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pdfFR Y‐14Q: Counterparty Credit Risk
See Counterparty Schedule instructions for guidance on completing this schedule.
BHCs should complete all relevant cells in the corresponding worksheets, including this cover page. Data should be reported in millions of dollars.
Institution Name:
RSSD ID:
Submission date:
Data as of date:
Version:
When Received: 1/14/16 10:35 AM
1a) Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Counterparty identifiers
Rank
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Industry
Credit Quality Data
Country
Internal External
rating
rating
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
1a) To
$ Milli
Exposure Data
Rank
Stressed Gross CE
FR Scenario
(Adverse)
Stressed Gross CE
BHC scenario
Net CE
CVA Data
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net CE
BHC scenario
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Adverse)
(Severely Adverse)
1a) To
$ Milli
Credit Mitigants
Rank
Stressed CVA
BHC Scenario and
BHC specification
Credit Hedges
%
Downgrade
Single Name
CSA in
Gross CE
trigger
Credit Hedges
place?
with CSAs modeled?
1b) Top 20 counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Industry
Credit Quality Data
Country
Internal External
rating
rating
1b) To
$ Milli
Exposure Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Stressed Gross CE
BHC scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net CE
BHC scenario
1b) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC specification
(Adverse)
(Severely Adverse)
Credit mitigants
Credit Hedges
%
Downgrade
Single Name
CSA in
Gross CE
trigger
Credit Hedges
place?
with CSAs modeled?
1b) Top 20 counterparties ranked by BHC Scenario Stressed CVA
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Industry
Credit Quality Data
Country
Internal External
rating
rating
1b) To
$ Milli
Exposure Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Gross CE
Stressed Gross CE
Stressed Gross CE
Federal Reserve
Federal Reserve
scenario (Severely
scenario (Adverse)
Adverse)
Stressed Gross CE
BHC scenario
Net CE
Stressed Net CE
Stressed Net CE
Federal Reserve
Federal Reserve
scenario (Severely
scenario (Adverse)
Adverse)
Stressed Net CE
BHC scenario
1b) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
Stressed CVA BHC
FR scenario and FR FR scenario and FR
scenario and BHC
specification
specification
specification
(Adverse)
(Severely Adverse)
Credit mitigants
CSA in
place?
Credit Hedges
% Gross Downgrade
Single Name
CE with
trigger
Credit Hedges
CSAs
modeled?
1c) Top 20 counterparties ranked by Net CE
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Credit Quality Data
Industry
Country
Internal External
rating
rating
Exposure Data
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
Stressed Gross CE
FR Scenario
BHC scenario
(Adverse)
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE Stressed Net
FR Scenario
CE
(Adverse)
BHC scenario
1c) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC specification
(Severely Adverse)
(Adverse)
Credit Mitigants
Credit Hedges
%
Downgrade
Single Name
CSA in Gross CE
trigger
Credit Hedges
place?
with
modeled?
CSAs
1c) Top 20 counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Net CE
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Credit Quality Data
Industry
Country
Internal External
rating
rating
Exposure Data
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
Stressed Gross CE
FR Scenario
BHC scenario
(Adverse)
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE Stressed Net
FR Scenario
CE
(Adverse)
BHC scenario
1c) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC specification
(Severely Adverse)
(Adverse)
Credit Mitigants
CSA in
place?
Credit Hedges
% Gross Downgrade
Single Name
CE with
trigger
Credit Hedges
CSAs
modeled?
1c) Top 20 counterparties ranked by BHC Scenario Stressed Net CE
$ Millions
Counterparty identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Credit Quality Data
Industry
Country
Internal External
rating
rating
Exposure Data
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
Stressed Gross CE
FR Scenario
BHC scenario
(Adverse)
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE Stressed Net
FR Scenario
CE
(Adverse)
BHC scenario
1c) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC specification
(Severely Adverse)
(Adverse)
Credit Mitigants
Credit Hedges
%
Downgrade
Single Name
CSA in Gross CE
trigger
Credit Hedges
place?
with
modeled?
CSAs
1d) Top 20 collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Counterparty Identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
set ID
ID
(optional) (optional)
Industry
Credit Quality Data
Country
Internal External
rating
rating
Exposure Data
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Stressed Gross CE
BHC scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
1d) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net CE
BHC Scenario
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC Specification
(Adverse)
(Severely Adverse)
Credit Mitigants
Credit Hedges
%
Downgrade
Single Name
CSA in Gross CE
trigger
Credit Hedges
with
place?
modeled?
CSAs
1d) Top 20 collateralized counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Counterparty Identifiers
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
set ID
ID
(optional) (optional)
Industry
Credit Quality Data
Country
Internal External
rating
rating
Exposure Data
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Stressed Gross CE
BHC scenario
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
1d) To
$ Milli
CVA Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net CE
BHC Scenario
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
BHC Scenario and
Specification
Specification
BHC Specification
(Adverse)
(Severely Adverse)
Credit Mitigants
CSA in
place?
Credit Hedges
% Gross Downgrade
Single Name
trigger
CE with
Credit Hedges
modeled?
