Form FR Y-14Q FR Y-14Q Quarterly Counterparty (CCR) Form

FR Y-14Q: Counterparty Credit Risk
See Counterparty Schedule instructions for guidance on completing this schedule.
BHCs/IHCs 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: 12/20/17 10:53 AM

1a) Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Counterparty identifiers

Rank

Counterparty
name

Counterparty
ID

Legal Entity Netting set
Identifier
ID
(LEI)
(optional)

Sub-netting set ID
(optional)

Credit Quality Data

Industry Code

Country

Internal
External rating
rating

1a) To
$ Milli
Exposure Data

Rank

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/IHC
scenario

1a) To
$ Milli
CVA Data

Rank

CVA

Stressed
Stressed CVA
Stressed CVA
CVA
FR Scenario and FR FR Scenario and FR
BHC
Specification
Specification
Scenario
(Adverse)
(Severely Adverse)
and BHC

CSA in
place?

Credit Mitigants

Credit Hedges

%
Gross CE
with CSAs

Single Name
Credit Hedges

Downgrade
trigger
modeled?

1b) Top 20 counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA
$ Millions
Counterparty identifiers

Rank Counterparty name

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Counterparty ID

Legal Entity
Identifier (LEI)

Netting set ID
(optional)

Credit Quality Data
Sub-netting set
ID
(optional)

Industry
Code

Country

Internal
rating

External
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/IHC
scenario

Net CE

Stressed Net CE
FR Scenario
(Severely
Adverse)

Stressed Net CE
FR Scenario
(Adverse)

Stressed Net CE
BHC/IHC
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
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
FR Scenario and FR
Specification
(Adverse)

Credit mitigants
Stressed CVA
BHC/IHC Scenario
and BHC/IHC
specification

Credit Hedges

%
Downgrade
Single Name Credit
CSA in place? Gross CE with
trigger modeled?
Hedges
CSAs

1b) Top 20 counterparties ranked by BHC Scenario Stressed CVA
$ Millions
Counterparty identifiers

Rank Counterparty name

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

Counterparty ID

Legal Entity
Identifier (LEI)

Netting set ID
(optional)

Credit Quality Data

Sub-netting set
ID
(optional)

Industry
Code

Country

Internal
rating

External
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
Federal Reserve
scenario (Severely
Adverse)

Stressed Gross
CE
Federal Reserve
scenario
(Adverse)

Stressed Gross
CE
BHC/IHC
scenario

Net CE

Stressed Net CE
Stressed Net CE
Stressed Net CE
Federal Reserve
Federal Reserve
BHC/IHC
scenario
scenario
scenario
(Severely
(Adverse)
Adverse)

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
FR scenario and FR
specification
(Severely Adverse)

Stressed CVA
FR scenario and FR
specification
(Adverse)

Credit mitigants
Stressed CVA
BHC/IHC scenario
and BHC/IHC
specification

CSA in place?

Credit Hedges

% Gross CE
Downgrade
Single Name Credit
with CSAs trigger modeled?
Hedges

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 Counterparty Legal Entity Netting set ID
name
ID
Identifier (LEI) (optional)

Sub-netting
set ID
(optional)

Credit Quality Data

Industry Code

Country

Internal
rating

External
rating

1c) 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/IHC
scenario

Net CE

Stressed Net
CE
FR Scenario
(Severely
Adverse)

Stressed
Net CE
FR
Scenario
(Adverse)

Stressed
Net CE
BHC/IHC
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
FR Scenario and FR FR Scenario and
Specification
FR Specification
(Severely Adverse)
(Adverse)

Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification

CSA in
place?

%
Downgrade
Gross CE
trigger
with CSAs modeled?

