑎𝑠𝑠𝐴𝐴𝑒𝑒𝑐𝑐𝐴𝐴𝐴𝐴𝐴𝐴𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙𝐴𝐴𝑙𝑙 𝐵𝐵𝑐𝑐𝑎𝑎𝑠𝑠𝐴𝐴𝑒𝑒𝑐𝑐𝐴𝐴𝐴𝐴𝐴𝐴𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴 X 𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝐻𝐻 [ 0, .85(𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 -𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) + .5(𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 -𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) -.6667(𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 -𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) X] 𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑀𝑀𝐻𝐻 [ 0, .5(𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 - 𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐵𝐵 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) -𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2 𝑠𝑠𝑎𝑎𝑐𝑐 𝑁𝑁𝑒𝑒𝑠𝑠𝑁𝑁𝐶𝐶𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 -.1765( (𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 -𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 1 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) + .85(𝐻𝐻𝑎𝑎𝑑𝑑𝑎𝑎𝐶𝐶𝑎𝑎𝑁𝑁𝑎𝑎 𝑇𝑇𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶 -𝐿𝐿𝑁𝑁𝐿𝐿𝑁𝑁𝑇𝑇 2𝐻𝐻 𝐻𝐻𝐻𝐻𝐿𝐿𝐻𝐻 𝐶𝐶 𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑠𝑠𝑎𝑎𝑎𝑎𝐿𝐿𝑁𝑁 𝐿𝐿𝑎𝑎𝑇𝑇𝑎𝑎𝑁𝑁𝐶𝐶) ) ] = [ 𝑇𝑇𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙 𝑁𝑁𝐴𝐴 𝐴𝐴 𝐶𝐶𝑎𝑎𝐴𝐴ℎ 𝑂𝑂𝐴𝐴𝐴𝐴𝑓𝑓 𝑙𝑙𝑎𝑎𝑢𝑢𝐴𝐴 𝑂𝑂𝐴𝐴𝐴𝐴𝑓𝑓 [𝑙𝑙 𝑎𝑎𝑢𝑢𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴 𝐴𝐴𝐴𝐴𝑚𝑚𝐴𝐴𝑙𝑙 𝐴𝐴𝑃𝑃𝐴𝐴𝑐𝑐𝑐𝑐𝐴𝐴𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴∗ 𝑂𝑂𝐴𝐴𝐴𝐴𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 ∗ 𝑅𝑅𝐴𝐴𝐴𝐴𝑠𝑠𝐴𝐴𝑐𝑐𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴 𝑎𝑎𝐴𝐴𝐴𝐴𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢 𝑐𝑐𝑎𝑎𝐴𝐴𝐴𝐴,𝐴𝐴 .75( ) ] -𝑀𝑀𝑀𝑀𝑁𝑁 𝑀𝑀𝑙𝑙𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴 + ] ∗𝑅𝑅𝐴𝐴𝐴𝐴𝑠𝑠𝐴𝐴𝑐𝑐𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴𝑎𝑎𝑙𝑙𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑐𝑐𝑎𝑎𝐴𝐴𝐴𝐴𝐴𝐴 𝑂𝑂𝐴𝐴𝐴𝐴𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑙𝑙𝑎𝑎𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴∗𝑅𝑅𝐴𝐴𝐴𝐴𝑠𝑠𝐴𝐴𝑐𝑐𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴𝑎𝑎𝐴𝐴𝐴𝐴𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑐𝑐𝑎𝑎𝐴𝐴𝐴𝐴𝐴𝐴 𝑀𝑀𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚𝑚𝑚𝑎𝑎𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝑐𝑐ℎ𝑎𝑎𝐴𝐴𝐴𝐴𝑎𝑎𝑙𝑙 = [ 0, ] 𝑀𝑀𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚 𝑚𝑚𝑎𝑎𝐴𝐴𝑚𝑚 [ 𝑎𝑎0,𝐴𝐴 𝑐𝑐ℎ 𝑎𝑎 𝐴𝐴𝐴𝐴 𝑎𝑎 𝑙𝑙30 ] 𝑀𝑀𝐴𝐴𝑀𝑀 𝐻𝐻𝑎𝑎𝑐𝑐𝑙𝑙𝐴𝐴𝐴𝐴𝐴𝐴𝑙𝑙𝐴𝐴𝐴𝐴𝑐𝑐𝐴𝐴𝑚𝑚𝐴𝐴𝑙𝑙𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴 -𝑀𝑀𝐴𝐴𝑀𝑀 𝑁𝑁𝐴𝐴𝐴𝐴𝐴𝐴𝑎𝑎𝑚𝑚 𝑐𝑐𝐴𝐴𝑚𝑚𝐴𝐴𝑙𝑙𝑎𝑎𝐴𝐴𝑎𝑎𝑙𝑙𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑐𝑐𝑎𝑎𝐴𝐴𝑚𝑚𝑎𝑎𝐴𝐴𝐴𝐴𝑓𝑓𝑙𝑙𝑎𝑎𝑢𝑢𝑎𝑎𝑚𝑚𝑎𝑎𝐴𝐴𝑙𝑙𝐴𝐴 2 3 Outflow Adjustment Percentage Example Banking organizations subject to LCR requirements should determine their category of standards under the LCR rule and apply the appropriate outflow adjustment percentage. Outflow adjustment percentage Global systemically important BHC or GSIB depository institution 100 percent Category II Board‐regulated institution 100 percent Category III Board‐regulated institution with $75 billion or more in average weighted short‐ 100 term wholesale funding and any Category III Board‐regulated institution that is a percent consolidated subsidiary of such a Category III Board‐regulated institution Category III Board‐regulated institution with less than $75 billion in average weighted short‐ 85 term wholesale funding and any Category III Board‐regulated institution that is a percent consolidated subsidiary of such a Category III Board‐regulated institution Category IV Board‐regulated institution with $50 billion or more in average weighted short‐ 70 term wholesale funding percent Throughout the mapping tables on the following pages, “HQLA”, “Non‐HQLA”, and “Other” collateral classes are defined as follows: HQLA refers to all asset classes listed in Appendix III with a “‐Q” suffix. Non-HQLA refers to all asset classes listed in Appendix III that are not included in “Other” or HQLA. This category includes “Z‐1”. Other includes the following collateral classes only: C‐1, P‐1, P‐2, LC‐1, and LC‐2. 4 HQLA Amount Values HQLA Additive Values (1) High-Quality Liquid Assets (Subpart C, §.20-.22) Field Value Reporting Entity LCR Firm PID I.A.1, 2, and 3 Product Matches PID Sub‐Product Not Currency and Coin Market Value * Lendable Value # Maturity Bucket Open for I.A.3, # otherwise Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA (except A‐0‐Q for I.A.2) Treasury Control Y Accounting Designation # Encumbrance Type NULL Internal Counterparty # (2) Rehypothecatable Collateral (Subpart C, §.20-.22) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 4, 5, and 6 Product Matches PID Sub‐Product # Maturity Amount # Maturity Bucket # Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA (except A‐0‐Q) Collateral Value * Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # 5 (3) Rehypothecatable Collateral (Subpart C, §.20-.22) Field Value Reporting Entity LCR Firm PID S.DC. 7 and 10 Product Matches PID Sub‐Product Rehypothecatable ‐ Unencumbered Treasury Control Y Sub‐Product2 # Market Value * Collateral Class HQLA Collateral Level # Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Internal # Internal Counterparty # Business Line # HQLA Subtractive Values (4) Excluded Sub HQLA (§.22(b)(3)and(4)) Field Value Reporting Entity LCR Firm PID S.L.1 Product Matches PID Market Value * Collateral Class HQLA Internal # Internal Counterparty # (5) Early Hedge Termination Outflows (§.22(a)(3)) Field Value Reporting Entity LCR Firm PID S.L.3 Product Matches PID Market Value * Collateral Class HQLA Internal # Internal Counterparty # (6) Excess Collateral (§.22(b)(5)) Field Value Reporting Entity LCR Firm PID S.DC.15 Product Matches PID 6 Sub‐Product # Treasury Control Y SID2 # Sub‐Product2 # Market Value * Collateral Class HQLA Collateral Level # Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Internal # Internal Counterparty # Business Line # Unwind Transactions (7) Secured Lending Unwind (Subpart C, §.21) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, and 6 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days, but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value * Unencumbered Y if Effective Maturity Bucket is NULL, otherwise # Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # 7 (8) Secured Funding Unwind (Subpart C, §.21) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID SID Matches Sub‐Product Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value * Treasury Control Y Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty # G‐SIB # (9) Asset Exchange Unwind (Subpart C, §.21) Field Value Reporting Entity LCR Firm PID I.S.4 Product # Sub‐Product Level 1 HQLA, Level 2A HQLA, and Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days, not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value * Unencumbered Y if Effective Maturity Bucket is NULL, otherwise # Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # 8 Counterparty # G‐SIB # OUTFLOW VALUES (10) Stable Retail Deposits (§.32(a)(1)) Field Value Reporting Entity LCR Firm PID O.D.1 and 2 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (11) Other Retail Deposits (§.32(a)(2)) Field Value Reporting Entity LCR Firm PID O.D.1, 2, and 3 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC for PID = 1 and 2, and # for PID = 3 Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # 9 (12) Insured Placed Retail Deposits (§.32(a)(3)) Field Value Reporting Entity LCR Firm PID O.D.14 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (13) Non-Insured Placed Retail Deposits (§.32(a)(4)) Field Value Reporting Entity LCR Firm PID O.D.14 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (14) Other Retail Funding (§.32(a)(5)) Field Value Reporting Entity LCR Firm PID O.D.15 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # 10 Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated NULL Business Line # Internal # Internal Counterparty # (15) Other Retail Funding (§.32(a)(5)) Field Value Reporting Entity LCR Firm PID O.O.22 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (16) Other Retail Funding (§.32(a)(5)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket # Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # 11 Counterparty Retail or Small Business G‐SIB # (17) Other Retail Funding (§.32(a)(5)) Field Value Reporting Entity LCR Firm PID O.W.18 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (18) Structured Transaction Outflow Amount (§.32(b)) (The total amount for 32(b) is the relevant commitment amounts plus the incremental increase from O.O.21) Field Value Reporting Entity LCR Firm PID O.O.21 (adds the incremental amount) Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (19) Net Derivatives Cash Outflow Amount (§.32(c)) Field Value Reporting Entity LCR Firm PID O.O.20 Product Matches PID Counterparty # 12 G‐SIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (20) Mortgage Commitment Outflow Amount (§.32(d)) Field Value Reporting Entity LCR Firm PID O.O.6 Product Matches PID Counterparty Retail G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (21) Affiliated DI Commitments (§.32(e)(1)(i)) Field Value Reporting Entity LCR Firm that is a depository institution PID O.O.4 and 5 Product Matches PID Counterparty Bank G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class *3 Collateral Value *4 3 For the purpose of all tables mapped to commitment outflow amounts in section .32(e), the Collateral Class field should be used to identify commitment exposures that are secured by Level 1 or Level 2A HQLA, in accordance with sections .32(e)(2) and (3). 4 For the purpose of all tables mapped to commitment outflow amounts in section .32(e), the Collateral Value field should be used to identify the amount of Level 1 or Level 2A HQLA securing the commitment exposure in accordance with sections .32(e)(2) and (3). 13 Internal Y Internal Counterparty Bank from the U.S. subject to the LCR Business Line # (22) Retail Commitments (§.32(e)(1)(ii)) Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # (23) Non-Financial Corporate Credit Facilities (§.32(e)(1)(iii)) Field Value Reporting Entity LCR Firm PID O.O.4 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # (24) Non-Financial Corporate Liquidity Facilities (§.32(e)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.O.5 and 18 Product Matches PID 14 Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Municipalities for VRDN Structures G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # (25) Bank Commitments (§.32(e)(1)(v)) Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Bank G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal Y Internal Counterparty Bank not from the U.S. or Bank from the U.S. not subject to the LCR Business Line # (26) Bank Commitments (§.32(e)(1)(v)) Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Bank G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal N 15 Internal Counterparty NULL Business Line # (27) Non-Bank and Non-SPE Financial Sector Entity Credit Facilities (§.32(e)(1)(vi)) Field Value Reporting Entity LCR Firm PID O.O.4 Product Matches PID Counterparty Pension Fund, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # (28) Non-Bank and Non-SPE Financial Sector Entity Liquidity Facilities (§.32(e)(1)(vii)) Field Value Reporting Entity LCR Firm PID O.O.5 and 18 Product Matches PID Counterparty Pension Fund, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # 16 (29) Debt Issuing SPE Commitments (§.32(e)(1)(viii)) Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Debt Issuing SPE G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # (30) Other Commitments (§.32(e)(1)(ix)) Field Value Reporting Entity LCR Firm PID O.O.4, 5 and 18 Product Matches PID Counterparty Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days for O.O.4, O.O.5; # for O.O.18 Forward Start Amount # Forward Start Bucket # Collateral Class * Collateral Value * Internal # Internal Counterparty # Business Line # (31) Changes in Financial Condition (§.32(f)(1)) Field Value Reporting Entity LCR Firm PID O.O.16 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # 17 Collateral Value # Internal # Internal Counterparty # Business Line # (32) Changes in Financial Condition (§.32(f)(1)) Field Value Reporting Entity LCR Firm PID O.O.12 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (33) Derivative Collateral Potential Valuation Changes (§.32(f)(2)) Field Value Reporting Entity LCR Firm PID S.DC.5, 6, 8, and 9 Product Matches PID Sub‐Product # Sub‐Product2 Not OTC – Centralized (Agent) or Exchange‐ traded (Agent) Market Value * Collateral Class Not level 1 HQLA Collateral Level # Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # 18 (34) Potential Derivative Valuation Changes (§.32(f)(3)) Field Value Reporting Entity LCR Firm PID O.O.8 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (35) Collateral Deliverables (§.32(f)(4)) Field Value Reporting Entity LCR Firm PID S.DC.15 Product Matches PID Sub‐Product # Sub‐Product2 # Market Value * Collateral Class Non‐HQLA or Other Collateral Level # Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (36) Collateral Deliverables (§.32(f)(4)) Field Value Reporting Entity LCR Firm PID S.DC.15 Product Matches PID Sub‐Product # Sub‐Product2 # Market Value * Collateral Class HQLA Collateral Level # 19 Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control N Internal # Internal Counterparty # Business Line # (37) Collateral Deliverables (§.32(f)(5)) Field Value Reporting Entity LCR Firm PID S.DC.16 Product Matches PID Sub‐Product # Sub‐Product2 # Market Value * Collateral Class # Collateral Level # Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (38) Collateral Substitution (§.32(f)(6)) Field Value Reporting Entity LCR Firm PID S.DC.18 and 20 Product Matches PID Sub‐Product # Sub‐Product2 # Market Value * Collateral Class # Collateral Level # Counterparty # G‐SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # 20 Internal Counterparty # Business Line # (39) Other Brokered Retail Deposits Maturing within 30 days (§.32(g)(1)) Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days (but not open) Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (40) Other Brokered Retail Deposits Maturing later than 30 days (§.32(g)(2)) Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket > 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (41) Insured Other Brokered Retail Deposits with No Maturity(§.32(g)(3)) Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business 21 G‐SIB # Maturity Amount * Maturity Bucket Open Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (42) Not Fully Insured Other Brokered Retail Deposits with No Maturity (§.32(g)(4)) Field Value Reporting Entity LCR Firm PID O.D.8 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket Open Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (43) Insured Reciprocal (§.32(g)(5)) Field Value Reporting Entity LCR Firm PID O.D.13 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # 22 Business Line # Internal # Internal Counterparty # (44) Not Fully Insured Reciprocal (§.32(g)(6)) Field Value Reporting Entity LCR Firm PID O.D.13 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line Internal # Internal Counterparty # (45) Insured Affiliated Sweeps (§.32(g)(7)) Field Value Reporting Entity LCR Firm PID O.D.9 and 10 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (46) Insured Non-Affiliated Sweeps (§.32(g)(8)) Field Value Reporting Entity LCR Firm PID O.D.11 Product Matches PID 23 Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (47) Sweeps that are not Fully Insured (§.32(g)(9)) Field Value Reporting Entity LCR Firm PID O.D.9, 10 and 11 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (48) Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(i)) Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other 24 Collateral Value NULL Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (49) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(ii)(A)) Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value NULL Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (50) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(ii)(A)) Field Value Reporting Entity LCR Firm PID O.W.9, 10, 17, 18 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # 25 Loss Absorbency # Business Line # (51) Not Fully Insured Unsecured Wholesale Non-Operational Non-Financial (§.32(h)(1)(ii)(A)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6, 7, 11 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Other Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (52) Unsecured Wholesale Brokered Deposit Non-Operational Non-Financial (§.32(h)(1)(ii)(B)) Field Value Reporting Entity LCR Firm PID O.D.8 – 11, 13 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value NULL Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # 26 (53) Financial Non-Operational (§.32(h)(2)) Field Value Reporting Entity LCR Firm PID O.D.5, 6, 8‐11 and 13 Product Matches PID Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value NULL Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (54) Financial Non-Operational (§.32(h)(2)) Field Value Reporting Entity LCR Firm PID O.W.9, 10, 17, and 18 Product Matches PID Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line # 27 (55) Financial Non-Operational (§.32(h)(2)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 7, 11 Product Matches PID Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Other Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line # (56) Issued Debt Securities Maturing within 30 Days (§.32(h)(2)) Field Value Reporting Entity LCR Firm PID O.W.8, 11‐16 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class * Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (57) Insured Operational Deposits (§.32(h)(3)) Field Value Reporting Entity LCR Firm PID O.D.4 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # 28 Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value # Insured FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (58) Not Fully Insured Operational Deposits (§.32(h)(4)) Field Value Reporting Entity LCR Firm PID O.D.4 Product Matches PID Counterparty All except Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (59) Not Fully Insured Operational Deposits (§.32(h)(4)) Field Value Reporting Entity LCR Firm PID O.D.7 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value # Insured # Trigger # Rehypothecated # Business Line # 29 Internal # Internal Counterparty # (60) Other Unsecured Wholesale (§.32(h)(5)) Field Value Reporting Entity LCR Firm PID O.D.14 and 15 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class NULL or Other Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (61) Other Unsecured Wholesale (§.32(h)(5)) Field Value Reporting Entity LCR Firm PID O.W.19 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # (62) Issued Not Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker (§.32(i)(1)) Field Value Reporting Entity LCR Firm PID S.L.4 Product Matches PID Market Value * 30 Collateral Class # Internal # Internal Counterparty # (63) Issued Structured Debt Securities Maturing Outside 30 Days when Primary Market Maker (§.32(i)(2)) Field Value Reporting Entity LCR Firm PID S.L.5 Product Matches PID Market Value * Collateral Class # Internal # Internal Counterparty # *Footnotes appearing in the Secured Funding L1 tables regarding central bank secured funding apply to all other secured funding tables. (64) Secured Funding L1 (§.32(j)(1)(i)) Field Value Reporting Entity LCR Firm PID O.D.4, 5, 6 and 7 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate)5, GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured # Trigger # Rehypothecated # Business Line # Internal # 5 Central bank is determined by currency. For central banks whose currencies are not included in the major currencies reported, the outflow rate will be assumed to be 0% because the jurisdiction cannot be determined. 31 Internal Counterparty # (65) Secured Funding L1 (§.32(j)(1)(i)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6 (FRB and other central banks where the sovereign has not established an LCR outflow rate)6, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Non‐Financial Corporate, Sovereign, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate), GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # (66) Secured Funding L1 (§.32(j)(1)(i)) Field Value Reporting Entity LCR Firm PID O.W.1‐7 Product Matches PID Counterparty # G‐SIB # Maturity Amount * 6 For O.S.6, if the counterparty is OCB, the outflow rate will be assumed to be 0% because the jurisdiction cannot be determined. 32 Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (67) Secured Funding L2A (§.32(j)(1)(ii)) Field Value Reporting Entity LCR Firm PID O.D.4 (not FDIC insured), 5, 6 and 7 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate), GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured If O.D.4 then not FDIC, otherwise # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # 33 (68) Secured Funding L2A (§.32(j)(1)(ii)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6 (FRB and other central banks where the sovereign has not established an LCR outflow rate), 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Non‐Financial Corporate, Sovereign, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate), GSE, PSE, MDB, Other Supranational, Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # (69) Secured Funding L2A (§.32(j)(1)(ii)) Field Value Reporting Entity LCR Firm PID O.W.1‐7 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2A HQLA 34 Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (70) Secured Funding from Governmental Entities not L1 or L2A (§.32(j)(1)(iii)) Field Value Reporting Entity LCR Firm PID O.D.4, 5 and 6 (if not FDIC insured) and 7 Product Matches PID Counterparty Sovereign, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate), GSE, or MDB G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA or Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured Not FDIC for O.D.4‐6, # for O.D.7 Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (71) Secured Funding from Governmental Entities not L1 or L2A (§.32(j)(1)(iii)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 6 (FRB and other central banks where the sovereign has not established an LCR outflow rate), 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # 35 Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA or Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Sovereign, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate), GSE, or MDB G‐SIB # (72) Secured Funding L2B (§.32(j)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.D.4 and 7 (only collateralized deposits)77 Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured # Trigger # Rehypothecated Y Business Line # Internal # 7 Secured deposits must meet the definition of a “collateralized deposit” under .32 of the LCR rule to be eligible for reporting under O.D.4 or O.D.7 (subject to the additional definitional requirements of these products). Secured deposits that do not meet the definition of a “collateralized deposit” should be reported under O.D.5 or O.D.6. 36 Internal Counterparty # (73) Secured Funding L2B (§.32(j)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐ Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other, G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured # Trigger # Rehypothecated Y for Non‐Financial Corporate, PSE, Other Supranational, Debt Issuing SPE, Other; # for Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund Business Line # Internal # Internal Counterparty # (74) Secured Funding L2B (§.32(j)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA 37 Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated Y for Non‐Financial Corporate, PSE, Other Supranational, Debt Issuing SPE, Other; # for Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund CID Matches Counterparty Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐ Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # (75) Secured Funding L2B (§.32(j)(1)(iv)) Field Value Reporting Entity LCR Firm PID O.W.1‐7 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # 38 (76) Customer Shorts Funded by Non-HQLA Customer Longs (§.32(j)(1)(v)) Field Value Reporting Entity LCR Firm PID O.S.7 Product Matches PID Sub‐Product Customer Long Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐ Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # (77) Secured Funding Non-HQLA (§.32(j)(1)(vi)) Field Value Reporting Entity LCR Firm PID O.D.4 and 7 (only collateralized deposits) Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured # 39 Trigger # Rehypothecated Y Business Line # Internal # Internal Counterparty # (78) Secured Funding Non-HQLA (§.32(j)(1)(vi)) Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐ Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Insured # Trigger # Rehypothecated Y for Non‐Financial Corporate, PSE, Other Supranational, Debt Issuing SPE, Other; # for Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund Business Line # Internal # Internal Counterparty # (79) Secured Funding Non-HQLA (§.32(j)(1)(vi)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Customer