CSAs
1e) Aggregate CVA by ratings and collateralization
$ Millions
Aggregate CVA
Ratings Category
Internal
Rating
N/A
External
Rating
Exposure Data
Gross CE
excluding
CCPs
N/A
Net CE
excluding
CCPs
Net CE to CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Net CE to CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
N/A
Additional/Offline CVA reserves
Ratings Category
Internal
Rating
Stressed Gross
Stressed Gross
CE excluding
Stressed Gross CE Stressed Gross CE
CE to CCPs
Gross CE to
CCPs
excluding CCPs
to CCPs
Stressed Gross CE
FR Scenario
CCPs
FR Scenario
FR Scenario
FR Scenario
BHC scenario
(Severely
(Severely
(Adverse)
(Adverse)
Adverse)
Adverse)
External
Rating
N/A
Gross CE
excluding
CCPs
Exposure Data
Stressed Gross
Stressed Gross
CE excluding
Stressed Gross CE Stressed Gross CE
CE to CCPs
Gross CE to
CCPs
excluding CCPs
to CCPs
Stressed Gross CE
FR Scenario
CCPs
FR Scenario
FR Scenario
FR Scenario
BHC scenario
(Severely
(Severely
(Adverse)
(Adverse)
Adverse)
Adverse)
Net CE
excluding
CCPs
1e) Aggregate CVA b
$ Millions
Aggregate CVA
Ratings Category
Internal
Rating
N/A
External
Rating
CVA Data
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Stressed
Net CE
BHC Scenario
CVA
N/A
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Single Name
BHC Scenario and
Specification
Specification
Credit Hedges
BHC Specification
(Severely Adverse)
(Adverse)
N/A
Additional/Offline CVA
Ratings Category
Internal
Rating
Credit Hedges
External
Rating
N/A
CVA Data
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Stressed
Net CE
BHC Scenario
CVA
Credit Hedges
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Single Name
BHC Scenario and
Specification
Specification
Credit Hedges
BHC Specification
(Severely Adverse)
(Adverse)
Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category
Internal
Rating
External
Rating
Gross CE
excluding
CCPs
Stressed Gross
Stressed Gross
CE excluding
Stressed Gross CE Stressed Gross CE
CE to CCPs
to CCPs
Stressed Gross CE
Gross CE to
CCPs
excluding CCPs
FR Scenario
FR Scenario
BHC scenario
CCPs
FR Scenario
FR Scenario
(Severely
(Adverse)
(Adverse)
(Severely
Adverse)
Adverse)
Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating
Ratings Category
Internal
rating
External
rating
Gross CE
excluding
CCPs
Exposure Data
Net CE
excluding
CCPs
Net CE to CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Net CE to CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net CE excluding
CCPs
FR Scenario
(Adverse)
Exposure Data
Stressed Gross
Stressed Gross
CE excluding
Stressed Gross CE Stressed Gross CE
CE to CCPs
Stressed Gross CE
Gross CE to
CCPs
excluding CCPs
to CCPs
FR Scenario
BHC scenario
CCPs
FR Scenario
FR Scenario
FR Scenario
(Severely
(Adverse)
(Severely
(Adverse)
Adverse)
Adverse)
Net CE
excluding
CCPs
Collateralized Netting
Ratings Category
Internal
Rating
External
Rating
CVA Data
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Stressed
Net CE
BHC Scenario
CVA
Uncollateralized nettin
Ratings Category
Internal
rating
External
rating
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Single Name
BHC Scenario and
Specification
Specification
Credit Hedges
BHC Specification
(Severely Adverse)
(Adverse)
CVA Data
Stressed
Net CE
to CCPs
FR Scenario
(Adverse)
Stressed
Net CE
BHC Scenario
CVA
Credit Hedges
Credit Hedges
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Single Name
BHC Scenario and
Specification
Specification
Credit Hedges
BHC Specification
(Severely Adverse)
(Adverse)
2) EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Counterparty Identifiers
Rank
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Industry
Country
Internal External
Rating
Rating
2) EE p
$ Milli
CVA Inputs
Rank
Tenor Bucket
EE ‐ BHC
in Years
Specification
Marginal
Discount
LGD (CVA)
PD
Factor
2) EE p
$ Milli
Stressed CVA Inputs
Stressed EE ‐ FR
Scenario & FR
Rank
Specification
(Severely Adverse)
Stressed EE ‐ FR
Scenario & FR
Specification
(Adverse)
Stressed EE ‐ BHC
Scenario & BHC
Specification
Stressed LGD (PD)
Stressed Marginal Stressed Marginal Stressed
Stressed LGD (CVA)
Stressed LGD
Stressed LGD (CVA)
FR Scenario
PD FR Scenario
PD FR Scenario Marginal PD
FR Scenario
(CVA) FR Scenario
BHC Scenario
(Adverse)
(Severely Adverse)
(Severely Adverse)
(Adverse)
BHC Scenario (Severely Adverse)
2) EE p
$ Milli
Rank
Stressed LGD (PD)
Stressed LGD (PD)
FR Scenario
BHC Scenario
(Adverse)
3) Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA, ranked by CVA
Counterparty and Time Identifiers
Rank
Counterparty
name
Counterparty
ID
Netting set Sub‐netting
ID
set ID
(optional) (optional)
Industry
Country
Internal
rating
External
rating
Time
period
(years)
3) Cred
Data Inputs
Rank
Stressed spreads
Spread
Market
Spread
(bps)
(bps) used
spread adjustment
FR Scenario
in CVA
(bps)
(bps)
calculation (Severely Adverse)
Type of Credit Quality Input
Stressed spreads
Proxy
Stressed spreads
Proxy
Mapping
(bps)
mapping
(bps)
name
approach
FR Scenario
approach
BHC Scenario
(Adverse)
Source
Market
Ticker / Report (Bloomberg,
Comments
input
identifier date
Markit,
type
KMV, etc.)