Credit Hedges
Single Name
Credit Hedges

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 Counterparty Legal Entity Netting set ID
name
ID
Identifier (LEI) (optional)

Sub-netting
set ID
(optional)

Credit Quality Data

Industry Code

Country

Internal
rating

External
rating

1c) 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/IHC
scenario

Net CE

Stressed Net
CE
FR Scenario
(Severely
Adverse)

Stressed
Net CE
FR
Scenario
(Adverse)

Stressed
Net CE
BHC/IHC
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
FR Scenario and FR FR Scenario and
Specification
FR Specification
(Severely Adverse)
(Adverse)

Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification

CSA in
place?

% Gross CE
with CSAs

Downgrade
trigger
modeled?

Credit Hedges
Single Name
Credit Hedges

1c) Top 20 counterparties ranked by BHC/IHC 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 Counterparty Legal Entity Netting set ID
name
ID
Identifier (LEI) (optional)

Sub-netting
set ID
(optional)

Credit Quality Data

Industry Code

Country

Internal
rating

External
rating

1c) To
$ Milli

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)

Exposure Data
Stressed
Gross CE
FR Scenario
(Adverse)

Stressed
Gross CE
BHC/IHC
scenario

Net CE

Stressed Net
CE
FR Scenario
(Severely
Adverse)

Stressed
Net CE
FR
Scenario
(Adverse)

Stressed
Net CE
BHC/IHC
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
FR Scenario and FR FR Scenario and
Specification
FR Specification
(Severely Adverse)
(Adverse)

Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification

Credit Mitigants
CSA in
place?

%
Downgrade
Gross CE
trigger
with CSAs modeled?

Credit Hedges
Single Name
Credit Hedges

1d) Top 20 collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Credit Quality Data

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

Legal Entity Netting set
Identifier
ID
(LEI)
(optional)

Sub-netting set ID
(optional)

Industry
Code

Country

Internal
rating

External rating

Exposure Data

Gross CE

Stressed Gross CE
FR Scenario
(Severely Adverse)

Stressed Gross CE
FR Scenario
(Adverse)

Stressed Gross
CE
BHC/IHC
scenario

Net CE

1d) To
$ Milli
CVA Data
Stressed Net CE
Rank
FR Scenario
(Severely Adverse)
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/IHC
Scenario

CVA

Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)

Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
Specification

CSA in
place?

Credit Mitigants

Credit Hedges

%
Gross CE
with CSAs

Single Name
Credit Hedges

Downgrade
trigger
modeled?

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
Credit Quality Data

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

Legal Entity Netting set
Identifier
ID
(LEI)
(optional)

Sub-netting set ID
(optional)

Industry
Code

Country

Internal
rating

External rating

Exposure Data

Gross CE

Stressed Gross CE
FR Scenario
(Severely Adverse)

Stressed Gross CE
FR Scenario
(Adverse)

Stressed Gross
CE
BHC/IHC
scenario

Net CE

1d) To
$ Milli
CVA Data
Stressed Net CE
Rank
FR Scenario
(Severely Adverse)
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/IHC
Scenario

CVA

Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)

Credit Mitigants
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
Specification

CSA in
place?

% Gross CE
with CSAs

Downgrade
trigger
modeled?

Credit Hedges

Single Name
Credit Hedges

Subschedule 1e - Aggregate CVA data by ratings and collateralization
$ Millions
e1) Aggregate CVA by ratings
Ratings Category

Internal
Rating

N/A

External Rating

Gross CE
excluding
CCPs

Gross CE to
CCPs

Stressed Gross
Stressed Gross
CE excluding
CE to CCPs
CCPs
FR Scenario
FR Scenario
(Severely
(Severely
Adverse)
Adverse)

Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)

Gross CE to
CCPs

Stressed Gross
Stressed Gross
CE excluding
CE to CCPs
CCPs
FR Scenario
FR Scenario
(Severely
(Severely
Adverse)
Adverse)

Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)

N/A

e2) Additional/Offline CVA reserves
Reserve Type

Reserve Type

Model/infrastructure limitations
Trades not captured
Offline reserves
Funding Valuation Adjustment (if applicable)
Other