Long, Unsettled (Regular Way) or Unsettled (Forward); #otherwise Maturity Amount * Maturity Bucket <= 30 calendar days 40 Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated Y for Non‐Financial Corporate, PSE, Other Supranational, Debt Issuing SPE, Other; # for Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐ Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # (80) Secured Funding Non-HQLA (§.32(j)(1)(vi)) Field Value Reporting Entity LCR Firm PID O.W.1‐7 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale funding under .32(h) Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # 41 (81) Secured but Lower Unsecured Rate (§.32(j)(2)) Field Value Reporting Entity LCR Firm PID O.D.5 and 6 Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B HQLA or Non‐HQLA Collateral Value # Insured * Trigger # Rehypothecated N Business Line # Internal # Internal Counterparty # (82) Secured but Lower Unsecured Rate (§.32(j)(2)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3, 5, 7 and 11 Product Matches PID Sub‐Product For O.S.7 must be firm long, otherwise # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA or Non‐HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated N Counterparty Non‐Financial Corporate, PSE, Other Supranational, Debt Issuing SPE, Other G‐SIB # 42 (83) Secured but Lower Unsecured Rate (§.32(j)(2)) Field Value Reporting Entity LCR Firm PID O.D.4 (only collateralized deposits) Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐ Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other; if FDIC insured: Sovereigns, GSEs, MDBs, Central Bank (FRB and other central banks where the sovereign has not established its own outflow rate) G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class If FDIC insured: Not Level 1; if not FDIC insured: Level 2B or Non‐HQLA Collateral Value # Insured * Trigger # Rehypothecated N Business Line # Internal # Internal Counterparty # (84) Secured but Lower Unsecured Rate (§.32(j)(2)) Field Value Reporting Entity LCR Firm PID O.D.7 (only collateralized deposits) Product Matches PID Counterparty Non‐Financial Corporate, PSE, Other Supranational, Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class Level 2B or Non‐HQLA Collateral Value # Insured # Trigger # 43 Rehypothecated N Business Line # Internal # Internal Counterparty # (85) Asset Exchange Post L1 Receive L1 (§.32(j)(3)(i)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # CID # Counterparty # G‐SIB # (86) Asset Exchange Post L1 Receive L2A (§.32(j)(3)(ii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2A HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # 44 Business Line # Settlement # CID # Counterparty # G‐SIB # (87) Asset Exchange Post L1 Receive L2B (§.32(j)(3)(iii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2B HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB # (88) Asset Exchange Post L1 Receive Non-HQLA (§.32(j)(3)(iv)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Non‐HQLA or No Collateral Pledged Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # 45 Business Line # Settlement # Counterparty # G‐SIB # (89) Asset Exchange Post L2A Receive L1 or L2A (§.32(j)(3)(v)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA or level 2A HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB # (90) Asset Exchange Post L2A Receive L2B (§.32(j)(3)(vi)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2B HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # 46 Settlement # Counterparty # G‐SIB # (91) Asset Exchange Post L2A Receive Non-HQLA (§.32(j)(3)(vii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Non‐HQLA or No Collateral Pledged Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB (92) Asset Exchange Post L2B Receive L1, L2A or L2B (§.32(j)(3)(viii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product HQLA Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # 47 Counterparty # G‐SIB # (93) Asset Exchange Post L2B Receive Non-HQLA (§.32(j)(3)(ix)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Non‐HQLA or No Collateral Pledged Maturity Amount # Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL or <= 30 calendar days but not open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB # (94) Asset Exchange Post Rehypothecated Assets >30 days Receive L1 (§.32(j)(3)(x)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # 48 G‐SIB (95) Asset Exchange Post Rehypothecated Assets >30 days Receive L2A (§.32(j)(3)(xi)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB (96) Asset Exchange Post Rehypothecated Assets >30 days Receive L2B (§.32(j)(3)(xii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB # 49 (97) Asset Exchange Post Rehypothecated Assets >30 days Receive Non-HQLA (§.32(j)(3)(xiii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Non‐HQLA or No Collateral Pledged Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty # G‐SIB # (98) Foreign Central Banking Borrowing (§.32(k)) Field Value Reporting Entity LCR Firm PID O.D.4, 5, 6, 7 (only collateralized deposits) (foreign central banks where the sovereign has established an LCR outflow rate; if the foreign central bank has not established an outflow rate, then the outflow should be calculated through the secured funding tables above, see relevant footnotes above) Product Matches PID Counterparty Central Bank G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Collateral Class * Collateral Value * Insured # Trigger # Rehypothecated # Business Line # Internal # 50 Internal Counterparty # (99) Foreign Central Banking Borrowing (§.32(k)) Field Value Reporting Entity LCR Firm PID O.S.1, 2, 3 (foreign central banks where the sovereign has established an LCR outflow rate; if the foreign central bank has not established an outflow rate, then the outflow should be calculated through the secured funding tables above, see relevant footnotes above) Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class * Collateral Value * Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Central Bank G‐SIB # (100) Foreign Central Banking Borrowing (§.32(k)) Field Value Reporting Entity LCR Firm PID O.S.6 (foreign central banks where the sovereign has established an LCR outflow rate; if the foreign central bank has not established an outflow rate, then the outflow should be calculated through the secured funding tables above) Product Matches PID Sub‐Product Specific central bank Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class * Collateral Value * 51 Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Central Bank G‐SIB (101) Other Contractual Outflows (§.32(l)) Field Value Reporting Entity LCR Firm PID O.O.19 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # (102) Other Contractual Outflows (§.32(l)) Field Value Reporting Entity LCR Firm PID O.O.22 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Internal # Internal Counterparty # Business Line # 52 INFLOW VALUES (103) Net Derivatives Cash Inflow Amount (§.33(b)) Field Value Reporting Entity LCR Firm PID I.O.7 Product Matches PID Maturity Amount * Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Treasury Control # Counterparty # G‐SIB # Internal # Internal Counterparty # Business Line # (104) Retail Cash Inflow Amount (§.33(c)) Field Value Reporting Entity LCR Firm PID I.U.5 and 6 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # 53 (105) Retail Cash Inflow Amount (§.33(c)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Retail or Small Business G‐SIB # (106) Financial and Central Bank Cash Inflow Amount (§.33(d)(1)) Field Value Reporting Entity LCR Firm PID I.U.1, 2, 4, 5, 6 and 8 Product Matches PID Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund, Central Bank G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # 54 (107) Financial and Central Bank Cash Inflow Amount (§.33(d)(1)) Field Value Reporting Entity LCR Firm PID I.A.3 Product Matches PID Sub‐Product # Market Value * Lendable Value # Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class A‐0‐Q Treasury Control # Accounting Designation # Effective Maturity Bucket # Encumbrance Type # Internal Counterparty # (108) Financial and Central Bank Cash Inflow Amount (§.33(d)(1)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Other Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund, Central Bank G‐SIB # 55 (109) Non-Financial Wholesale Cash Inflow Amount (§.33(d)(2)) Field Value Reporting Entity LCR Firm PID I.U.1, 2, and 6 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (110) Non-Financial Wholesale Cash Inflow Amount (§.33(d)(2)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Other Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Non‐Financial Corporate, Sovereign, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # 56 (111) Securities Cash Inflow Amount (§.33(e)) Field Value Reporting Entity LCR Firm PID I.O.6 and I.O.8 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA securities Collateral Value # Treasury Control # Counterparty # G‐SIB # Internal # Internal Counterparty # Business Line # (112) Securities Cash Inflow Amount (§.33(e)) Field Value Reporting Entity LCR Firm PID I.O.6 and I.O.8 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value # Treasury Control N Counterparty # G‐SIB # Internal # Internal Counterparty # Business Line # (113) Secured Lending when Asset Rehypothecated not returned within 30 days (§.33(f)(1)(i)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, and 6 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Encumbrance Type # 57 Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered N Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (114) Secured Lending when Asset Available for Return (§.33(f)(1)(ii)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (115) Secured Lending when Asset Available for Return (§.33(f)(1)(ii)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 6, 7 and 8 Product Matches PID Sub‐Product # 58 Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered N Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (116) Secured Lending when Asset Available for Return (§.33(f)(1)(ii)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered # Treasury Control N Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # 59 Counterparty Not Retail or Small Business G‐SIB # (117) Secured Lending with L1 HQLA (§.33(f)(1)(iii)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (118) Secured Lending with L1 HQLA (§.33(f)(1)(iii)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA 60 Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (119) Secured Lending with L2A HQLA (§.33(f)(1)(iv)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # 61 (120) Secured Lending with L2A HQLA (§.33(f)(1)(iv)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (121) Secured Lending with L2B HQLA (§.33(f)(1)(v)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered # 62 Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (122) Secured Lending with L2B HQLA (§.33(f)(1)(v)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 5, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket NULL Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered Y Treasury Control Y Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (123) Secured Lending with Non-HQLA (§.33(f)(1)(vi)) Field Value Reporting Entity LCR Firm PID I.S.1, 2, 3, 6, 7 and 8 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days but not Open 63 Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA Collateral Value To the extent the Collateral Value is less than the Maturity Amount, treat the Maturity Amount less the Collateral Value amount as unsecured wholesale lending under .33(d) Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # (124) Margin Loans for Non-HQLA (§.33(f)(1)(vii)) Field Value Reporting Entity LCR Firm PID I.S.5 Product Matches PID Sub‐Product # Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty Not Retail or Small Business G‐SIB # 64 (125) Asset Exchange Collateral Rehypothecated and Not Returning within 30 days (§.33(f)(2)(i)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product * Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket > 30 calendar days or Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (126) Asset Exchange Post L1 Receive L1 (§.33(f)(2)(ii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # 65 Counterparty # G‐SIB # (127) Asset Exchange Post L2A Receive L1 (§.33(f)(2)(iii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (128) Asset Exchange Post L2B Receive L1 (§.33(f)(2)(iv)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # 66 Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (129) Asset Exchange Post Non-HQLA Receive L1 (§.33(f)(2)(v)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 1 HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA or Other Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (130) Asset Exchange Post L2A Receive L2A (§.33(f)(2)(vi)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value # Unencumbered # 67 Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (131) Asset Exchange Post L2B Receive L2A (§.33(f)(2)(vii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (132) Asset Exchange Post Non-HQLA Receive L2A (§.33(f)(2)(viii)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2A HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL 68 Collateral Class Non‐HQLA or Other Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (133) Asset Exchange Post L2B Receive L2B (§.33(f)(2)(ix)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (134) Asset Exchange Post Non-HQLA Receive L2B (§.33(f)(2)(x)) Field Value Reporting Entity LCR Firm PID I.S.4 Product Matches PID Sub‐Product Level 2B HQLA Maturity Amount * Maturity Bucket <= 30 calendar days Maturity Optionality # Effective Maturity Bucket <= 30 calendar days or NULL but not Open 69 Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA or Other Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # (135) Broker-Dealer Segregated Account Inflow Amount (§.33(g)) Field Value Reporting Entity LCR Firm PID I.O.5 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days Forward Start Amount # Forward Start Bucket # Collateral Class # Collateral Value # Treasury Control # Counterparty # G‐SIB # Internal # Internal Counterparty # Business Line # (136) Other Cash Inflow Amount (§.33(h)) Field Value Reporting Entity LCR Firm PID I.O.9 Product Matches PID Maturity Amount * Maturity Bucket <= 30 calendar days but not Open Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Treasury Control # Counterparty # G‐SIB # 70 Internal # Internal Counterparty # Business Line # 71 APPENDIX VII: Short-Term Wholesale Funding (STWF) to FR 2052a Mapping Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to assist reporting firms that must file Schedule G or N (STWF Indicator) of the FR Y‐15 (Banking Organization Systemic Risk Report) in mapping the specific line items on Schedule G or N to the unique data identifiers reported on the FR 2052a. This mapping document is not a part of any regulation nor a component of official guidance related to the FR 2052a or FR Y‐15 reports. Firms may use this mapping document solely at their discretion. From time to time, to ensure accuracy, an updated mapping document may be published and reporting firms will be notified of these changes. Key * Values relevant to Schedule G or N of the FR Y‐15 # Values not relevant to Schedule G or N of the FR Y‐15 NULL Should not have an associated value FR 2052a to FR Y-15, Schedule G Map Item 1.a: Funding secured by level 1 liquid assets (sum of tables 1‐3) (1) O.D. PIDs for item 1.a Field Value Reporting Entity FR Y‐15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14 ,15 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Level 1 HQLA Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # 1 (2) O.S. PIDs for item 1.a Field Value Reporting Entity FR Y‐15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID Sub‐product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business G‐SIB # (3) O.W. PIDs for item 1.a Field Value Reporting Entity FR Y‐15 Firm Currency * Converted # PID O.W.1‐7, 9‐19 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Level 1 HQLA Collateral Value # 2 Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # Item 1.b: Retail brokered deposits and sweeps (table 4) (4) O.D. PIDs for item 1.b Field Value Reporting Entity FR Y‐15 Firm PID O.D.8, 9, 10, 11 and 13 Product Matches PID Counterparty Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # Item 1.c: Unsecured wholesale funding obtained outside of the financial sector (sum of tables 5 and 6) (5) O.D. PIDs for item 1.c Field Value Reporting Entity FR Y‐15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14, 15 Product Matches PID CID Matches Counterparty Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other Maturity Amount * 3 Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class NULL or Other Collateral Value # Insured # Trigger # Rehypothecated # Loss Absorbency # Business Line # Internal # Internal Counterparty # (6) O.W. PIDs for item 1.c Field Value Reporting Entity FR Y‐15 Firm PID O.W.9, 10, 17, 18, 19 Product Matches PID Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class NULL or Other Collateral Value NULL Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (7) O.S. PIDs for item 1.c Field Value Reporting Entity FR Y‐15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID Sub‐product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * 4 Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Other Collateral Value # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Rehypothecated # Counterparty Non‐Financial Corporate, Sovereign, Central Bank, GSE, PSE, MDB, Other Supranational, Debt Issuing SPE, Other G‐SIB # Item 1.d: Firm short positions involving level 2B liquid assets or non‐HQLA (table 7) (8) O.S. PIDs for item 1.d Field Value Reporting Entity FR Y‐15 Firm Currency * Converted # PID O.S.8 Product Matches PID Sub‐Product External Cash Transaction, External Non‐Cash Transaction, Customer Longs Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount # Forward Start Bucket # Collateral Class Level 2B HQLA or Non‐HQLA Collateral Value # Collateral Currency # Treasury Control # Internal # Internal Counterparty # Business Line # 5 Settlement # Rehypothecated # Counterparty # G‐SIB # Item 2.a: Funding secured by level 2A liquid assets (sum of tables 8‐10) (9) O.D. PIDs for item 2.a Field Value Reporting Entity FR Y‐15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14, 15 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Level 2A HQLA Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (10) O.S. PIDs for item 2.a Field Value Reporting Entity FR Y‐15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA 6 Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business G‐SIB # (11) O.W. PIDs for item 2.a Field Value Reporting Entity FR Y‐15 Firm PID O.W.1‐7, 9‐19 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Level 2A HQLA Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # Item 2.b: Covered asset exchanges (level 1 to level 2A) (table 11) (12) O.S. PIDs for item 2.b Field Value Reporting Entity FR Y‐15 Firm PID O.S.4 Product Matches PID Sub‐Product Level 1 Received Maturity Amount * 7 Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty # G‐SIB # Item 3.a: Funding secured by level 2B liquid assets (sum of tables 12‐14) (13) O.D. PIDs for item 3.a Field Value Reporting Entity FR Y‐15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14 and 15 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # 8 (14) O.S. PIDs for item 3.a Field Value Reporting Entity FR Y‐15 Firm PID O.S.1, 2, 3, 5, 6, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business G‐SIB # (15) O.W. PIDs for item 3.a Field Value Reporting Entity FR Y‐15 Firm PID O.W.1‐7, 9‐19 Product Matches PID Counterparty # G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Level 2B HQLA Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # 9 Internal Counterparty # Loss Absorbency # Business Line # Item 3.b: Other covered asset exchanges (table 15) (16) O.S. PIDs for item 3.b Field Value Reporting Entity FR Y‐15 Firm PID I.S.4 Product Matches PID Sub‐Product Level 2b Pledged, Non‐HQLA Pledged, No Collateral Pledged Maturity Amount # Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Effective Maturity Bucket # Encumbrance Type # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class For Sub‐Product value of Level 2b Pledged: Level 1 or Level 2A HQLA; For Sub‐Product values of Non‐ HQLA Pledged and No Collateral Pledged: all HQLA Collateral Value * Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # Counterparty # G‐SIB # Item 3.c: Unsecured wholesale funding obtained within the financial sector (sum of tables 16 and 17) (17) O.D. PIDs for item 3.c Field Value Reporting Entity FR Y‐15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14, 15 Product Matches PID Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ 10 Regulated Fund G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class NULL or Other Collateral Value # Insured # Trigger # Rehypothecated # Business Line # Internal # Internal Counterparty # (18) O.W. PIDs for item 3.c Field Value Reporting Entity FR Y‐15 Firm PID O.W.8‐19 Product Matches PID Counterparty For O.W.8, 11‐16: #; For O.W.9, 10, 17, 18, 19: Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐Regulated Fund, or NULL G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class NULL Collateral Value NULL Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (19) O.S. PIDs for item 3.c Field Value Reporting Entity FR Y‐15 Firm PID O.S.1, 2, 3, 7 and 11 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Other Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Pension Fund, Bank, Broker‐Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non‐Bank Financial Entity, Non‐ Regulated Fund G‐SIB # Item 4: All other components of short‐term wholesale funding (sum of tables 18‐20) (20) O.D. PIDs for item 4 Field Value Reporting Entity FR Y‐15 Firm PID O.D.5, 6, 8, 9, 10, 11, 13, 14, 15 Product Matches PID Counterparty Not Retail or Small Business G‐SIB # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Non‐HQLA Collateral Value Insured # Trigger # 12 Rehypothecated # Business Line # Internal # Internal Counterparty # (21) O.S. PIDs for item 4 Field Value Reporting Entity FR Y‐15 Firm PID O.S.1, 2, 5, 6, 7 and 11 Product Matches PID Sub‐Product For O.S.7, cannot be Unsettled (Regular Way) or Unsettled (Forward), # otherwise Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Non‐HQLA Collateral Value # Treasury Control # Internal # Internal Counterparty # Business Line # Settlement # Rehypothecated # Counterparty Not Retail or Small Business G‐SIB # (22) O.W. PIDs for item 4 Field Value Reporting Entity FR Y‐15 Firm PID O.W.1‐7 Product Matches PID Counterparty # Maturity Amount * Maturity Bucket Column A: <=30 days Column B: 31 to 90 days Column C: 91 to 180 days Column D: 181 days to 1 yr Maturity Optionality # Collateral Class Non‐HQLA Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL 13 Internal # Internal Counterparty # Loss Absorbency # Business Line # 14 APPENDIX VIII: NSFR to FR 2052a Mapping Staff of the Board of Governors of the Federal Reserve System (Board) has developed this document to assist reporting firms subject to the Liquidity Risk Measurement Standards (LRM standards)1 in mapping the provisions applicable to the Net Stable Funding Ratio (NSFR) to the unique data identifiers reported on FR 2052a. This mapping document is not a part of the LRM Standards nor a component of the FR 2052a report. Firms may use this mapping document solely at their discretion. From time to time, to ensure accuracy, an updated mapping document may be published and reporting firms will be notified of these changes. Reference Key Reference Meaning * Values relevant to the NSFR (e.g., value field aggregated to determine ASF or RSF amount) # Values not relevant to the NSFR NULL Should not have an associated value Level 1 HQLA [Collateral Class] values of: A-0-Q, A-1-Q, A-2-Q, A-3-Q, A-4-Q, A-5-Q, S-1-Q, S-2-Q, S-3-Q, S-4-Q, CB-1-Q, CB-2-Q Level 2A HQLA [Collateral Class] values of: G-1-Q, G-2-Q, G-3-Q, S-5-Q, S-6-Q, S-7-Q, CB-3-Q Level 2B HQLA [Collateral Class] values of: E-1-Q, E-2-Q, IG-1-Q, IG-2-Q HQLA [Collateral Class] values listed in Level 1, Level 2A and Level 2B HQLA above Financial Sector Entity [Counterparty] values of: Pension Fund, Bank, Broker-Dealer, Investment Company or Advisor, Financial Market Utility, Other Supervised Non-Bank Financial Entity, Non-Regulated Fund Non-Financial [Counterparty] values of: Non-Financial Corporate, Sovereign, Government Wholesale Entity Sponsored Entity, Public Sector Entity, Multilateral Development Bank, Other Supranational, Debt Issuing SPE, Other NSFR Calculation 𝐴𝐴𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁 = 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝐴𝐴𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = �𝐴𝐴𝑁𝑁𝑁𝑁 𝐴𝐴𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑉𝑉𝑎𝑎𝑉𝑉𝑎𝑎𝑉𝑉𝑉𝑉𝑎𝑎 ∗𝐴𝐴𝑁𝑁𝑁𝑁 𝑓𝑓𝑎𝑎𝑓𝑓𝑎𝑎𝑎𝑎𝑓𝑓𝑎𝑎 Where “a” corre−spo 𝐷𝐷n𝑉𝑉d𝐷𝐷s 𝑎𝑎to𝑓𝑓 𝑎𝑎e𝐷𝐷a𝑎𝑎c𝑎𝑎h 𝑎𝑎 m𝑓𝑓a 𝑎𝑎p𝑎𝑎p𝑎𝑎in 𝑎𝑎g𝑓𝑓 t𝑎𝑎a𝑎𝑎b𝑉𝑉le𝑓𝑓 𝑉𝑉ID𝑓𝑓𝑓𝑓 i𝑎𝑎n 𝑡𝑡th𝑉𝑉𝑉𝑉e 𝑉𝑉A𝑒𝑒S𝑓𝑓F𝑉𝑉 A𝑉𝑉𝑉𝑉m 𝑉𝑉o𝑎𝑎u𝑡𝑡n𝑉𝑉t 𝐷𝐷V𝐷𝐷a𝐷𝐷𝑎𝑎lu𝑓𝑓e𝑠𝑠s 𝑉𝑉b𝑎𝑎e𝑎𝑎lo𝑡𝑡w𝑉𝑉𝑉𝑉 𝑓𝑓𝑎𝑎𝑎𝑎𝐷𝐷𝐷𝐷𝑎𝑎𝑓𝑓 (§.109) 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝑁𝑁𝑎𝑎𝑎𝑎 𝐷𝐷𝑉𝑉𝑓𝑓𝐷𝐷𝑑𝑑𝑎𝑎𝑎𝑎𝐷𝐷𝑑𝑑𝑉𝑉 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 + 𝐷𝐷𝑉𝑉𝑓𝑓𝐷𝐷𝑑𝑑𝑎𝑎𝑎𝑎𝐷𝐷𝑑𝑑𝑉𝑉 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 1 Refer to LRM Standards as defined in the FR 2052a instructions. 