nsitivities and slides: Change to asset‐side CVA for a given change in the underlying, gross of any hedges
, Increase in CVA reported as positive figure
Sen
Aggregate CVA sensitivities and slides
Credit Spreads
Counterparty Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC
CC
C
NR
Reference Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC
CC
C
NR
‐50%
‐10%
+1bp
+10%
+100%
+300%
Top 1 Cpty
<>
<>
1bp
Top 2 Cpty
<>
<>
1bp
Top 3 Cpty
<>
<>
1bp
Top 4 Cpty
<>
<>
1bp
nsitivities and slides: Change to asset‐side
, Increase in CVA reported as positive figu
Credit Spreads
Counterparty Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC
CC
C
NR
Reference Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC
CC
C
NR
nsitivities for Top 10 Counterparties, ranked by CVA
Top 5 Cpty
Top 6 Cpty
Top 7 Cpty
<>
<>
<>
<>
<>
<>
1bp
1bp
1bp
Top 8 Cpty
<>
<>
1bp
Top 9 Cpty
<>
<>
1bp
Top 10 Cpty
<>
<>
1bp
Interest Rates (bps)
EUR
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
GBP
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
USD
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All maturities
Other material IR sensitivities
<>
<>
<>
<>
<>
FX (%)
EUR
GBP
Other material FX sensitivities
<>
<>
<>
<>
<>
Equity (%)
US <>
Europe <>
Other <>
Other material equity sensitivities
<>
<>
<>
<>
<>
‐100bps
‐10bps
+1bp
+10bps
+100bps
+300bps
1bp
1bp
1bp
1bp
‐50%
‐10%
+1%
+10%
+100%
+300%
+1%
+1%
+1%
+1%
‐50%
‐10%
+1%
+10%
+100%
+300%
+1%
+1%
+1%
+1%
Interest Rates (bps)
EUR
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
GBP
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All Maturities
USD
<=1Y
1‐5Y
>=5‐10Y
>=10Y
All maturities
Other material IR sensitivities
<>
<>
<>
<>
<>
FX (%)
EUR
GBP
Other material FX sensitivities
<>
<>
<>
<>
<>
Equity (%)
US <>
Europe <>
Other <>
Other material equity sensitivities
<>
<>
<>
<>
<>
1bp
1bp
1bp
1bp
1bp
1bp
+1%
+1%
+1%
+1%
+1%
+1%
+1%
+1%
+1%
+1%
+1%
+1%
Commodities (%)
Oil & Oil Products
Natural Gas
Power
Coal & Freight
Softs & Ags
Precious Metals
Base Metals
Other material commodity sensitivities
<>
<>
Other material sensitivities
<>
<>
<>
<>
<>
<>
‐50%
‐10%
+1%
+10%
+100%
+300%
+1%
+1%
+1%
+1%
‐50
‐10
+1
+10
+100
+300
+1
+1
+1
+1
‐50%
‐10%
+1%
+10%
+100%
+300%
+1%
+1%
+1%
+1%
Commodities (%)
Oil & Oil Products
Natural Gas
Power
Coal & Freight
Softs & Ags
Precious Metals
Base Metals
Other material commodity sensitivities
<>
<>
Other material sensitivities
<>
<>
<>
<>
<>
<>
+1%
+1%
+1%
+1%
+1%
+1%
+1
+1
+1
+1
+1
+1
+1%
+1%
+1%
+1%
+1%
+1%
Sub‐schedule L.5.1 ‐ SFT information by CP legal entity and master netting agreement (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Severely Adverse))
Counterparty, Netting Agreement identifiers
Rank
CP Name
Parent/Consolidat
(parent/consolid
CP Legal Entity Name
ed Entity CP ID
ated)
Legal Entity ID
Netting
Agreement ID
Industry
Country
Internal
rating
Net
External rating
Agreement Type
Agreement
Role
1 CPName1
CP1
CP1_Legal_Ent_1
NA1_1_1
Cross‐product
(combined)
1 CPName1
CP1
CP1_Legal_Ent_1
NA1_1_2
Cross‐product
(combined)
Agent
2 CPName2
CP2
CP2_Legal_Ent_1
NA2_1_1
Repo
Principal
3 CPName3
CP3
CP3_Legal_Ent_1
NA3_1_1
Sec Lending
Agent
3 CPName3
CP3
CP3_Legal_Ent_2
NA3_2_1
Sec Lending
Principal
4 CPName4
CP4
CP4_Legal_Ent_1
NA4_1_1
Sec Lending
Principal
4 CPName4
…
CP4
CP4_Legal_Ent_1
NA4_1_1
Repo
Principal
Agent
Agreement
Detail
Proprietary ‐
MNA with SLA
and MRA
Proprietary ‐
MNA with SLA
and MRA
GMRA (2011
version)
MSLA (2005
version) ‐
Indemnified
sec lending
GMSLA (2010
version)
MSLA (2005
version,
modified)
No netting
agreement
Sub‐schedule L
tting Agreement Details
Rank
Netting Level Netting Set Detail
