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pdfFR Y‐14Q: Trading, PE and Other Fair Value Assets Schedules
Institution Name:
Firm Name
Effective Date:
Date of Data Submission:
Version #
October 10, 2014
CCAR 2015
1
Trading, PE & Other Fair Value Assets Schedule
Equity by Geography
Delta
($MM)
Country
Australia
Austria
Belgium
Canada
Denmark
Finland
France
Germany
Greece
Ireland
Italy
Japan
Netherlands
New Zealand
Norway
Portugal
Spain
Sweden
Switzerland
United Kingdom
United States
Euro Stoxx 50 Index
Stoxx Europe 600 Index
Other Cross‐Country Indices
Other Advanced Economies
Advanced Economies Total
Bulgaria
Czech Republic
Hungary
Poland
Russia
Ukraine
MSCI EM Eastern Europe
Other Cross‐Country Indices
Other Emerging Europe
Emerging Europe Total
Argentina
Brazil
Chile
Mexico
MSCI EM Latin America Index
Other Cross‐Country Indices
Other Latam & Caribbean
Latam & Caribbean Total
China
Hong Kong
India
Indonesia
Malaysia
Philippines
Singapore
South Korea
Taiwan
MSCI EM Asia Index
Other Cross‐Country Indices
Other Asia Ex‐Japan
Asia Ex‐Japan Total
$0
$0
$0
$0
October 10, 2014
Firm Name
Gamma
($MM /
+1%)
0.0
0.0
0.0
0.0
Vega
($MM / +1
vol pt)
0.0
0.0
0.0
0.0
Effective date:
Submission Date:
Profit/(Loss) from % Change in Country Equity Prices ($MM)
‐50%
$0
$0
$0
$0
‐40%
$0
$0
$0
$0
‐35%
$0
$0
$0
$0
‐30%
$0
$0
$0
$0
Vega ($MM / +1 vol pt)
‐20%
0%
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
1M
0.0
$0
0.0
0.0
3M
0.0
$0
0.0
0.0
6M
0.0
$0
0.0
0.0
9M
0.0
$0
0.0
0.0
1Y
0.0
$0
0.0
0.0
2Y
0.0
$0
0.0
0.0
3Y
0.0
$0
0.0
0.0
5Y
0.0
$0
0.0
0.0
7Y
0.0
$0
0.0
0.0
10Y
0.0
$0
0.0
0.0
15Y
0.0
$0
0.0
0.0
20Y
0.0
$0
0.0
0.0
30Y
Error
Check
0.0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
$0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
2
Trading, PE & Other Fair Value Assets Schedule
Equity by Geography
Delta
($MM)
Country
Israel
Turkey
Other Cross‐Country Indices
Other Middle East/N. Africa
Middle East/N. Africa Total
South Africa
Other Cross‐Country Indices
Other Sub‐Saharan Africa
Sub‐Saharan Africa Total
$0
$0
Firm Name
Gamma
($MM /
+1%)
0.0
0.0
Vega
($MM / +1
vol pt)
0.0
0.0
Profit/(Loss) from % Change in Country Equity Prices ($MM)
‐50%
$0
$0
‐40%
$0
$0
‐35%
$0
$0
‐30%
$0
$0
Vega ($MM / +1 vol pt)
‐20%
0%
Total
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
MSCI All Country World Index (ACWI)
MSCI EAFE Index
MSCI EM Index
MSCI EMEA Index
MSCI World Index
Other Cross‐Country Indices
Cross‐Regional Indices Total
$0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
GLOBAL TOTAL
$0
0.0
0.0
$0
$0
$0
$0
$0
$0
October 10, 2014
Effective date:
Submission Date:
1M
0.0
0.0
3M
0.0
0.0
6M
0.0
0.0
9M
0.0
0.0
1Y
0.0
0.0
2Y
0.0
0.0
3Y
0.0
0.0
5Y
0.0
0.0
7Y
0.0
0.0
10Y
0.0
0.0
15Y
0.0
0.0
30Y
Error
Check
0.0
0.00
0.00
0.00
0.00
0.00
0.0
0.00
0.00
0.00
0.00
0.0
0.0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.0
0.0
0.00
20Y
0.0
0.0
3
Trading, PE & Other Fair Value Assets Schedule
Equity Spot‐Vol Grid
Firm Name
Please select how volatility changes are expressed:
Effective Date:
Submission Date:
Relative % change in Volatility
Profit/(Loss) from changes in Spot/Vol ($MM): WORLD‐WIDE EQUITIES
% CHANGE IN SPOT VALUE
% CHANGE IN VOL
‐50%
‐40%
‐35%
‐30%
‐20%
0%
15%
30%
60%
0%
Vega post vol shock
(at 0 spot shock)
($MM / +1%
relative)
$0
Delta post spot shock (at 0 vol shock) ($MM)
Check:
$0.0000
Check:
$0.0000
Check:
$0.0000
Gamma post spot shock (at 0 vol shock) ($MM / +1%)
Vega post spot shock (at 0 vol shock) ($MM / +1 vol pt)
October 10, 2014
4
Trading, PE & Other Fair Value Assets Schedule
Other Equity
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from a ‐1% change in dividends ($MM)
Region
US
Europe
Japan
Other / Unspecified
Total
October 10, 2014
1Y
2Y
3Y
5Y
7Y
10Y
Unspecified
Tenor
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