Gross CE
excluding
CCPs

e3) 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

Gross CE to
CCPs

Stressed Gross
Stressed Gross
CE excluding
CE to CCPs
CCPs
FR Scenario
FR Scenario
(Severely
(Severely
Adverse)
Adverse)

Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)

e4) 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

Gross CE to
CCPs

Stressed Gross
Stressed Gross
CE excluding
CE to CCPs
CCPs
FR Scenario
FR Scenario
(Severely
(Severely
Adverse)
Adverse)

Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)

Exposure Data
Stressed Gross CE
to CCPs
FR Scenario
(Adverse)

Stressed Gross CE
BHC scenario

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)

Stressed
Net CE
to 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)

Stressed
Net CE
to CCPs
FR Scenario
(Adverse)

Exposure Data
Stressed Gross CE
to CCPs
FR Scenario
(Adverse)

Stressed Gross CE
BHC scenario

Net CE
excluding
CCPs

Exposure Data
Stressed Gross CE
to CCPs
FR Scenario
(Adverse)

Stressed Gross CE
BHC scenario

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)

Stressed
Net CE
to 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)

Stressed
Net CE
to CCPs
FR Scenario
(Adverse)

Exposure Data
Stressed Gross CE
to CCPs
FR Scenario
(Adverse)

Stressed Gross CE
BHC scenario

Net CE
excluding
CCPs

CVA Data

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)

CVA Data

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 Hedges

Single Name Credit
Hedges

Credit Hedges

Single Name Credit
Hedges

CVA Data

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)

CVA Data

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 Hedges

Single Name Credit
Hedges

Credit Hedges

Single Name Credit
Hedges

2) EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Counterparty Identifiers

Counterparty Legal Entity
Rank Counterparty name
ID
Identifier (LEI)

Netting set
ID
(optional)

Sub-netting set ID
(optional)

Industry Code

Country

Internal
Rating

External
Rating

2) EE pro
$ Million
CVA Inputs

Rank

EE Tenor Bucket BHC/IHC
Marginal PD LGD (CVA)
in Years
Specificati
on

Discount Factor

Stressed EE - FR
Scenario & FR
Specification
(Severely
Adverse)

Stressed EE - FR
Scenario & FR
Specification
(Adverse)

Stressed EE Stressed Marginal
BHC/IHC Scenario & PD FR Scenario
BHC/IHC
(Severely
Specification
Adverse)

Stressed
Marginal PD
FR Scenario
(Adverse)

2) EE pro
$ Million
Stressed CVA Inputs
Stressed LGD
Stressed LGD (PD)
Stressed LGD (CVA)
Stressed LGD (PD) Stressed LGD
Stressed Marginal (CVA) FR Scenario
Stressed LGD (CVA)
FR Scenario
Rank
FR Scenario
FR Scenario
(PD) BHC/IHC
(Severely
PD BHC/IHC Scenario
BHC/IHC Scenario
(Severely
(Adverse)
(Adverse)
Scenario
Adverse)
Adverse)

Stressed
Discount
Factor
FR Scenario
(Severely
Adverse)

Stressed
Discount
Factor
FR Scenario
(Adverse)

Stressed
Discount
Factor
BHC/IHC
Scenario

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

Legal Entity Netting set
Identifier
ID
(LEI)
(optional)

Sub-netting set ID
(optional)

Industry Code

Country

Internal
rating

External
rating

3) Cred
Data Inputs

Rank

Time
period
(years)

Market
spread
(bps)

Spread
adjustmen
t (bps)

Spread (bps)
used in CVA
calculation

Stressed spreads
(bps)
FR Scenario
(Severely
Adverse)

Type of Credit Quality Input
Stressed
spreads (bps)
FR Scenario
(Adverse)

Stressed
spreads
Proxy
Mapping
(bps)
mapping
approach
BHC
approach
Scenario

Proxy
name

Market
input
type

Ticker /
identifier

Source
Report (Bloomberg,
Comments
date
Markit,
KMV, etc.)