1 𝑁𝑁𝑎𝑎𝑎𝑎 𝐷𝐷𝑉𝑉𝑓𝑓𝐷𝐷𝑑𝑑𝑎𝑎𝑎𝑎𝐷𝐷𝑑𝑑𝑉𝑉 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = �𝑁𝑁𝑁𝑁𝑁𝑁 𝐴𝐴𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 𝑉𝑉𝑎𝑎𝑉𝑉𝑎𝑎𝑉𝑉𝑉𝑉𝑟𝑟 ∗ 𝑁𝑁𝑁𝑁𝑁𝑁 𝑓𝑓𝑎𝑎𝑓𝑓𝑎𝑎𝑎𝑎𝑓𝑓𝑟𝑟 Where “r” corresponds to each mapping table ID in the RSF Amount Values section below, excluding the subsection “Calculation of NSFR derivatives amounts (§.107)”. 𝐷𝐷𝑉𝑉𝑓𝑓𝐷𝐷𝑑𝑑𝑎𝑎𝑎𝑎𝐷𝐷𝑑𝑑𝑉𝑉 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝐶𝐶𝑎𝑎𝑓𝑓𝑓𝑓𝑉𝑉𝑎𝑎𝑎𝑎 𝑎𝑎𝑓𝑓𝑎𝑎𝑎𝑎𝑉𝑉𝑎𝑎𝑓𝑓𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 ∗ 1 + 𝑃𝑃𝑎𝑎𝑎𝑎𝑉𝑉𝑎𝑎𝑎𝑎𝐷𝐷𝑎𝑎𝑉𝑉 𝑑𝑑𝑎𝑎𝑉𝑉𝑎𝑎𝑎𝑎𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎 𝑓𝑓ℎ𝑎𝑎𝑎𝑎𝑓𝑓𝑉𝑉𝑉𝑉 ∗ 0.05 + (𝐶𝐶𝑎𝑎𝑎𝑎𝑎𝑎𝑓𝑓𝐷𝐷𝑡𝑡𝑎𝑎𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎𝑉𝑉 𝑎𝑎𝑎𝑎 𝐶𝐶𝐶𝐶𝑃𝑃 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑉𝑉𝐷𝐷𝑚𝑚𝑉𝑉𝐷𝐷 𝑉𝑉𝑎𝑎𝑉𝑉𝑉𝑉 𝑉𝑉ℎ𝑎𝑎𝑓𝑓𝐷𝐷𝑎𝑎𝑓𝑓 𝑎𝑎𝑓𝑓𝑓𝑓𝑎𝑎𝑎𝑎𝑓𝑓𝑉𝑉𝑎𝑎𝑉𝑉𝑎𝑎𝑎𝑎𝑉𝑉 + 𝐼𝐼𝑎𝑎𝐷𝐷𝑎𝑎𝐷𝐷𝑎𝑎𝑉𝑉 𝑎𝑎𝑎𝑎𝑓𝑓𝑓𝑓𝐷𝐷𝑎𝑎 𝑝𝑝𝑓𝑓𝑎𝑎𝑑𝑑𝐷𝐷𝐷𝐷𝑉𝑉𝐷𝐷) ∗ 0.85 + 𝐴𝐴𝐷𝐷𝐷𝐷𝐷𝐷𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎𝑎𝑎𝑉𝑉 𝑁𝑁𝑁𝑁𝑁𝑁 𝑓𝑓𝑎𝑎𝑓𝑓 100% 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑉𝑉𝑉𝑉𝑉𝑉𝑎𝑎𝑉𝑉 𝑝𝑝𝑉𝑉𝑉𝑉𝐷𝐷𝑓𝑓𝑉𝑉𝐷𝐷 𝑓𝑓𝑎𝑎𝑓𝑓 𝐼𝐼𝐼𝐼 𝑎𝑎𝑎𝑎 𝐷𝐷 𝐷𝐷𝑁𝑁𝐶𝐶 ∗ 0.15 𝐶𝐶𝑎𝑎𝑓𝑓𝑓𝑓𝑉𝑉𝑎𝑎𝑎𝑎 𝑎𝑎𝑓𝑓𝑎𝑎𝑎𝑎𝑉𝑉𝑎𝑎𝑓𝑓𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎 = 𝐼𝐼𝐴𝐴𝑀𝑀[ 0,(𝐷𝐷110− 𝐷𝐷111)−(𝐷𝐷112− 𝐷𝐷113)] 𝑃𝑃𝑎𝑎𝑎𝑎𝑉𝑉𝑎𝑎𝑎𝑎𝐷𝐷𝑎𝑎𝑉𝑉 𝑑𝑑𝑎𝑎𝑉𝑉𝑎𝑎𝑎𝑎𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎 𝑓𝑓ℎ𝑎𝑎𝑎𝑎𝑓𝑓𝑉𝑉𝑉𝑉 = 𝐷𝐷102+𝐷𝐷103 𝐶𝐶 𝑎𝑎𝑎𝑎𝑎𝑎𝑓𝑓𝐷𝐷𝑡𝑡𝑎𝑎𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎𝑉𝑉 𝑎𝑎𝑎𝑎 𝐶𝐶𝐶𝐶𝑃𝑃 𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑉𝑉𝐷𝐷𝑚𝑚𝑉𝑉𝐷𝐷 𝑉𝑉𝑎𝑎𝑉𝑉𝑉𝑉 𝑉𝑉ℎ𝑎𝑎𝑓𝑓𝐷𝐷𝑎𝑎𝑓𝑓 𝑎𝑎𝑓𝑓𝑓𝑓𝑎𝑎𝑎𝑎𝑓𝑓𝑉𝑉𝑎𝑎𝑉𝑉𝑎𝑎𝑎𝑎𝑉𝑉 + 𝐼𝐼𝑎𝑎𝐷𝐷𝑎𝑎𝐷𝐷𝑎𝑎𝑉𝑉 𝑎𝑎𝑎𝑎𝑓𝑓𝑓𝑓𝐷𝐷𝑎𝑎 𝑝𝑝𝑓𝑓𝑎𝑎𝑑𝑑𝐷𝐷𝐷𝐷𝑉𝑉𝐷𝐷 = 𝐷𝐷104+𝐷𝐷105 109 𝐴𝐴𝐷𝐷𝐷𝐷𝐷𝐷𝑎𝑎𝐷𝐷𝑎𝑎𝑎𝑎𝑎𝑎𝑉𝑉 𝑁𝑁𝑁𝑁𝑁𝑁 𝑓𝑓𝑎𝑎𝑓𝑓 100% 𝑁𝑁𝑁𝑁𝑁𝑁 𝑎𝑎𝑉𝑉𝑉𝑉𝑉𝑉𝑎𝑎𝑉𝑉 𝑝𝑝𝑉𝑉𝑉𝑉𝐷𝐷𝑓𝑓𝑉𝑉𝐷𝐷 𝑓𝑓𝑎𝑎𝑓𝑓 𝐼𝐼𝐼𝐼 𝑎𝑎𝑎𝑎𝐷𝐷 𝐷𝐷𝑁𝑁𝐶𝐶 = � 𝐷𝐷𝑑𝑑 𝑑𝑑=106 Where “i” refers to a mapping table ID below corresponding to the specific subscript Rules of construction (§.102) To conform to the accounting balance sheet and accommodate the netting of certain transactions permissible under §.102(b), the FR 2052a includes two products that should be used to adjust the gross balances mapped to the ASF and RSF tables in this document. • For securities financing transactions, negative [Maturity Amount] values should be reported using product S.B.5: Counterparty Netting to reduce the ASF and RSF tables below corresponding to secured funding and lending transactions where the criteria referenced in §.102(b) are met. • For all other components of the balance sheet, positive or negative [Market Value] or [Maturity Amount] values should be reported using product S.B.6: Carrying Value Adjustment to increase or decrease the cumulative values otherwise reported under FR 2052a products such that the cumulative total including these adjustments aligns with the balance sheet carrying value. Examples could include: adjustments to the [Market Value] of securities to align with the book value (e.g., for positions booked as held-to-maturity); adjustments to reduce the [Maturity Amount] of interest and dividend payable and receivable amounts to align with accrued interest accounts represented on the balance sheet; and adjustments to the [Maturity Amount] of loans that are accounted for at fair value. In both cases, the additional fields in the S.B table structure should be used to appropriately map these adjustments to each respective ASF and RSF element identified in the mapping tables below. 2 ASF Amount Values NSFR regulatory capital elements and NSFR liabilities assigned a 100 percent ASF factor (§.104(a)) (1) NSFR regulatory capital element (§.104(a)(1)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.1 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket # Effective Maturity Bucket # Encumbrance Type # Market Value # Maturity Amount * Collateral Value # Counterparty # G-SIB # Risk Weight # Internal # Internal Counterparty # (2) Subordinated debt qualifying as an NSFR regulatory capital element (§.104(a)(1)) Field Value Reporting Entity NSFR Entity PID O.W.11, 12 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency Capital Business Line # 3 (3) Wholesale debt instruments maturing in ≥ 1 year, excluding deposits and securities financing transactions (§.104(a)(2)) Field Value Reporting Entity NSFR Entity PID O.W.1 – 13, 16, 17, 19 Product Matches PID Counterparty Not Retail or Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency Not Capital Business Line # (4) Wholesale deposits maturing in ≥ 1 year (§.104(a)(2)) Field Value Reporting Entity NSFR Entity PID O.D.5, 6, 8, 10, 11, 13, 14, 15 Product Matches PID Counterparty Not Retail or Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # 4 (5) Wholesale securities financing transactions maturing in ≥ 1 year (§.104(a)(2)) Field Value Reporting Entity NSFR Entity PID O.S.1, 2, 3, 5, 6, 11 Product Matches PID Sub-Product Not FRFF Counterparty Not Retail or Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # (6) Wholesale interest payable in ≥ 1 year (§.104(a)(2)) Field Value Reporting Entity NSFR Entity PID O.O.19 Product Matches PID Counterparty Not Retail or Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line # (7) Other liabilities maturing in ≥ 1 year (§.104(a)(2)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.2 5 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket ≥ 1 Year Effective Maturity Bucket # Encumbrance Type # Market Value # Maturity Amount * Collateral Value # Counterparty Not Retail or Small Business G-SIB # Risk Weight # Internal # Internal Counterparty # NSFR liabilities assigned a 95 percent ASF factor (§.104(b)) (8) Stable retail deposits, excluding sweeps (§.104(b)(1)) Field Value Reporting Entity NSFR Entity PID O.D.1, 2 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (9) Insured stable affiliated retail sweep deposits (§.104(b)(2)) Field Value Reporting Entity NSFR Entity PID O.D.9 Product Matches PID Counterparty Retail, Small Business 6 G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # NSFR liabilities assigned a 90 percent ASF factor (§.104(c)) (10) Not FDIC insured transactional and non-relationship retail deposits, excluding sweeps and brokered deposits (§.104(c)(1)) Field Value Reporting Entity NSFR Entity PID O.D.1, 2 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (11) Non-relationship retail deposits, excluding sweeps and brokered deposits (§.104(c)(1)) Field Value Reporting Entity NSFR Entity PID O.D.3, O.D.14 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # 7 Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (12) Insured reciprocal brokered deposits (§.104(c)(2)) Field Value Reporting Entity NSFR Entity PID O.D.13 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured FDIC Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (13) Not FDIC insured affiliated relationship sweep deposits (§.104(c)(3)) Field Value Reporting Entity NSFR Entity PID O.D.9 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured Not FDIC Trigger # Rehypothecated # 8 Internal # Internal Counterparty # Business Line # (14) Less stable affiliated retail sweep deposits (§.104(c)(3)) Field Value Reporting Entity NSFR Entity PID O.D.10 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (15) Non-reciprocal brokered deposits maturing in ≥ 1 year (§.104(c)(4)) Field Value Reporting Entity NSFR Entity PID O.D.8 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # 9 NSFR liabilities assigned a 50 percent ASF factor (§.104(d)) (16) Unsecured wholesale non-deposit funding from non-financials maturing in < 1 year (§.104(d)(1)) Field Value Reporting Entity NSFR Entity PID O.W.9, 10, 17, 18, 19 Product Matches PID Counterparty Non-Financial Wholesale Entity G-SIB # Maturity Amount * Maturity Bucket < 1 Year2 Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (17) Unsecured wholesale deposit funding from non-financials maturing in < 1 year (§.104(d)(1)) Field Value Reporting Entity NSFR Entity PID O.D.5, 6, 8, 10, 11, 13, 14, 15 Product Matches PID Counterparty Non-Financial Wholesale Entity G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Collateral Class NULL Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # 2 In general, a Maturity Bucket condition of “less than” a certain time horizon without an explicit lower bound includes the “Open” maturity bucket unless stated otherwise (i.e., with the exclusion “but not Open”). 10 (18) Securities financing transactions with non-financials maturing in < 1 year (§.104(d)(2)) Field Value Reporting Entity NSFR Entity PID O.S.1, 2, 3, 5, 7, 11 Product Matches PID Sub-Product # Counterparty Non-Financial Wholesale Entity G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # (19) Collateralized deposits from non-financials maturing in < 1 year (§.104(d)(2)) Field Value Reporting Entity NSFR Entity PID O.D.5, 6, 8, 10, 11, 13, 14, 15 Product Matches PID Counterparty Non-Financial Wholesale Entity G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Collateral Class Not NULL Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # 11 (20) Unsecured wholesale non-deposit funding from financials and central banks maturing in ≥ 6 months, but < 1 year (§.104(d)(3)) Field Value Reporting Entity NSFR Entity PID O.W.9, 10, 17, 18, 19 Product Matches PID Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (21) Unsecured wholesale deposit funding from financials and central banks maturing in ≥ 6 months, but < 1 year (§.104(d)(3)) Field Value Reporting Entity NSFR Entity PID O.D.5, 6, 8, 10, 11, 13, 14, 15 Product Matches PID Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Collateral Class NULL Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # 12 (22) Securities financing transactions with financials and central banks maturing in ≥ 6 months, but < 1 year (§.104(d)(4)) Field Value Reporting Entity NSFR Entity PID O.S.1, 2, 3, 6, 11 Product Matches PID Sub-Product Not FRFF Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # (23) Secured wholesale deposit funding from financials and central banks maturing in ≥ 6 months, but < 1 year (§.104(d)(4)) Field Value Reporting Entity NSFR Entity PID O.D.5, 6, 8, 10, 11, 13, 14, 15 Product Matches PID Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Collateral Class Not NULL Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # 13 (24) Securities issued maturing in ≥ 6 months, but < 1 year (§.104(d)(5)) Field Value Reporting Entity NSFR Entity PID O.W.1 – 8, 11 – 16 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (25) Operational deposits (§.104(d)(6)) Field Value Reporting Entity NSFR Entity PID O.D.4, 7 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (26) Non-reciprocal brokered retail deposits in transactional accounts (§.104(d)(7)) Field Value Reporting Entity NSFR Entity PID O.D.8 Product Matches PID Counterparty Retail, Small Business 14 G-SIB # Maturity Amount * Maturity Bucket Open Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (27) Non-affiliated retail sweep deposits (§.104(d)(8)) Field Value Reporting Entity NSFR Entity PID O.D.11 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (28) Other unsecured funding from retail customers (§.104(d)(9)) Field Value Reporting Entity NSFR Entity PID O.W.18, 19 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # 15 Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (29) Other secured funding from retail customers (§.104(d)(9)) Field Value Reporting Entity NSFR Entity PID O.S.1, 2, 3, 7, 11 Product Matches PID Sub-Product # Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # (30) Interest payable to retail customers (§.104(d)(9)) Field Value Reporting Entity NSFR Entity PID O.O.19 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # 16 Business Line # (31) Other liabilities to retail customers (§.104(d)(9)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.2 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket # Effective Maturity Bucket # Encumbrance Type # Market Value # Maturity Amount * Collateral Value # Counterparty Retail, Small Business G-SIB # Risk Weight # Internal # Internal Counterparty # (32) Interest payable to wholesale entities in ≥ 6 months, but < 1 year (§.104(d)(10)) Field Value Reporting Entity NSFR Entity PID O.O.19 Product Matches PID Counterparty Not Retail or Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line # 17 (33) Other liabilities to wholesale entities maturing in ≥ 6 months, but < 1 year (§.104(d)(10)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.2 