Total
$0.00
$0.00
$0.00
$0.00
$0.00
5
rading, PE & Other Fair Value Assets Schedule
X Spot Sensitivities
Firm Name
Effective Date:
Submission Date:
<‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ Currency1 weakening against Currency2 ‐‐‐‐‐ ‐‐‐‐‐ Currency1 strengthening against Currency2 ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐>
Currency 1
Currency 2
Delta
($MM)
October 10, 2014
Gamma
($MM / +1%)
$MM Profit/(Loss) From % Change in Spot Price in Currency1 vs. Currency2
‐30%
‐25%
‐20%
‐15%
‐10%
0%
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
10%
15%
20%
25%
30%
6
Trading, PE & Other Fair Value Assets Schedule
FX Vega
Firm Name
Effective Date:
Submission Date:
FX Lognormal Vega ($K / +1 vol pt)
Currency 1
Currency 2
October 10, 2014
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
7
Total
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date:
Submission Date:
M A T U R I T Y
DV01 ($K / ‐1 bp)
1M
AUD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
3Y
0
5Y
0
$MM P/(L) from a Parallel Move in Rates (bps)
7Y
0
10Y
0
15Y
0
20Y
0
30Y
Total
0
0.00
0.00
0.00
0.00
0.00
0.00
0
AUD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
CAD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
CAD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
CHF Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
CHF Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
DKK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
DKK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
October 10, 2014
0
0
0
0
0
0
0
0
0
0
0
‐200 bps
‐100 bps
‐50 bps
0 bps
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.00
0.00
0.00
0.00
0.00
0.00
8
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date:
Submission Date:
M A T U R I T Y
DV01 ($K / ‐1 bp)
1M
EUR Directional Risks
Governments: Austria
Governments: Belgium
Governments: Finland
Governments: France
Governments: Germany
Governments: Greece
Governments: Ireland
Governments: Italy
Governments: Netherlands
Governments: Portugal
Governments: Spain
Governments: Other
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
3Y
0
5Y
0
$MM P/(L) from a Parallel Move in Rates (bps)
7Y
0
10Y
0
15Y
0
20Y
0
30Y
Total
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
EUR Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
GBP Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
GBP Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
JPY Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
JPY Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m TIBOR Basis
3m TIBOR Basis
6m TIBOR Basis
12m TIBOR Basis
1m LIBOR Basis
3m LIBOR Basis
6m LIBOR Basis
12m LIBOR Basis
Other Basis
October 10, 2014
0
0
0
0
0
0
0
0
0
0
0
‐200 bps
‐100 bps
‐50 bps
0 bps
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
9
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date:
Submission Date:
M A T U R I T Y
DV01 ($K / ‐1 bp)
1M
NOK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
3Y
0
5Y
0
$MM P/(L) from a Parallel Move in Rates (bps)
7Y
0
10Y
0
15Y
0
20Y
0
30Y
Total
0
0.00
0.00
0.00
0.00
0.00
0.00
0
NOK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
NZD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
NZD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
SEK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
SEK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
USD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
USD Basis Risks (Do not include the swap/discounting curve specified above)
Prime Basis
CP Basis
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Muni SIFMA/Libor Basis ($K per 1% abs
increase in Muni SIFMA / Libor Ratio)
0.00
October 10, 2014
‐200 bps
‐100 bps
‐50 bps
0 bps
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
10
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date:
Submission Date:
M A T U R I T Y
DV01 ($K / ‐1 bp)
1M
3M
6M
9M
1Y
2Y
3Y
5Y
$MM P/(L) from a Parallel Move in Rates (bps)
7Y
10Y
15Y
20Y
30Y
Total
$0
$0
$0
$0
$0
$0
$0
‐200 bps
Other Advanced Economies Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0
Total Advanced Economies (Directional)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
$0
$0
Directional Risks: Emerging Europe
BGN
CZK
HRK
HUF
PLN
RON
RUB
Other Emerging Europe
Total Emerging Europe
Directional Risks: Latin America & Caribbean
ARS
BRL
CLP
COP
MXN
PEN
VEF
Other Latam & Caribbean
Total Latam & Caribbean
Directional Risks: Asia Ex‐Japan
CNY
HKD
IDR
INR
KRW
MYR
PHP
SGD
THB
TWD
Other Asia Ex‐Japan
Total Asia Ex‐Japan
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
‐100 bps
‐50 bps
0 bps
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Directional Risks: Middle East/North Africa
ILS
TRY
Other Middle East/Africa
Total Middle East/N. Africa
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0
Directional Risks: Sub‐Saharan Africa
ZAR
Other Sub‐Saharan Africa
Total Sub‐Saharan Africa
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
GLOBAL TOTAL DIRECTIONAL
0
0
0
0
0
0
0
0
0
0
0
0
0
0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
October 10, 2014
11
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Select the vega convention being used:
Interest Rate Normal Vegas ($MM / +10 bps shift)
1M
3M
6M
Normal
Specify the units in which vega is expressed:
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
$MM / +10 bps shift
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
AUD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
EUR
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
GBP
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
JPY
0.00
0.00
0.00
1M
3M
6M
October 10, 2014
12
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Select the vega convention being used:
E X P I R Y
Interest Rate Normal Vegas ($MM / +10 bps shift)
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
Normal
Specify the units in which vega is expressed:
M A T U R I T Y
5Y
1M
3M
6M
9M
1Y
2Y
3Y
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
$MM / +10 bps shift
7Y
10Y
15Y
20Y
30Y
0.00
0.00
0.00
0.00
0.00
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
USD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
US MBS Vega
E X P I R Y
Other Advanced Economies
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
October 10, 2014
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
13
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Select the vega convention being used:
Interest Rate Normal Vegas ($MM / +10 bps shift)
1M
3M
6M
Normal
Specify the units in which vega is expressed:
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
$MM / +10 bps shift
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Emerging Europe
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Latam & Caribbean
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Asia Ex‐Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total ME/N. Africa
0.00
0.00
0.00
1M
3M
6M
October 10, 2014
14
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Select the vega convention being used:
E X P I R Y
Interest Rate Normal Vegas ($MM / +10 bps shift)
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
Normal
Specify the units in which vega is expressed:
M A T U R I T Y
5Y
1M
3M
6M
9M
1Y
2Y
3Y
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
$MM / +10 bps shift
7Y
10Y
15Y
20Y
30Y
0.00
0.00
0.00
0.00
0.00
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Sub‐Saharan Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
October 10, 2014
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
15
Trading, PE & Other Fair Value Assets Schedule
Other Rates
Firm Name