Sub-schedule L.4 - Aggregate and Top CVA sensitivities by Risk Factor:
Change to asset-side CVA for a given change in the underlying risk factor, gross of any hedges.
$ Millions, Increase in CVA reported as positive figure
Credit Spreads

-50%

-10%

-100bps

-10bps

Aggregate CVA sensitivities and slides
+1bp
+10%
+100%

+300%

+1bp
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+300bps

+1bp

+1bp

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Counterparty/Reference Spread
Aggregate
Aggregate by rating:
AAA
AA
A
BBB
BB
B
CCC or lower
NR
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

+1bp

+10bps

+100bps

Top 10 Counterparties by Sensitivity to Risk Factors
+1bp
+1bp
+1bp
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+1bp
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+1bp
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+1bp
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+1bp
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+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

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Other material IR sensitivities
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FX (%)

-50%

-10%

+1%

+10%

+50%

+100%

+1%
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+1%
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+1%
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+1%
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CAD

CHF

EUR

GBP

JPY
Other material FX sensitivities
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Equity (%)

-50%

-10%

+1%

+10%

+50%

+100%

US <>

Europe <>

Other <>

+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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+1%
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<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

Other material equity sensitivities
<>
<>
<>
<>
<>
Commodities (%)

-50%

-10%

+1%

+10%

+100%

+300%

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

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%

+50%

+100%

+1%

+1%

-50%

-10%

+1%

+10%

+50%

+100%

+1%

+1%

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+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
CP Legal Entity Name
(parent/consolid
ed Entity CP ID
ated)

Legal Entity ID

Netting
Agreement ID

Industry Code

Country

Internal
rating

Netting Agreement Details

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

Netting Level Netting Set Detail

CPEntityPrincipal

Legal
Enforceability

WWR
position

Liquid

Y

None

Less Liquid

Y

None

Liquid

Y

None

Client

Liquid

Y

None

Client

Liquid

N

None

CPEntityPrincipal

Liquid

Y

Specific

None

Liquid

N

None

CPEntityPrincipal
CPEntityPrincipal

Sub-schedule L
Exposure and Collateral MtM Values

Total Stressed
Stressed MtM
Stressed MtM
Total Stressed Stressed Net CE
Stressed MtM
Stressed MtM
Received FR
Net CE FR
Stressed Net CE
Posted FR
Net CE FR
FR scenario
Posted FR
Received FR
scenario
scenario
FR scenario
scenario
scenario
(Severely
scenario
scenario
(Severely
(Severely
(Adverse)
(Severely
(Adverse)
Adverse)
(Adverse)
(Adverse)
Adverse)
Adverse)
Adverse)

Rank

1

1
2

3
3

4
4
…

Credit Quality

Net CE

MtM Posted

CP Credit Entity CP Credit
MtM Received
Spread (bp)
Type

CP Legal Entity
Identifier (LEI)

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
CP Legal Entity Name
(parent/consolid
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

Equity MtM (Posted)

Japan

Other

US

CAD

UK

Eurozone

Other
Economies
(specify)

Sub-schedule L

Corporate Bonds Advanced
Economies MtM (Posted)

Rank

IG
1
1
2
3
3
4
…

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

NonInvestment
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

Other

Sub-schedule L

Rank

Equity MtM (Received)

US
1
1
2
3
3
4
…

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)

PassThroughs

Other
(specify)

Non-Agency
RMBS/ABS/CMBS MtM
(Received)
NonInvestment
Investment
Grade
Grade

Sub-schedule L
Stressed MtM (Posted)

Rank

Cash MtM (Received)

USD
1
1
2
3
3
4
…

EUR

GBP

Other MtM (Received)

JPY

Other

InflationCommercial Municipal
indexed
s
paper
securities

Central Debt MtM (Posted)

Other
(specify)