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket ≥ 6 Months, < 1 Year Effective Maturity Bucket # Encumbrance Type # Market Value # Maturity Amount * Collateral Value # Counterparty Not Retail or Small Business G-SIB # Risk Weight # Internal # Internal Counterparty # NSFR liabilities assigned a zero percent ASF factor (§.104(e)) (34) Trade date payables (§.104(e)(1)) Field Value Reporting Entity NSFR Entity PID I.A.5 Product Matches PID Sub-Product # Market Value # Lendable Value # Maturity Bucket # Forward Start Amount * Forward Start Bucket # Collateral Class # Treasury Control # Accounting Designation # Effective Maturity Bucket # Encumbrance Type # Internal Counterparty # 18 (35) Non-reciprocal brokered retail deposits maturing in < 6 months (§.104(e)(2)) Field Value Reporting Entity NSFR Entity PID O.D.8 Product Matches PID Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket < 6 Months, but not Open Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (36) Securities issued maturing in < 6 months (§.104(e)(3)) Field Value Reporting Entity NSFR Entity PID O.W.1 – 8, 11 – 16 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (37) Unsecured wholesale non-deposit funding from financials and central banks maturing in < 6 months (§.104(e)(4)) Field Value Reporting Entity NSFR Entity PID O.W.9, 10, 17, 18, 19 Product Matches PID 19 Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Loss Absorbency # Business Line # (38) Unsecured wholesale deposit funding from financials and central banks maturing in < 6 months (§.104(e)(4)) Field Value Reporting Entity NSFR Entity PID O.D.5, 6, 8, 10, 11, 13, 14, 15 Product Matches PID Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Collateral Class # Collateral Value # Insured # Trigger # Rehypothecated # Internal # Internal Counterparty # Business Line # (39) Securities financing transactions with financials and central banks maturing in < 6 months (§.104(e)(4)) Field Value Reporting Entity NSFR Entity PID O.S.1, 2, 3, 6, 7, 11 Product Matches PID Sub-Product Not FRFF Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * 20 Maturity Bucket < 6 Months Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # (40) Interest payable to financials and central banks in < 6 months (§.104(e)(4)) Field Value Reporting Entity NSFR Entity PID O.O.19 Product Matches PID Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket < 6 Months Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line # (41) Other liabilities to financials and central banks maturing in < 6 months (§.104(e)(4)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.2 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket < 6 Months Effective Maturity Bucket # Encumbrance Type # Market Value # 21 Maturity Amount * Collateral Value # Counterparty Financial Sector Entity, Central Bank G-SIB # Risk Weight # Internal # Internal Counterparty # (42) Firm short positions (§.104(e)(5)) Field Value Reporting Entity NSFR Entity PID O.S.8 Product Matches PID Sub-Product Not Unsettled (Forward) Counterparty # G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # (43) Interest payable to non-financial wholesale entities in < 6 months (§.104(e)(5)) Field Value Reporting Entity NSFR Entity PID O.O.19 Product Matches PID Counterparty Non-Financial Wholesale Entity or NULL G-SIB # Maturity Amount * Maturity Bucket < 6 Months Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # 22 Internal Counterparty # Business Line # (44) Other liabilities maturing in < 6 months (§.104(e)(5)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.2 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket < 6 Months Effective Maturity Bucket # Encumbrance Type # Market Value # Maturity Amount * Collateral Value # Counterparty Non-Financial Wholesale Entity or NULL G-SIB # Risk Weight # Internal # Internal Counterparty # RSF Amount Values Unencumbered assets assigned a zero percent RSF factor (§.106(a)(1)) (45) Currency and coin (§.106(a)(1)(i)) Field Value Reporting Entity NSFR Entity PID I.A.3, 4 Product Matches PID Sub-Product Currency and Coin Market Value * Lendable Value # Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class A-0-Q Treasury Control # Accounting Designation # Effective Maturity Bucket # 23 Encumbrance Type # Internal Counterparty # (46) Cash items in process (§.106(a)(1)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.7 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (47) Central bank reserve balances (§.106(a)(1)(iii) & (iv)) Field Value Reporting Entity NSFR Entity PID I.A.3, 4 Product Matches PID Sub-Product Not Currency and Coin Market Value * Lendable Value # Maturity Bucket < 6 Months Forward Start Amount NULL Forward Start Bucket NULL Collateral Class A-0-Q Treasury Control # Accounting Designation # Effective Maturity Bucket # Encumbrance Type # Internal Counterparty # 24 (48) Central bank debt securities maturing in < 6 months (§.106(a)(1)(iii) & (iv)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 3, 4, 5, 7 Product Matches PID Sub-Product For I.A.3 and 4, Not Currency and Coin Market Value * Lendable Value # Maturity Bucket < 6 Months Forward Start Amount NULL Forward Start Bucket NULL Collateral Class CB-1-Q, CB-2-Q, CB-3-Q, CB-1, CB-2, CB-3, CB-4 Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (49) Unsecured lending to central banks maturing in < 6 months (§.106(a)(1)(iii) & (iv)) Field Value Reporting Entity NSFR Entity PID I.U.1 – 6, 8 Product Matches PID Counterparty Central Bank G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # 25 (50) Secured lending to central banks maturing in < 6 months (§.106(a)(1)(iii) & (iv)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5 – 8 Product Matches PID Sub-Product # Counterparty Central Bank G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (51) Interest receivable from central banks in < 6 months (§.106(a)(1)(iii) & (iv)) Field Value Reporting Entity NSFR Entity PID I.O.6 Product Matches PID Counterparty Central Bank G-SIB # Maturity Amount * Maturity Bucket < 6 Months Collateral Class # Co llateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Business Line # 26 (52) Level 1 HQLA central bank securities (§.106(a)(1)(iii) & (iv)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 3, 4, 5, 7 Product Matches PID Sub-Product For I.A.3 and 4, Not Currency and Coin Market Value * Lendable Value # Maturity Bucket ≥ 6 Months Forward Start Amount NULL Forward Start Bucket NULL Collateral Class CB-1-Q, CB-2-Q Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (53) Trade date receivables that are expected to settle (§.106(a)(1)(v)) Field Value Reporting Entity NSFR Entity PID O.S.8 Product Matches PID Sub-Product Unsettled (Regular Way) Counterparty # G-SIB # Maturity Amount # Maturity Bucket # Maturity Optionality # Collateral Class # Collateral Value # Forward Start Amount * Forward Start Bucket # Treasury Control # Internal # Internal Counterparty # Settlement # Rehypothecated # Business Line # 27 (54) Other level 1 HQLA securities (§.106(a)(1)(vi)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class A-1-Q, A-2-Q, A-3-Q, A-4-Q, A-5-Q, S-1-Q, S-2-Q, S- 3-Q, S-4-Q Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (55) Lending to financials secured by rehypothecatable level 1 HQLA (§.106(a)(1)(vii)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6 Product Matches PID Sub-Product # Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 1 HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # 28 Business Line # Settlement # Unencumbered assets and commitments assigned a 5 percent RSF factor (§.106(a)(2)) (56) Undrawn commitments (§.106(a)(2)) Field Value Reporting Entity NSFR Entity PID O.O.4, 5, 6 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket < 1 Year Collateral Class # Collateral Value # Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Business Line # Unencumbered assets assigned a 15 percent RSF factor (§.106(a)(3)) (57) Level 2A HQLA central bank securities (§.106(a)(3)(i)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 3, 4, 5, 7 Product Matches PID Sub-Product For I.A.3 and 4, Not Currency and Coin Market Value * Lendable Value # Maturity Bucket ≥ 6 Months Forward Start Amount NULL Forward Start Bucket NULL Collateral Class CB-3-Q Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # 29 (58) Other level 2A HQLA securities (§.106(a)(3)(i)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2A HQLA, but Not CB-3-Q Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (59) Lending to financials secured by rehypothecatable non-level 1 HQLA collateral maturing in < 6 months (§.106(a)(3)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6 Product Matches PID Sub-Product # Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not Level 1 HQLA Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # 30 Business Line # Settlement # (60) Other secured lending to financials maturing in < 6 months (§.106(a)(3)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.7, 8 Product Matches PID Sub-Product # Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (61) Unsecured lending to financials maturing in < 6 months (§.106(a)(3)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 4, 5, 6, 8 Product Matches PID Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket < 6 Months Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL 31 Internal # Internal Counterparty # Risk Weight # Business Line # Unencumbered assets assigned a 50 percent RSF factor (§.106(a)(4)) (62) Level 2B HQLA securities (§.106(a)(4)(i)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Level 2B HQLA Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (63) Secured lending to financials and central banks, maturing in ≥ 6 months, but < 1 year (§.106(a)(4)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6, 7, 8 Product Matches PID Sub-Product # Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL 32 Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (64) Unsecured lending to financials and central banks, maturing in ≥ 6 months, but < 1 year (§.106(a)(4)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 4, 5, 6, 8 Product Matches PID Counterparty Financial Sector Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (65) Operational deposits placed (§.106(a)(4)(iii)) Field Value Reporting Entity NSFR Entity PID I.U.3 Product Matches PID Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL 33 Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (66) Secured lending to non-financials maturing in < 1 year (§.106(a)(4)(iv)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6, 7, 8 Product Matches PID Sub-Product # Counterparty Retail, Small Business, Non-Financial Wholesale Entity G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (67) Unsecured lending to non-financials maturing in < 1 year (§.106(a)(4)(iv)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 5, 6 Product Matches PID Counterparty Retail, Small Business, Non-Financial Wholesale Entity 34 G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (68) Interest receivable from central banks in ≥ 6 months, but < 1 year (§.106(a)(4)(iv)) Field Value Reporting Entity NSFR Entity PID I.O.6 Product Matches PID Counterparty Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 6 Months, < 1 Year Collateral Class # Co llateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # Internal # Internal Counterparty # Business Line # (69) Non-HQLA central bank debt securities maturing in ≥ 6 months, but < 1 year (§.106(a)(4)(iv)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 3, 4, 5, 7 Product Matches PID Sub-Product For I.A.3 and 4, Not Currency and Coin Market Value * Lendable Value # Maturity Bucket ≥ 6 Months, < 1 Year Forward Start Amount NULL Forward Start Bucket NULL 35 Collateral Class CB-1, CB-2, CB-3, CB-4 Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (70) Other unencumbered non-HQLA securities maturing in < 1 year (§.106(a)(4)(iv)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket < 1 Year Forward Start Amount NULL Forward Start Bucket NULL Collateral Class A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, G-1, G-2, G-3, S-5, S-6, S-7, IG-1, IG-2, S-8, G-4, E-5, E-6, E-7, E-8, E-9, E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1, N-2, N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3 Treasury Control # Accounting Designation # Effective Maturity Bucket < 6 Months or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (71) Other interest receivable in < 1 year (§.106(a)(4)(iv)) Field Value Reporting Entity NSFR Entity PID I.O.6 Product Matches PID Counterparty Not Central Bank G-SIB # Maturity Amount * Maturity Bucket < 1 