Effective Date:
Submission Date:
Inflation Delta ($K / +1 bp)
Currency
AUD
EUR
GBP
JPY
USD
Other
Total
1M
3M
6M
9M
1Y
2Y
M A T U R I T Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
0
0
0
0
0
0
0
0
0
0
0
0
0
Total
0.00
0.00
0.00
0.00
0.00
0.00
0
Cross‐Currency vs. USD Basis ($K / +1 bp)
(+1 bp parallel move in curve relative to base curve)
Currency
AUD
EUR
GBP
JPY
Other
Total
1M
3M
6M
9M
1Y
2Y
M A T U R I T Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
0
0
0
0
0
0
0
0
0
0
0
0
October 10, 2014
0
Total
0.00
0.00
0.00
0.00
0.00
0
16
Trading, PE & Other Fair Value Assets Schedule
Energy
Firm Name
C R U D E O I L
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Brent
Dubai
Fateh
Maya
Tapis
WTI
OMAN
Other Sour
Crude
Other
Sweet
Crude
Unspecified
Crude
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Total Vega
October 10, 2014
17
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
O I L P R O D U C T S
O T H E R O I L P R O D U C T S
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Diesel
$0
Fuel Oil
$0
Heating Oil
$0
Naptha
$0
Ethanol
$0
LPG
$0
Jet Fuel
$0
Gas Oils
$0
Gasoline
$0
Other Oil
Products
Total Oil
Products
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Total Vega
0
October 10, 2014
18
Trading, PE & Other Fair Value Asse
Energy
N A T U R A L G A S
US
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gulf Coast MidCont
$0
$0
NE
$0
Rockies
$0
Europe
West
$0
NYMEX
$0
Other US
$0
UK
$0
Belgium
$0
Dutch
$0
French
$0
German
$0
Other
Europe
$0
Canada
$0
Other Regions
Total NatGas
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Total Vega
0
October 10, 2014
19
Trading, PE & Other Fair Value Asse
Energy
Firm Name
P O W E R
US
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Ercot
$0
Midwest North East
$0
$0
Europe
NYISO
$0
West
$0
Other US
$0
Nordpool
$0
Benelux
$0
UK
$0
Germany
$0
France
$0
Italy
$0
Other Europe Other Regions Total Power
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Total Vega
0
October 10, 2014
20
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
O T H E R E N E R G Y
Coal
Emissions
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
EUA/ETS
$0
CER
$0
VER
$0
Other
$0
ARA /API2
$0
Richards Bay /
API4
$0
Indonesia
$0
Dry Freight
Other
Regions
$0
Baltic Dry
Index
$0
Other
Freight
$0
Structured
Products
$0
Other /
Unspecified
Energy
Total Other
Energy
Total
Energy
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0
0
0
0
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Total Vega
October 10, 2014
21
Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
Tolling Agreements
Heat Rate Options
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gas Component
Power
Component
$0
$0
** See FR Y‐14Q instructions
Gas Component
Power
Component
$0
$0
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Total Vega
October 10, 2014
22
Trading, PE & Other Fair Value Assets Schedule
Metals
Firm Name
Effective Date:
Submission Date:
P R E C I O U S M E T A L S
Delta ($MM)
Gold
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
$0
Silver
$0
Palladium
$0
Platinum
$0
B A S E M E T A L S
Other
Precious
Metals
Total
Precious
Metals
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Aluminum
(Primary)
$0
Aluminum
(Alloy)
$0
Copper
$0
Iron
$0
Lead
$0
Nickel
$0
Tin
$0
Uranium
$0
Zinc
$0
Other
Base
Metals
Total Base
Metals
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Other /
Unspecified
Metals
Total
Metals
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
0
0
0
0
0
Vega ($MM / +1 vol pt)
Total Vega
October 10, 2014
23
Trading, PE & Other Fair Value Assets Schedule
Ags & Softs
Delta ($MM)
Cocoa
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
$0
Firm Name
Coffee
$0
Corn
$0
Cotton
$0
Cattle
$0
Lean Hogs
$0
Livestock
$0
Effective Date:
Submission Date:
Lumber
$0
Palm Oil
$0
Rapeseed