CPEntity‐
1 Principal
Exposure and Collateral MtM Values
Legal
Enforceability
WWR
position
Liquid
Y
None
Less Liquid
Y
None
Liquid
Y
None
3 Client
Liquid
Y
None
3 Client
Liquid
N
None
CPEntity‐
4 Principal
Liquid
Y
Specific
Liquid
N
None
CPEntity‐
1 Principal
CPEntity‐
2 Principal
4 None
…
Total Stressed
Stressed MtM
Stressed MtM
Stressed MtM
Total Stressed Stressed Net CE
Stressed MtM
Net CE FR
Stressed Net CE Posted FR
Received FR
Received FR
Net CE FR
FR scenario
Posted FR
scenario
FR scenario
scenario
scenario
scenario
scenario
(Severely
scenario
(Severely
(Adverse)
(Severely
(Severely
(Adverse)
(Adverse)
Adverse)
(Adverse)
Adverse)
Adverse)
Adverse)
Net CE
MtM Posted
Sub‐schedule L
Credit Quality
CP Credit Entity CP Credit
MtM Received
Type
Spread (bp)
Rank
1
1
2
3
3
4
4
…
CP Legal Entity
Identifier
CP Stressed
Spread FR
scenario
(Severely
Adverse)
CP Stressed
Spread FR
scenario
(Adverse)
Sub‐schedule L.5.2 ‐ SFT exposure MtM values by CP legal entity and master netting agreement (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Severely Adverse))
Counterparty identifiers
CP Name
Parent/Consolidat
(parent/consolid
CP Legal Entity Name
ed Entity CP ID
ated)
Rank
Legal Entity ID
Netting
Agreement ID
Central Debt MtM (Posted)
USD
1
1
2
3
3
4
…
CPName1
CPName1
CPName2
CPName3
CPName3
CPName4
CP1
CP1
CP2
CP3
CP3
CP4
CP1_Legal_Ent_1
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP3_Legal_Ent_1
CP3_Legal_Ent_2
CP4_Legal_Ent_2
NA1_1_1
NA1_1_2
NA2_1_1
NA3_1_1
NA3_2_1
NA4_1_1
Unstressed MtM (Po
Germany
UK/France
Other Eurozone
Japan
Other
Sub‐schedule L
osted)
Corporate Bonds Advanced
Economies MtM (Posted)
Equity MtM (Posted)
Rank
US
1
1
2
3
3
4
…
CAD
UK
Eurozone
Other
Economies
(specify)
IG
Sub‐IG
Corporate Bonds, Other
Economies MtM (Posted)
IG
Sub‐IG
ETF (Posted)
Equity
US Agency MBS/CMBS MtM
(Posted)
Fixed Income Pass‐Throughs Other (specify)
Non‐A
RMBS/ABS/
(Po
Investment
Grade
Sub‐schedule L
Unstressed MtM (Received)
Rank
cy
MBS
ed)
Non‐
Investment
Grade
1
1
2
3
3
4
…
Cash MtM (Posted)
USD
EUR
GBP
Other MtM (Posted)
JPY
Other
Inflation‐indexed
Commercial paper Municipals
securities
Central Debt MtM (Received)
Other
(specify)
USD
Germany
UK/France
Other
Eurozone
Sub‐schedule L
Rank
Equity MtM (Received)
Japan
1
1
2
3
3
4
…
Other
US
CAD
UK
Other
Eurozone Economies
(specify)
Corporate Bonds
Advanced Economies
MtM (Received)
IG
Sub‐IG
Corporate Bonds, Other
Economies MtM
(Received)
IG
Sub‐IG
ETF (Received)
Equity
Fixed
Income
US Agency MBS/CMBS
MtM (Received)
Non‐Agency
RMBS/ABS/CMBS MtM
(Received)
Pass‐
Throughs
Non‐
Investment
Investment
Grade
Grade
Other
(specify)
Sub‐schedule L
Stressed MtM (Posted)
Rank
Cash MtM (Received)
USD
1
1
2
3
3
4
…
EUR
GBP
Other MtM (Received)
JPY
Other
Inflation‐
Commercial Municipal
indexed
paper
s
securities
Central Debt MtM (Posted)
Other
(specify)
USD
Germany
UK/France
Other
Eurozone
Equit
Japan
Other
US
CAD
Sub‐schedule L
Corporate Bonds
Corporate Bonds,
Advanced Economies Other Economies MtM
MtM (Posted)
(Posted)
Rank
UK
1
1
2
3
3
4
…
Other
Eurozone Economie
s (specify)
IG
Sub‐IG
IG
Sub‐IG
ETF (Posted)
Equity
Fixed
Income
Non‐Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Posted)
(Posted)
Pass‐
Throughs
Other
(specify)
Non‐
Investment
Investme
Grade
nt Grade
Cash MtM (Posted)
USD
EUR
GBP
JPY
Other
Inflation‐
indexed
securities
Sub‐schedule L
Stressed MtM (Received)
Rank
MtM
ed)
Commercia
Municipals
l paper
1
1
2
3
3
4
…
Central Debt MtM (Received)
Other
(specify)
USD
Germany UK/France
Other
Eurozone
Japan
Equity MtM (Received)
Other
US
CAD
UK
Other
Eurozone Economie
s (specify)
Corporate Bonds Corporate Bonds, Other
Advanced Economies
Economies MtM