Year Collateral Class # Co llateral Value # Forward Start Amount NULL Forward Start Bucket NULL Treasury Control # 36 Internal # Internal Counterparty # Business Line # Unencumbered assets assigned a 65 percent RSF factor (§.106(a)(5)) (72) Retail mortgages with ≤ 50% risk weight maturing in ≥ 1 year (§.106(a)(5)(i)) Field Value Reporting Entity NSFR Entity PID I.S.8 Product Matches PID Sub-Product # Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class P-1 Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight ≤ 0.5 Business Line # Settlement # (73) Other secured retail loans with ≤ 20% risk weight maturing in ≥ 1 year (§.106(a)(5)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.8 Product Matches PID Sub-Product # Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL 37 Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not P-1 Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight ≤ 0.2 Business Line # Settlement # (74) Secured non-financial wholesale and central bank loans with ≤ 20% risk weight maturing in ≥ 1 year (§.106(a)(5)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.8 Product Matches PID Sub-Product # Counterparty Non-Financial Wholesale Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight ≤ 0.2 Business Line # Settlement # 38 (75) Securities financing transactions assigned ≤ 20% risk weight provided to non-financial customers and maturing in ≥ 1 year (§.106(a)(5)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6, 7 Product Matches PID Sub-Product # Counterparty Not Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight ≤ 0.2 Business Line # Settlement # (76) Unsecured loans assigned ≤ 20% risk weight provided to non-financial customers and maturing in ≥ 1 year (§.106(a)(5)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 5, 6 Product Matches PID Counterparty Not Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # 39 Internal Counterparty # Risk Weight ≤ 0.2 Business Line # Unencumbered assets assigned an 85 percent RSF factor (§.106(a)(6)) (77) Retail mortgages with > 50% risk weight maturing in ≥ 1 year (§.106(a)(6)(i)) Field Value Reporting Entity NSFR Entity PID I.S.8 Product Matches PID Sub-Product # Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class P-1 Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight > 0.5 Business Line # Settlement # (78) Other secured retail loans with > 20% risk weight maturing in ≥ 1 year (§.106(a)(6)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.8 Product Matches PID Sub-Product # Counterparty Retail, Small Business G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL 40 Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class Not P-1 Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight > 0.2 Business Line # Settlement # (79) Secured non-financial wholesale and central bank loans with > 20% risk weight maturing in ≥ 1 year (§.106(a)(6)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.8 Product Matches PID Sub-Product # Counterparty Non-Financial Wholesale Entity, Central Bank G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight > 0.2 Business Line # Settlement # 41 (80) Securities financing transactions assigned > 20% risk weight provided to non-financial wholesale customers and maturing in ≥ 1 year (§.106(a)(6)(ii)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6, 7 Product Matches PID Sub-Product # Counterparty Not Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight > 0.2 Business Line # Settlement # (81) Unsecured loans assigned > 20% risk weight provided to non-financial customers and maturing in ≥ 1 year (§.106(a)(6)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 5, 6 Product Matches PID Counterparty Not Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # 42 Internal Counterparty # Risk Weight > 0.2 Business Line # (82) Non-HQLA common equity shares (§.106(a)(6)(iii)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class E-1, E-2, E-3, E-4 Treasury Control # Accounting Designation # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (83) Other non-HQLA securities maturing in ≥ 1 year (§.106(a)(6)(iv)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 3, 4, 5, 7 Product Matches PID Sub-Product For I.A.3 and 4, Not Currency and Coin Market Value * Lendable Value # Maturity Bucket ≥ 1 Year Forward Start Amount NULL Forward Start Bucket NULL Collateral Class A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, CB-1, CB-2, G-1, G-2, G-3, S-5, S-6, S-7, CB-3, IG-1, IG-2, S-8, CB-4, G-4, E-5, E-6, E-7, E-8, E-9, E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1, N-2, N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3 Treasury Control # Accounting Designation # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding 43 Internal Counterparty # (84) Commodities (§.106(a)(6)(v)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class C-1 Treasury Control # Accounting Designation # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # Unencumbered assets assigned a 100 percent RSF factor (§.106(a)(7)) (85) Secured lending to financial sector entities maturing in ≥ 1 year (§.106(a)(7)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6, 7, 8 Product Matches PID Sub-Product # Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # 44 Internal Counterparty # Risk Weight # Business Line # Settlement # (86) Unsecured lending to financial sector entities maturing in ≥ 1 year (§.106(a)(7)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 4, 5, 6, 8 Product Matches PID Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (87) Physical property and other assets (§.106(a)(7)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class P-1, P-2, Z-1 Treasury Control # Accounting Designation # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # 45 (88) Other assets (§.106(a)(7)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.4 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket # Effective Maturity Bucket < 1 Year or NULL Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Market Value # Maturity Amount * Collateral Value # Counterparty # G-SIB # Risk Weight # Internal # Internal Counterparty # Nonperforming assets (§.106(b)) (89) Nonperforming assets (§.106(b)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.3 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket # Effective Maturity Bucket # Encumbrance Type # Market Value # Maturity Amount * Collateral Value # Counterparty # G-SIB # Risk Weight # 46 Internal # Internal Counterparty # Encumbered assets with six months or more, but less than one year, remaining in the encumbrance period (§.106(c)(1)(ii))3 (90) HQLA encumbered for ≥ 6 Months, but < 1 Year (§.106(c)(1)(ii) & §.106(d)(2)) Field Value Reporting Entity NSFR Entity PID I.A.7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount # Forward Start Bucket # Collateral Class HQLA Treasury Control # Accounting Designation # Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (91) Non-HQLA central bank securities maturing in < 1 Year, encumbered for ≥ 6 Months, but < 1 Year (§.106(c)(1)(ii) & §.106(d)(2)) Field Value Reporting Entity NSFR Entity PID I.A.7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket < 1 Year Forward Start Amount NULL Forward Start Bucket NULL Collateral Class CB-1, CB-2, CB-3, CB-4 Treasury Control # Accounting Designation # 3 The tables in this section include only assets with an RSF of 50 percent or less, and thus are assigned an equivalent or higher RSF based on the remaining encumbrance period (see: §.106(c)(1)(ii)(A)). Assets with an RSF higher than 50 percent are included in the tables for unencumbered assets (see: §.106(c)(1)(ii)(B)) 47 Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (92) Cash items in process encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.7 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (93) Unsecured lending maturing in < 1 year, encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 4, 5, 6, 8 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # 48 Risk Weight # Business Line # (94) Operational deposits placed, encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii)) Field Value Reporting Entity NSFR Entity PID I.U.3 Product Matches PID Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (95) Secured lending maturing in < 1 year, encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii) & §.106(d)(1)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5 – 8 Product Matches PID Sub-Product # Counterparty # G-SIB # Maturity Amount * Maturity Bucket < 1 Year Maturity Optionality # Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # 49 Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (96) Non-HQLA securities maturing in < 1 year, encumbered for ≥ 6 months, but < 1 year (§.106(c)(1)(ii) & §.106(d)(2)) Field Value Reporting Entity NSFR Entity PID I.A.7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket < 1 Year Forward Start Amount NULL Forward Start Bucket NULL Collateral Class A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, G-1, G-2, G-3, S-5, S-6, S-7, IG-1, IG-2, S-8, G-4, E-5, E-6, E-7, E-8, E-9, E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1, N-2, N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3 Treasury Control # Accounting Designation # Effective Maturity Bucket ≥ 6 Months, < 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # Encumbered assets with one year or more remaining in the encumbrance period (§.106(c)(1)(iii)) (97) HQLA, non-HQLA and other assets, excluding loans, encumbered for ≥ 1 year (§.106(c)(1)(iii), §.106(d)(2)) Field Value Reporting Entity NSFR Entity PID I.A.7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # 50 Forward Start Amount # Forward Start Bucket # Collateral Class HQLA, A-2, A-3, A-4, A-5, S-1, S-2, S-3, S-4, CB-1, CB-2, G-1, G-2, G-3, S-5, S-6, S-7, CB-3, E-1, E-2, IG-1, IG-2, S-8, CB-4, E-3, E-4, E-5, E-6, E-7, E-8, E-9, E-10, IG-3, IG-4, IG-5, IG-6, IG-7, IG-8, N-1, N-2, N-3, N-4, N-5, N-6, N-7, N-8, Y-1, Y-2, Y-3, C-1, P-1, P-2, Z-1 Treasury Control # Accounting Designation # Effective Maturity Bucket ≥ 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Internal Counterparty # (98) Unsecured loans and other cash items encumbered for ≥ 1 year (§.106(c)(1)(iii)) Field Value Reporting Entity NSFR Entity PID I.U.1 – 8 Product Matches PID Counterparty # G-SIB # Maturity Amount * Maturity Bucket # Maturity Optionality # Effective Maturity Bucket ≥ 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Internal # Internal Counterparty # Risk Weight # Business Line # (99) Secured lending transactions encumbered for ≥ 1 year (§.106(c)(1)(iii) & §.106(d)(1)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5 – 8 Product Matches PID Sub-Product # Counterparty # G-SIB # Maturity Amount * 51 Maturity Bucket # Maturity Optionality # Effective Maturity Bucket ≥ 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (100) Other assets encumbered for ≥ 1 year (§.106(c)(1)(iii)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.4 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket # Effective Maturity Bucket ≥ 1 Year Encumbrance Type Not Derivative VM, Derivative IM and DFC or Covered Federal Reserve Facility Funding Market Value # Maturity Amount * Collateral Value # Counterparty # G-SIB # Risk Weight # Internal # Internal Counterparty # (101) Additional RSF associated with off-balance sheet rehypothecated assets (§.106(d)(3)) Field Value Reporting Entity NSFR Entity PID S.L.9 52 Product Matches PID Collateral Class # Market Value * Internal # Internal Counterparty # Calculation of NSFR derivatives amounts (§.107) (102) Gross NSFR derivative liability amount (§.107(b)(5)) Field Value Reporting Entity NSFR Entity PID S.DC.2 Product Matches PID Sub-Product # Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class # Collateral Level # Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (103) Gross settlement payments delivered (§.107(b)(5)) Field Value Reporting Entity NSFR Entity PID S.DC.3 Product Matches PID Sub-Product # Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class # Collateral Level # Counterparty # G-SIB # Effective Maturity Bucket # 53 Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (104) Central counterparty mutualized loss sharing arrangements (§.107(b)(6)) Field Value Reporting Entity NSFR Entity PID S.DC.11 Product Matches PID Sub-Product # Sub-Product2 # Market Value * Collateral Class # Collateral Level # Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (105) Initial margin provided (§.107(b)(7)) Field Value Reporting Entity NSFR Entity PID S.DC.5, 6 Product Matches PID Sub-Product # Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class # Collateral Level # Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # 54 Internal # Internal Counterparty # Business Line # (106) Additional RSF for IM and DFC pledged – secured lending (§.107(b)(6) & (7)) Field Value Reporting Entity NSFR Entity PID I.S.1, 2, 3, 5, 6, 7, 8 Product Matches PID Sub-Product # Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket # Encumbrance Type Derivative IM and DFC Forward Start Amount NULL Forward Start Bucket NULL Collateral Class # Collateral Value # Unencumbered # Treasury Control # Internal # Internal Counterparty # Risk Weight # Business Line # Settlement # (107) Additional RSF for IM and DFC pledged – unsecured lending (§.107(b)(6) & (7)) Field Value Reporting Entity NSFR Entity PID I.U.1, 2, 4, 5, 6, 8 Product Matches PID Counterparty Financial Sector Entity G-SIB # Maturity Amount * Maturity Bucket ≥ 1 Year Maturity Optionality # Effective Maturity Bucket # Encumbrance Type Derivative IM and DFC Forward Start Amount NULL Forward Start Bucket NULL Internal # 55 Internal Counterparty # Risk Weight # Business Line # (108) Additional RSF for IM and DFC pledged – physical and other (§.107(b)(6) & (7)) Field Value Reporting Entity NSFR Entity PID I.A.1, 2, 5, 7 Product Matches PID Sub-Product # Market Value * Lendable Value # Maturity Bucket # Forward Start Amount NULL Forward Start Bucket NULL Collateral Class P-1, P-2, Z-1 Treasury Control # Accounting Designation # Effective Maturity Bucket # Encumbrance Type Derivative IM and DFC Internal Counterparty # (109) Additional RSF for IM and DFC pledged – other assets (§.107(b)(6) & (7)) Field Value Reporting Entity NSFR Entity Collection Reference # PID S.B.4 Product Matches PID Sub-Product # Product Reference # Sub-Product Reference # Collateral Class # Maturity Bucket # Effective Maturity Bucket # Encumbrance Type Derivative IM and DFC Market Value # Maturity Amount * Collateral Value # Counterparty # G-SIB # Risk Weight # Internal # Internal Counterparty # 56 (110) Gross NSFR derivative asset amount (§.107(f)(1)) Field Value Reporting Entity NSFR Entity PID S.DC.1 Product Matches PID Sub-Product # Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class # Collateral Level # Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (111) Variation margin received eligible for netting (§.107(f)(1)(i)) Field Value Reporting Entity NSFR Entity PID S.DC.10 Product Matches PID Sub-Product Rehypothecatable – Unencumbered, Rehypothecatable – Encumbered, Non-Segregated Cash Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class Level 1 HQLA Collateral Level Not Overcollateralized4 Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible Y Treasury Control # 4 “Overcollateralized” should designate only the portion of variation margin received that exceeds the current asset value of a netting set. 57 Internal # Internal Counterparty # Business Line # (112) NSFR derivative liability amount (§.107(f)(2)) Field Value Reporting Entity NSFR Entity PID S.DC.2 Product Matches PID Sub-Product # Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class # Collateral Level # Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # Treasury Control # Internal # Internal Counterparty # Business Line # (113) Variation margin provided, excluding overcollateralized portion (§.107(f)(2)) Field Value Reporting Entity NSFR Entity PID S.DC.8 and 9 Product Matches PID Sub-Product # Sub-Product2 Not OTC – Centralized (Agent) or Exchange-traded (Agent) Market Value * Collateral Class # Collateral Level Not Overcollateralized5 Counterparty # G-SIB # Effective Maturity Bucket # Encumbrance Type # Netting Eligible # 5 Overcollateralized should designate only the portion of variation margin pledged that exceeds the current liability value of a netting set. 58 Treasury Control # Internal # Internal Counterparty # Business Line # Rules for consolidation (§.109) (114) Deduction of non-transferrable excess subsidiary stable funding (§.109) Field Value Reporting Entity NSFR Entity PID S.L.7 Product Matches PID Collateral Class # Market Value * Internal # Internal Counterparty # 59

Applicable fields: product, currency_pair, maturity_bucket, notional_value, market_value, reporting_entity.

Refers to the fair value of clients’ long positions in margin accounts held at the reporting entity. This product must only be reported when a firm has a broker-dealer that is a material entity (i.e., is a reporting entity).

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the fair value of clients’ short positions in margin accounts held at the reporting entity. This product must only be reported when a firm has a broker-dealer that is a material entity (i.e., is a reporting entity).

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to all wires received into Prime Brokerage client accounts occurring on day T. This product must only be reported when a firm has a broker-dealer that is a material entity (i.e., is a reporting entity). Include transfers of both cash and securities. Use the [Collateral Class] field to differentiate between asset categories.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to all wires paid from Prime Brokerage client accounts occurring on day T. This product must only be reported when a firm has a broker-dealer that is a material entity (i.e., is a reporting entity). Include transfers of both cash and securities. Use the [Collateral Class] field to differentiate between asset categories.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Report the entity’s FRB 23A eligible unused capacity available. Section 23A of the Federal Reserve Act limits the aggregate amount of covered transactions between an insured depository institution and any single affiliate to no more than 10 percent of the insured depository institution’s capital stock and surplus, and the aggregate amount of covered transactions with all affiliates to no more than 20 percent of the insured depository institution’s capital stock and surplus. Bank Entities: For reporting entities that are banks, FRB 23A capacity should reflect the bank’s unused capacity to engage in covered transactions with Section 23A affiliates. Non-bank Entities: For non-bank reporting entities, FRB 23A capacity should reflect the ability to engage in covered transactions with each affiliated depository institution. Use the S.I.[Internal Counterparty] field to indicate the relevant affiliated depository institution entity.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

For U.S. firms that are identified as Category IV banking organizations and FBOs that are identified as Category IV foreign banking organizations, report the amount of highly liquid assets of each reporting entity’s consolidated subsidiaries that are in excess of the subsidiary’s modeled net outflows over a 30-day planning horizon and would not be freely transferrable to the parent company due to statutory, regulatory, contractual, or supervisory restrictions (including sections 23A and 23B of the Federal Reserve Act and Regulation W). Use the “Internal Counterparty” (S.I.[Internal Counterparty]) field to indicate the lowest-level subsidiary entity from which the assets cannot be transferred; however do not flag this product as [Internal] = “Y”. The [Currency] and [Collateral Class] fields must also accurately reflect the characteristics of the assets that are trapped in the subsidiary reporting entity.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the amount of assets of each reporting entity’s consolidated subsidiaries that is in excess of the net outflows, calculated pursuant to the LRM Standards, of that consolidated subsidiary that is not freely transferrable to affiliates due to statutory, regulatory, contractual, or supervisory restrictions (including sections 23A and 23B of the Federal Reserve Act and Regulation W). Use the “Internal Counterparty” (S.I.[Internal Counterparty]) field to indicate the lowest-level subsidiary entity from which the assets cannot be transferred; however do not flag this product as [Internal] = “Y”. The [Currency] and [Collateral Class] fields must also accurately reflect the characteristics of the assets that are trapped in the subsidiary reporting entity.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the reporting entity’s NSFR calculation, as specified in section 100(b) of the LRM Standards. Only reporting entities that are subject to the NSFR on a standalone basis per section 1 of the LRM Standards are required to report this product. Report this product as a decimal value, with four points of precision (e.g., an NSFR of 105.25% must be reported as 1.0525).

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the amount of excess eligible HQLA that is held at a subsidiary of the consolidated reporting entity that is determined as transferrable as per sections 22(b)(3)(i)(B), 22(b)(3)(ii)(B) or 22(b)(4)(ii) of the LRM Standards. Do not include eligible HQLA that is determined as transferrable based on the subsidiary’s own net cash outflows (i.e., as per 22(b)(3)(i)(A), 22(b)(3)(ii)(B) or 22(b)(4)(i)). Use the [Internal Counterparty] field to indicate the subsidiary entity that holds the assets; however do not flag this product as [Internal] = “Y”.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to all cash outflows that would arise from the early termination of a hedge associated with eligible HQLA, as defined in the LRM Standards, reported in the Inflows-Assets table. Use the Collateral Class field to indicate the type of unencumbered asset associated with the hedge.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the debt security buyback outflow amount set forth in the LRM Standards for the reporting entity’s non-structured debt issuances.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the debt security buyback outflow amount set forth in the LRM Standards for the reporting entity’s structured debt issuances.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the reporting entity’s LCR calculation, as specified in section 10(c) of the LRM Standards. Only reporting entities that are subject to the LCR on a standalone basis per section 1 of the LRM Standards are required to report this product. Report this product as a decimal value, with four points of precision (e.g., an LCR of 105.25% must be reported as 1.0525). Net Stable Funding Ratio (NSFR) Supplemental Products The following products in the Supplemental-Liquidity Risk Measurement table may be reported at a lesser frequency and with a longer delay as compared to the general frequency and timing of the report. U.S. firms and FBO IHCs are to report these products as-of the last business day of each calendar month, T+15 calendar days after the as-of date.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the amount of stable funding at a reporting entity’s subsidiary that is in excess of the required stable funding amount of that subsidiary, pursuant to the LRM Standards, but cannot be transferred to the reporting entity due to statutory, regulatory, contractual or supervisory restrictions. Only reporting entities that are subject to the NSFR on a standalone basis per section 1 of the LRM Standards are required to report this product. Use the [Internal Counterparty] field to indicate the subsidiary entity from which the stable funding cannot be transferred; however do not flag this product as [Internal] = “Y”.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to the amount of stable funding at a reporting entity’s subsidiary that is in excess of the required stable funding amount of that subsidiary, pursuant to the LRM Standards, that is determined as transferrable as per section 108(a)(2) of the LRM Standards. Do not include stable funding that is determined transferrable based on the subsidiary’s own requirement (i.e., as per section 108(a)(1) of the LRM Standards). Only reporting entities that are subject to the NSFR on a standalone basis per section 1 of the LRM Standards are required to report this product. Use the [Internal Counterparty] field to indicate the subsidiary entity in which the stable funding is located; however do not flag this product as [Internal] = “Y”.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.

Refers to a reporting entity’s required stable funding amount under section 106(d)(3) of the LRM Standards. Use the [Collateral Class] field to indicate the type of asset that has been rehypothecated. Only reporting entities that are subject to the NSFR on a standalone basis per section 1 of the LRM Standards are required to report this product.

Applicable fields: product, sub_product, currency, market_value, reporting_entity.