$0
Soybeans
$0
Soymeal
$0
Soybean Oil
$0
Sugar
$0
Wheat
$0
Other /
Unspecified
Ags/Softs
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Total Vega
0
October 10, 2014
24
Trading, PE & Other Fair Value Assets Schedule
Diversified Commodity Indices
Delta ($MM)
Spot
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
S&P GSCI
Index
$0
Firm Name
DJ‐UBS Index TR/J CRB Index
$0
$0
Effective Date:
Submission Date:
Other
Diversified
Indices
Diversified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Long/Short
Commodity
Indices
Grand Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
0
0
0
Vega ($MM / +1 vol pt)
Total Vega
October 10, 2014
25
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($MM): OIL PRODUCTS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
% CHANGE IN SPOT VALUE
‐20%
0%
0
10
20
35
50
25%
50%
75%
25%
50%
75%
25%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): NATURAL GAS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
0
10
20
35
50
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): POWER
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
0
10
20
35
50
October 10, 2014
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
26
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($MM): EMISSIONS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
0
10
20
35
50
% CHANGE IN SPOT VALUE
‐20%
0%
25%
50%
75%
25%
50%
75%
25%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): COAL
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
0
10
20
35
50
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): FREIGHT
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
0
10
20
35
50
October 10, 2014
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
27
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($MM): OTHER STRUCTURED PRODUCTS & OTHER ENERGY PRODUCTS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
% CHANGE IN SPOT VALUE
‐20%
0%
0
10
20
35
50
25%
50%
75%
25%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): BASE METALS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
0
10
20
35
50
October 10, 2014
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
28
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($MM): PRECIOUS METALS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
‐20%
0%
‐30%
0
10
20
35
50
25%
50%
75%
25%
50%
75%
25%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): AGS/SOFTS
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
0
10
20
35
50
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): DIVERSIFIED COMMODITY INDICES
Please select how volatility changes are expressed:
% CHANGE IN VOL
‐75%
0
10
20
35
50
October 10, 2014
‐50%
‐40%
Absolute Shift in Vol Pts
‐30%
% CHANGE IN SPOT VALUE
‐20%
0%
$0.00
29
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
Grand
Total
Non‐
Agency
Prime
Sub‐
prime
Option
ARMS
Other
AltA
Unspec
Non‐
Prime
HELOC
RMBS CDO RMBS CDS
ABS
Credit
Basket
PrimeX
ABX / TABX
Prime
Whole
Loans
Non‐Prime
Whole Loans
European
RMBS
Other /
Unspecified
RMBS
SubTotal
Autos
Credit
Cards
Student
Loans ABS CDS
Credit
Basket
Index
Tranches
MV* ($MM)
AAA Total
Pre 2006
2006
2007
Post 2007
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
AA Total
Pre 2006
2006
2007
Post 2007
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
A Total
Pre 2006
2006
2007
Post 2007
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
BBB Total
Pre 2006
2006
2007
Post 2007
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
BB Total
Pre 2006
2006
2007
Post 2007
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
B Total
Pre 2006
2006
2007
Post 2007
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
| File Type | application/pdf |
| File Title | FR_Y-14Q_Trading_template.xlsx |
| Author | m1pgb00 |
| File Modified | 2014-10-09 |
| File Created | 2014-10-07 |