MtM (Received)
(Received)
IG
Sub‐IG
IG
Sub‐IG
ETF (Re
Equity
Sub‐schedule L
Rank
eived)
Fixed
Income
1
1
2
3
3
4
…
Non‐Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Received)
(Received)
Pass‐
Throughs
Other
(specify)
Non‐
Investment
Investme
Grade
nt Grade
Cash MtM (Received)
USD
EUR
GBP
Other MtM (Received)
JPY
Other
Inflation‐
indexed
securities
Commercial
Municipals
paper
Other
(specify)
Sub‐schedule L.5.3 ‐ Aggregate SFTs by Internal Rating
Ratings Category
Internal
rating
External rating
Net CE
Exposure Data
Stressed Net CE
Stressed Net CE
Stressed Net CE
FR scenario (Severely
FR scenario (Adverse) BHC scenario
Adverse)
US Treasury
Indemnified
Cash
Indemnified
Collateral
Securities Lent
Reinvestmen
(Notional
t
Balance)
(Notional
Balance)
Posted
Received
Agency MBS
Posted
Received
Sub‐schedule L
Ratings
Internal
rating
Equities
Posted
Received
Repo and Reverse Repo ‐ Gross Value of Instruments on Reporting Date
Corporate Bonds
Non‐Agency (ABS, RMBS)
Posted
Received
Posted
Received
Sovereigns
Posted
Received
Other
Posted
Cash (+/‐)
Received
Posted
Received
US Treasury
Posted
Received
Sub‐schedule L
Ratings
Internal
rating
Agency MBS
Posted
Received
Equities
Posted
Securities Lending and Borrowing ‐ Gross Value of Instruments on Reporting Date
Corporate Bonds
Non‐Agency (ABS, RMBS)
Received
Posted
Received
Posted
Received
Sovereigns
Posted
Received
Other
Posted
Cash (+/‐)
Received
Posted
Received
Sub‐schedule L.5.1.a ‐ SFT information by CP legal entity and master netting agreement (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Adverse))
Counterparty, Netting Agreement identifiers
Rank
CP Name
Parent/Consolidat
(parent/consolid
CP Legal Entity Name
ed Entity CP ID
ated)
Legal Entity ID
Netting
Agreement ID
Industry
Country
Net
Internal
rating
External rating
Agreement Type
Agreement
Role
1 CPName1
CP1
CP1_Legal_Ent_1
NA1_1_1
Cross‐product
(combined)
1 CPName1
CP1
CP1_Legal_Ent_1
NA1_1_2
Cross‐product
(combined)
Agent
2 CPName2
CP2
CP2_Legal_Ent_1
NA2_1_1
Repo
Principal
3 CPName3
CP3
CP3_Legal_Ent_1
NA3_1_1
Sec Lending
Agent
3 CPName3
CP3
CP3_Legal_Ent_2
NA3_2_1
Sec Lending
Agent
4 CPName4
…
CP4
CP4_Legal_Ent_2
NA4_1_1
Sec Lending
Principal
Agent
Agreement
Detail
Proprietary ‐
MNA with SLA
and MRA
Proprietary ‐
MNA with SLA
and MRA
GMRA (2011
version)
MSLA (2005
version) ‐
Indemnified
sec lending
GMSLA (2010
version)
MSLA (2005
version,
modified)
Sub‐schedule L
tting Agreement Details
Rank
Netting Level Netting Set Detail
CPEntity‐
1 Principal
Exposure and Collateral MtM Values
Legal
Enforceability
WWR
position
Liquid
Y
None
Less Liquid
Y
None
Liquid
Y
None
3 Client
Liquid
Y
None
3 Client
Liquid
Y
None
CPEntity‐
4 Principal
…
Liquid
N
Specific
CPEntity‐
1 Principal
CPEntity‐
2 Principal
Total Stressed
Stressed MtM
Stressed MtM
Stressed MtM
Total Stressed Stressed Net CE
Stressed MtM
Net CE FR
Stressed Net CE Posted FR
Received FR
Received FR
Net CE FR
FR scenario
Posted FR
scenario
FR scenario
scenario
scenario
scenario
scenario
(Severely
scenario
(Severely
(Adverse)
(Severely
(Severely
(Adverse)
(Adverse)
Adverse)
(Adverse)
Adverse)
Adverse)
Adverse)
Net CE
MtM Posted
Sub‐schedule L
Credit Quality
CP Credit Entity CP Credit
MtM Received
Type
Spread (bp)
Rank
1
1
2
3
3
4
…
CP Legal Entity
Identifier
CP Stressed
Spread FR
scenario
(Severely
Adverse)
CP Stressed
Spread FR
scenario
(Adverse)
Sub‐schedule L.5.2.a ‐ SFT exposure MtM values by CP legal entity and master netting agreement (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Adverse))
Counterparty identifiers
CP Name
Parent/Consolidat
(parent/consolid
CP Legal Entity Name
ed Entity CP ID
ated)
Rank
Legal Entity ID