USD

Germany

UK/France

Other
Eurozone

Equity MtM (Posted)

Japan

Other

US

CAD

UK

Other
Eurozone Economie
s (specify)

Sub-schedule L
Stressed MtM (Received)
Corporate Bonds
Advanced Economies
MtM (Posted)

Rank

IG
1
1
2
3
3
4
…

Sub-IG

Corporate Bonds,
Other Economies MtM
(Posted)

IG

Sub-IG

ETF (Posted)

Equity

Fixed
Income

Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Posted)
(Posted)

PassThroughs

Other
(specify)

NonInvestment
Investme
Grade
nt Grade

Cash MtM (Posted)

USD

EUR

GBP

Other MtM (Posted)

JPY

Other

InflationCommerci
Municipals
indexed
al paper
securities

Central Debt MtM (Received)

Other
(specify)

USD

Germany UK/France

Other
Eurozone

Japan

Other

Sub-schedule L

Rank

Equity MtM (Received)

US
1
1
2
3
3
4
…

CAD

UK

Other
Eurozone Economie
s (specify)

Corporate Bonds
Corporate Bonds, Other
Advanced Economies MtM
Economies MtM
(Received)
(Received)

IG

Sub-IG

IG

Sub-IG

ETF (Received)

Equity

Fixed
Income

Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Received)
(Received)

PassThroughs

Other
(specify)

NonInvestment
Investme
Grade
nt Grade

Cash MtM (Received)

USD

EUR

GBP

Other MtM (Received)

JPY

Other

Inflationindexed
securities

Commercial
Municipals
paper

Other
(specify)

Sub-schedule L.5.3 - Aggregate SFTs by Internal Rating
Ratings Category

Internal
rating

External rating

Net CE

US Treasury

Exposure Data

Stressed Net CE
Stressed Net CE
Stressed Net CE
FR scenario (Severely
FR scenario (Adverse) BHC scenario
Adverse)

Indemnified
Cash
Indemnified
Collateral
Securities Lent
Reinvestmen
(Notional
t
Balance)
(Notional
Balance)

Posted

Received

Agency MBS

Posted

Received

Equities

Posted

Received

Repo and Reverse Repo - Gross Value of Instruments on Reporting
Corporate Bonds
Non-Agency (ABS, RMBS)

Posted

Received

Posted

Received

Sub-schedule LDate
Ratings

Internal
rating

Sovereigns

Posted

Received

Other

Posted

Cash (+/-)

Received

Posted

Received

US Treasury

Posted

Received

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

Sub-schedule L
Ratings

Internal
rating

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
CP Legal Entity Name
(parent/consolid
ed Entity CP ID
ated)

Legal Entity ID

Netting
Agreement ID

Industry Code

Country

Netting Agreement Details

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)

Netting Level Netting Set Detail

CPEntityPrincipal

Legal
Enforceability

WWR
position

Liquid

Y

None

Less Liquid

Y

None

Liquid

Y

None

Client

Liquid

Y

None

Client

Liquid

Y

None

CPEntityPrincipal

Liquid

N

Specific

CPEntityPrincipal
CPEntityPrincipal

Sub-schedule L
Exposure and Collateral MtM Values
Total Stressed
Stressed MtM
Stressed MtM
Total Stressed Stressed Net CE
Stressed MtM
Stressed MtM
Received FR
Posted FR
Net CE FR
Stressed Net CE
Net CE FR
Posted FR
FR scenario
Received FR
scenario
scenario
scenario
FR scenario
scenario
scenario
(Severely
scenario
(Severely
(Severely
(Severely
(Adverse)
(Adverse)
(Adverse)
Adverse)
(Adverse)
Adverse)
Adverse)
Adverse)

Rank

1

1
2

3
3

4
…

Credit Quality

Net CE

MtM Posted

CP Credit Entity CP Credit
MtM Received
Spread (bp)
Type

CP Legal Entity
Identifier (LEI)