Netting
Agreement ID
Central Debt MtM (Posted)
USD
1
1
2
3
3
4
…
CPName1
CPName1
CPName2
CPName3
CPName3
CPName4
CP1
CP1
CP2
CP3
CP3
CP4
CP1_Legal_Ent_1
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP3_Legal_Ent_1
CP3_Legal_Ent_2
CP4_Legal_Ent_2
NA1_1_1
NA1_1_2
NA2_1_1
NA3_1_1
NA3_2_1
NA4_1_1
Unstressed MtM (Posted)
Germany
UK/France
Other Eurozone
Japan
Other
US
Sub‐schedule L
Corporate Bonds Advanced
Economies MtM (Posted)
Equity MtM (Posted)
Rank
CAD
1
1
2
3
3
4
…
UK
Eurozone
Other
Economies
(specify)
IG
Sub‐IG
Corporate Bonds, Other
Economies MtM (Posted)
IG
Sub‐IG
ETF (Posted)
Equity
US Agency MBS/CMBS MtM
(Posted)
Fixed Income Pass‐Throughs Other (specify)
Non‐Agency
RMBS/ABS/CMBS MtM
(Posted)
Investment
Grade
Non‐
Investment
Grade
Sub‐schedule L
Unstressed MtM (Received)
Rank
Cash MtM (Posted)
USD
1
1
2
3
3
4
…
EUR
GBP
Other MtM (Posted)
JPY
Other
Inflation‐indexed
Commercial paper Municipals
securities
Central Debt MtM (Received)
Other
(specify)
USD
Germany
UK/France
Other
Eurozone
Japan
Sub‐schedule L
Rank
Equity MtM (Received)
Other
1
1
2
3
3
4
…
US
CAD
UK
Other
Eurozone Economies
(specify)
Corporate Bonds
Advanced Economies
MtM (Received)
IG
Sub‐IG
Corporate Bonds, Other
Economies MtM
(Received)
IG
Sub‐IG
ETF (Received)
Equity
Fixed
Income
US Agency MBS/CMBS
MtM (Received)
Non‐Agency
RMBS/ABS/CMBS MtM
(Received)
Pass‐
Throughs
Non‐
Investment
Investment
Grade
Grade
Other
(specify)
Sub‐schedule L
Stressed MtM (Posted)
Rank
Cash MtM (Received)
USD
1
1
2
3
3
4
…
EUR
GBP
Other MtM (Received)
JPY
Other
Inflation‐
Commercial Municipal
indexed
paper
s
securities
Central Debt MtM (Posted)
Other
(specify)
USD
Germany
UK/France
Other
Eurozone
Equit
Japan
Other
US
CAD
Sub‐schedule L
Corporate Bonds
Corporate Bonds,
Advanced Economies Other Economies MtM
MtM (Posted)
(Posted)
Rank
UK
1
1
2
3
3
4
…
Other
Eurozone Economie
s (specify)
IG
Sub‐IG
IG
Sub‐IG
ETF (Posted)
Equity
Fixed
Income
Non‐Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Posted)
(Posted)
Pass‐
Throughs
Other
(specify)
Non‐
Investment
Investme
Grade
nt Grade
Cash MtM (Posted)
USD
EUR
GBP
JPY
Other
Inflation‐
indexed
securities
Sub‐schedule L
Stressed MtM (Received)
Rank
MtM
ed)
Commercia
Municipals
l paper
1
1
2
3
3
4
…
Central Debt MtM (Received)
Other
(specify)
USD
Germany UK/France
Other
Eurozone
Japan
Equity MtM (Received)
Other
US
CAD
UK
Other
Eurozone Economie
s (specify)
Corporate Bonds Corporate Bonds, Other
Advanced Economies
Economies MtM
MtM (Received)
(Received)
IG
Sub‐IG
IG
Sub‐IG
ETF (Re
Equity
Sub‐schedule L
Rank
eived)
Fixed
Income
1
1
2
3
3
4
…
Non‐Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Received)
(Received)
Pass‐
Throughs
Other
(specify)
Non‐
Investment
Investme
Grade
nt Grade
Cash MtM (Received)
USD
EUR
GBP
Other MtM (Received)
JPY
Other
Inflation‐
indexed
securities
Commercial
Municipals
paper
Other
(specify)
Sub‐schedule L.6.1 ‐ Aggregate derivative information by counterparty legal entity and netting set/agreement level (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Severely Adverse))
Counterparty, Netting Agreement identifiers
Rank
1
2
2
2
3
4
5
…
CP Name
(parent/consolidated)
Parent/Consoli
dated Entity
CP ID
CPName1
CPName2
CPName2
CPName2
CPName3
CPName4
CPName5
CP1
CP2
CP2
CP2
CP3
CP4
CP5
CP Legal Entity
Name
Legal Entity ID
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_2
CP3_Legal_Ent_1
CP4_Legal_Ent_1
CP5_Legal_Ent_1
Netting Set ID
Industry
Country
Rating
CSA Type
Independent
Excess Variation
Non‐cash
Default Fund
Amount (non
Margin (for
Threshold CP
(for CCPs)
CCP) or Initial collateral type
CCPs)
Margin (CCP)
1
2
2
2
3
4
5
…
CP Name
(parent/consolidated)