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
CP Legal Entity Name
(parent/consolid
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

Equity MtM (Posted)

Japan

Other

US

CAD

UK

Eurozone

Other
Economies
(specify)

Sub-schedule L

Corporate Bonds Advanced
Economies MtM (Posted)

Rank

IG
1
1
2
3
3
4
…

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

NonInvestment
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

Other

Sub-schedule L

Rank

Equity MtM (Received)

US
1
1
2
3
3
4
…

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)

PassThroughs

Other
(specify)

Non-Agency
RMBS/ABS/CMBS MtM
(Received)
NonInvestment
Investment
Grade
Grade

Sub-schedule L
Stressed MtM (Posted)

Rank

Cash MtM (Received)

USD
1
1
2
3
3
4
…

EUR

GBP

Other MtM (Received)

JPY

Other

InflationCommercial Municipal
indexed
s
paper
securities

Central Debt MtM (Posted)

Other
(specify)

USD

Germany

UK/France

Other
Eurozone

Equity MtM (Posted)

Japan

Other

US

CAD

UK

Other
Eurozone Economie
s (specify)

Sub-schedule L
Stressed MtM (Received)
Corporate Bonds
Advanced Economies
MtM (Posted)

Rank

IG
1
1
2
3
3
4
…

Sub-IG

Corporate Bonds,
Other Economies MtM
(Posted)

IG

Sub-IG

ETF (Posted)

Equity

Fixed
Income

Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Posted)
(Posted)

PassThroughs

Other
(specify)

NonInvestment
Investme
Grade
nt Grade

Cash MtM (Posted)

USD

EUR

GBP

Other MtM (Posted)

JPY

Other

InflationCommerci
Municipals
indexed
al paper
securities

Central Debt MtM (Received)

Other
(specify)

USD

Germany UK/France

Other
Eurozone

Japan

Other

Sub-schedule L

Rank

Equity MtM (Received)

US
1
1
2
3
3
4
…

CAD

UK

Other
Eurozone Economie
s (specify)

Corporate Bonds
Corporate Bonds, Other
Advanced Economies MtM
Economies MtM
(Received)
(Received)

IG

Sub-IG

IG

Sub-IG

ETF (Received)

Equity

Fixed
Income

Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS MtM
MtM (Received)
(Received)

PassThroughs

Other
(specify)

NonInvestment
Investme
Grade
nt Grade

Cash MtM (Received)

USD

EUR

GBP

Other MtM (Received)

JPY

Other

Inflationindexed
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 Code

Country

Rating

CSA Type

Independent
Amount (non
CCP) or Initial
Margin (CCP)

Non-cash
collateral type

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

Excess Variation
Default Fund
Margin (for
Threshold CP
(for CCPs)
CCPs)

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

CP Name
(parent/consolidated)

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 Code

Country

Rating

CSA Type

Independent
Amount (non
CCP) or Initial
Margin (CCP)

Netting Agreement Details

Non-cash
collateral type

Excess Variation
Default Fund
Margin (for
Threshold CP
(for CCPs)
CCPs)

Threshold
BHC

Sub-schedul
Stressed Current Exposure

Margining
frequency

Rank

CSA contractual
features (nonvanilla)

1
2
2
2
3
4
5
…

WWR position

Total Stressed
Net CE FR
scenario
(Severely
Adverse)

Total Stressed
Net CE FR
scenario
(Adverse)

Stressed Net CE
FR scenario
(Severely
Adverse)

Exposure MtM Values

Stressed
Stressed
Stressed Net CE
Exposure MtM
Unstressed
Exposure MtM
FR scenario
FR scenario
MtM Exposure
FR scenario
(Adverse)
(Severely
(Adverse)
Adverse)

Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM
Total
Unstressed
MtM Cash
Collateral
(non CCPs)

USD

EUR

GBP

JPY

Collateral MtM Values

Other

Total
Unstressed
MtM
Collateral (non
CCPs)