Parent/Consoli
dated Entity
CP ID
CPName1
CPName2
CPName2
CPName2
CPName3
CPName4
CPName5
CP1
CP2
CP2
CP2
CP3
CP4
CP5
CP Legal Entity
Name
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_2
CP3_Legal_Ent_1
CP4_Legal_Ent_1
CP5_Legal_Ent_1
Threshold
BHC
Minimum
Transfer
Amount CP
Minimum
Transfer
Amount BHC
Minimum
Transfer
Amount CP
Minimum
Transfer
Amount BHC
NS1_1_1
NS2_1_1
NS2_1_2
NS2_2_1
NS3_1_1
NS4_1_1
NS5_1_1
Sub‐schedule L.6.1.a ‐ Aggregate derivative information by counterparty legal entity and netting set/agreement level (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Adverse))
Counterparty, Netting Agreement identifiers
Rank
Netting Agreement Details
Legal Entity ID
Netting Set ID
NS1_1_1
NS2_1_1
NS2_1_2
NS2_2_1
NS3_1_1
NS4_1_1
NS5_1_1
Industry
Country
Rating
CSA Type
Netting Agreement Details
Independent
Excess Variation
Amount (non
Non‐cash
Default Fund
Margin (for
Threshold CP
CCP) or Initial collateral type
(for CCPs)
CCPs)
Margin (CCP)
Threshold
BHC
Sub‐schedul
Stressed Current Exposure
Exposure MtM Values
Collateral MtM Values
Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM
Margining
frequency
Rank
1
2
2
2
3
4
5
…
CSA contractual
features (non‐ WWR position
vanilla)
Total Stressed
Net CE FR
scenario
(Severely
Adverse)
Total Stressed
Net CE FR
scenario
(Adverse)
Stressed
Total
Stressed Net CE
Stressed
Stressed Net CE
Exposure MtM
Unstressed
FR scenario
Unstressed
Exposure MtM
FR scenario
FR scenario
MtM Cash
(Severely
MtM Exposure
FR scenario
Collateral
(Adverse)
(Severely
Adverse)
(Adverse)
(non CCPs)
Adverse)
USD
EUR
GBP
JPY
Other
Total
Unstressed
MtM
Collateral (non
CCPs)
None
None
None
None
None
Specific
General
Sub‐schedul
Stressed Current Exposure
Exposure MtM Values
Collateral MtM Values
Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM
Margining
frequency
Rank
1
2
2
2
3
4
5
…
CSA contractual
features (non‐ WWR position
vanilla)
None
None
None
None
None
Specific
General
Total Stressed
Net CE FR
scenario
(Severely
Adverse)
Total Stressed
Net CE FR
scenario
(Adverse)
Total
Stressed
Stressed
Stressed Net CE
Unstressed
Stressed Net CE
Exposure MtM
Exposure MtM
FR scenario
Unstressed
FR scenario
MtM Cash
FR scenario
FR scenario
(Severely
MtM Exposure
(Severely
Collateral
(Adverse)
(Adverse)
Adverse)
Adverse)
(non CCPs)
USD
EUR
GBP
JPY
Other
Total
Unstressed
MtM
Collateral (non
CCPs)
Sub‐schedul
Credit Quality and CDS Hedges
Stressed Cash
Stressed Total
Stressed Cash
Stressed Total
Collateral MtM
Collateral MtM
CDS
Collateral MtM
Collateral MtM
FR scenario
FR scenario
Reference
FR scenario
FR scenario
(Severely
(Severely
Entity Type
(Adverse)
(Adverse)
Adverse)
Adverse)
Rank
5Y CDS
Spread (bp)
CDS
Recovery
CP Legal
Entity
Identifier
WWR hedge?
CDS Hedge
Notional
CDS Hedge
CR01
5Y CDS
Stressed
Spread FR
scenario
(Severely
Adverse)
5Y CDS
Stressed
Spread FR
scenario
(Adverse)
CDS Hedge
CDS Hedge Stressed CVA
Stressed CR01
Stressed CVA
Stressed CR01 FR scenario
FR scenario
FR scenario
FR scenario
(Severely
(Severely
(Adverse)
(Adverse)
Adverse)
Adverse)
5Y CDS
Stressed
Spread FR
scenario
(Adverse)
CDS Hedge
CDS Hedge Stressed CVA
Stressed CR01
Stressed CVA
Stressed CR01 FR scenario
FR scenario
FR scenario
FR scenario
(Severely
(Severely
(Adverse)
(Adverse)
Adverse)
Adverse)
1
2
2
2
3
4
5
…
Sub‐schedul
Credit Quality and CDS Hedges
Stressed Total
Stressed Cash
Stressed Total
Stressed Cash
Collateral MtM
CDS
Collateral MtM
Collateral MtM
Collateral MtM
FR scenario
Reference
FR scenario
FR scenario
FR scenario
(Severely
Entity Type
(Severely
(Adverse)
(Adverse)
Adverse)
Adverse)
Rank
1
2
2
2
3
4
5
…
5Y CDS
Spread (bp)
CDS
Recovery
CP Legal
Entity
Identifier
WWR hedge?