None
None
None
None
None
Specific
General

Sub-schedul
Stressed Current Exposure

Margining
frequency

Rank

1
2
2
2
3
4
5
…

CSA contractual
features (nonvanilla)

WWR position

None
None
None
None
None
Specific
General

Total Stressed
Net CE FR
scenario
(Severely
Adverse)

Total Stressed
Net CE FR
scenario
(Adverse)

Stressed Net CE
FR scenario
(Severely
Adverse)

Exposure MtM Values

Stressed
Stressed
Stressed Net CE
Exposure MtM
Unstressed
Exposure MtM
FR scenario
FR scenario
MtM Exposure
FR scenario
(Adverse)
(Severely
(Adverse)
Adverse)

Cash Collateral (non CCPs) or Variation Margin (CCPs) MtM
Total
Unstressed
MtM Cash
Collateral
(non CCPs)

USD

EUR

GBP

JPY

Collateral MtM Values

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
Reference
FR scenario
FR scenario
FR scenario
(Severely
Entity Type
(Severely
(Adverse)
(Adverse)
Adverse)
Adverse)

Rank

5Y CDS
Spread (bp)

CDS
Recovery

CP Legal
Entity
Identifier
(LEI)

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
(Severely
FR scenario
(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
(Severely
FR scenario
(Severely
(Adverse)
Adverse)
(Adverse)
Adverse)

1
2
2
2
3
4
5
…
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
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
(LEI)

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

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

Vanilla Interest
Rate
Netting Set ID
Derivatives,
MtM

Vanilla FX
Derivatives,
MtM

Vanilla
Commodity
(Cash)
Derivatives
MtM

Vanilla Credit Vanilla Equity
Derivatives,
Derivatives,
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

Structured
Interest Rate
Derivatives,
MtM

Flow Exotic and
Structured FX
Derivatives,
MtM

Other Cash +
Structured
Other (single
Physical
(Multi-name) Exotic Equity
name) Credit
Commodity
Credit
Derivatives, Hybrids MtM
Derivatives,
Derivatives
Derivatives,
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
Rate
Netting Set ID
Derivatives,
MtM
NS1_1_1
NS2_1_1
NS2_1_2
NS2_2_1
NS3_1_1
NS4_1_1
NS5_1_1

Vanilla FX
Derivatives,
MtM

Vanilla
Commodity
(Cash)
Derivatives
MtM

Vanilla Credit Vanilla Equity
Derivatives,
Derivatives,
MtM
MtM

Unstressed Exposure MtM by Asset category

Structured
Interest Rate
Derivatives,
MtM

Flow Exotic and
Structured FX
Derivatives,
MtM

Other Cash +
Structured
Other (single
Physical
(Multi-name) Exotic Equity
name) Credit
Commodity
Credit
Derivatives, Hybrids MtM
Derivatives,
Derivatives
Derivatives,
MtM
MtM
MtM
MtM

Sub-schedul
Stressed Exposure MtM by Asset category

Structured
Other MtM
Vanilla Interest
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
Interest Rate
Derivatives,
MtM

Flow Exotic
and Structured
FX Derivatives,
MtM

Other Cash +
Physical
Commodity
Derivatives
MtM

Structured
Other (single
(MultiExotic Equity
name) Credit
name)
Derivatives,
Derivatives,
Credit
MtM
MtM
Derivatives,
MtM

Hybrids
MtM

Structured
Products
(MBS, ABS)

Other MtM
(provide
details,
breakdown)

Structured
Other (single
(MultiExotic Equity
name) Credit
name)
Derivatives,
Derivatives,
Credit
MtM
MtM
Derivatives,
MtM

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
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
Interest Rate
Derivatives,
MtM

Flow Exotic
and Structured
FX Derivatives,
MtM

Other Cash +
Physical
Commodity
Derivatives
MtM

Notes to the CCR Schedule