CDS Hedge
Notional
CDS Hedge
CR01
5Y CDS
Stressed
Spread FR
scenario
(Severely
Adverse)
Sub‐schedule L.6.2 ‐ Derivative exposure MtM values by counterparty legal entity and netting set/agreement level (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Severely Adverse))
Counterparty identifiers
Parent/Consoli
CP Name
dated Entity
(parent/consolidated)
CP ID
Rank
1
2
2
2
3
4
5
…
CPName1
CPName2
CPName2
CPName2
CPName3
CPName4
CPName5
CP1
CP2
CP2
CP2
CP3
CP4
CP5
CP Legal Entity
Name
Legal Entity ID
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_2
CP3_Legal_Ent_1
CP4_Legal_Ent_1
CP5_Legal_Ent_1
Vanilla Interest
Vanilla FX
Rate
Derivatives,
Netting Set ID
Derivatives,
MtM
MtM
Vanilla
Commodity Vanilla Credit Vanilla Equity
(Cash)
Derivatives, Derivatives,
Derivatives
MtM
MtM
MtM
Rank
1
2
2
2
3
4
5
…
Parent/Consoli
dated Entity
CP ID
CPName1
CPName2
CPName2
CPName2
CPName3
CPName4
CPName5
CP1
CP2
CP2
CP2
CP3
CP4
CP5
CP Legal Entity
Name
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_1
CP2_Legal_Ent_2
CP3_Legal_Ent_1
CP4_Legal_Ent_1
CP5_Legal_Ent_1
Other Cash +
Structured
Structured Flow Exotic and
Other (single
Physical
(Multi‐name) Exotic Equity
Interest Rate Structured FX
name) Credit
Commodity
Credit
Derivatives,
Derivatives,
Derivatives,
Derivatives,
MtM
Derivatives
Derivatives,
MtM
MtM
MtM
MtM
MtM
NS1_1_1
NS2_1_1
NS2_1_2
NS2_2_1
NS3_1_1
NS4_1_1
NS5_1_1
Sub‐schedule L.6.2.a ‐ Derivative exposure MtM values by counterparty legal entity and netting set/agreement level (CCAR as‐of: as ranked by Stressed Net CE FR scenario (Adverse))
Counterparty identifiers
CP Name
(parent/consolidated)
Unstressed Exposure MtM by Asset category
Legal Entity ID
Vanilla Interest
Vanilla FX
Rate
Derivatives,
Netting Set ID
Derivatives,
MtM
MtM
NS1_1_1
NS2_1_1
NS2_1_2
NS2_2_1
NS3_1_1
NS4_1_1
NS5_1_1
Vanilla
Commodity Vanilla Credit Vanilla Equity
(Cash)
Derivatives, Derivatives,
Derivatives
MtM
MtM
MtM
Unstressed Exposure MtM by Asset category
Other Cash +
Structured
Structured Flow Exotic and
Other (single
Physical
(Multi‐name) Exotic Equity
Interest Rate Structured FX
name) Credit
Derivatives,
Commodity
Credit
Derivatives,
Derivatives,
Derivatives,
MtM
Derivatives
Derivatives,
MtM
MtM
MtM
MtM
MtM
Sub‐schedul
Stressed Exposure MtM by Asset category
Structured
Other MtM
Vanilla Interest
Hybrids MtM Products (MBS, (provide details, Rate Derivatives,
ABS)
breakdown)
MtM
Rank
Vanilla FX
Derivatives,
MtM
Vanilla
Commodity
(Cash)
Derivatives MtM
Vanilla Credit
Derivatives,
MtM
Vanilla Equity
Derivatives,
MtM
Structured
Flow Exotic
Interest Rate and Structured
Derivatives, FX Derivatives,
MtM
MtM
Structured
Other Cash +
Other (single (Multi‐
Exotic Equity
Physical
name) Credit
name)
Derivatives,
Commodity
Derivatives,
Credit
Derivatives
MtM
MtM
Derivatives,
MtM
MtM
Hybrids
MtM
Structured
Products
(MBS, ABS)
Other MtM
(provide
details,
breakdown)
Hybrids
MtM
Structured
Products
(MBS, ABS)
Other MtM
(provide
details,
breakdown)
1
2
2
2
3
4
5
…
Sub‐schedul
Stressed Exposure MtM by Asset category
Structured
Other MtM
Vanilla Interest
Hybrids MtM Products (MBS, (provide details, Rate Derivatives,
ABS)
breakdown)
MtM
Rank
1
2
2
2
3
4
5
…
Vanilla FX
Derivatives,
MtM
Vanilla
Commodity
(Cash)
Derivatives MtM
Vanilla Credit
Derivatives,
MtM
Vanilla Equity
Derivatives,
MtM
Structured
Flow Exotic
Interest Rate and Structured
Derivatives, FX Derivatives,
MtM
MtM
Structured
Other Cash +
Other (single (Multi‐
Physical
Exotic Equity
name) Credit
name)
Commodity
Derivatives,
Derivatives,
Credit
Derivatives
MtM
MtM
Derivatives,
MtM
MtM
Notes to the CCR Schedule
| File Type | application/pdf |
| File Title | FR_Y-14Q_Counterparty_template.xlsx |
| File Modified | 2016-01-14 |
| File Created | 2016-01-14 |