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pdfFR Y-14Q: Trading, PE and Other Fair Value Assets Schedules
Institution Name:
Effective Date:
Date of Data Submission:
Firm Name
Trading, PE & Other Fair Value Assets Schedule
Equity by Geography
Country
CTRDH038
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
Firm Name
Delta
($MM)
CTRDH039
$0
$0
$0
$0
Gamma
($MM /
+1%)
CTRDH040
0.0
0.0
0.0
0.0
Vega
($MM / +1
vol pt)
CTRDH041
0.0
0.0
0.0
0.0
Effective date
Submission Date
Profit/(Loss) from % Change in Country Equity Prices ($MM)
CTRDH042
-50%
$0
$0
$0
$0
-40%
$0
$0
$0
$0
-35%
-30%
CTRDH043
$0
$0
$0
$0
$0
$0
$0
$0
Vega ($MM / +1 vol pt)
-20%
0%
Total
1M
3M
6M
9M
1Y
2Y
3Y
CTRDH044
5Y
7Y
10Y
15Y
20Y
30Y
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
Trading, PE & Other Fair Value Assets Schedule
Equity by Geography
Country
CTRDH038
Israel
Turkey
Other Cross-Country Indices
Other Middle East/N. Africa
Middle East/N. Africa Total
South Africa
Other Cross-Country Indices
Other Sub-Saharan Africa
Sub-Saharan Africa Total
Firm Name
Delta
($MM)
CTRDH039
$0
$0
Gamma
($MM /
+1%)
CTRDH040
0.0
0.0
Vega
($MM / +1
vol pt)
CTRDH041
0.0
0.0
Effective date
Submission Date
Profit/(Loss) from % Change in Country Equity Prices ($MM)
CTRDH042
-50%
$0
$0
-40%
$0
$0
-35%
-30%
CTRDH043
$0
$0
$0
$0
Vega ($MM / +1 vol pt)
-20%
0%
Total
1M
3M
6M
9M
1Y
2Y
3Y
CTRDH044
5Y
7Y
10Y
15Y
20Y
30Y
$0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
$0
$0
$0
$0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0
0.0
0.0
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
$0
Trading, PE & Other Fair Value Assets Schedule
Equity Spot-Vol Grid
Firm Name
Please select how volatility changes are expressed:
CTRDH045
Effective Date:
Submission Date:
Relative % change in Volatility
Profit/(Loss) from changes in Spot/Vol ($MM): WORLD-WIDE EQUITIES
CTRDH048
% CHANGE IN SPOT VALUE
-50%
% CHANGE IN VOL
CTRDH047
-40%
-35%
CTRDH046
-30%
-20%
0%
15%
30%
60%
0%
$0
Delta post spot shock (at 0 vol shock) ($MM)
CTRDH050
Check:
$0.0000
Check:
$0.0000
Check:
$0.0000
Gamma post spot shock (at 0 vol shock) ($MM / +1%)
CTRDH051
Vega post spot shock (at 0 vol shock) ($MM / +1 vol pt)
CTRDH049
Vega post vol shock
(at 0 spot shock)
($MM / +1% relative)
CTRDH411
Trading, PE & Other Fair Value Assets Schedule
Other Equity
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from a -1% change in dividends ($MM)
CTRDH055
Region
CTRDH053
US
Europe
Japan
Other / Unspecified
Total
1Y
$0.00
2Y
$0.00
3Y
$0.00
5Y
CTRDH054
$0.00
7Y
$0.00
10Y
$0.00
Unspecified
Tenor
Total
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities
Currency 1
Currency 2
Delta
($MM)
Gamma
($MM / +1%)
CTRDH056
CTRDH057
CTRDH058
CTRDH059
Firm Name
Effective Date:
Submission Date:
<------------------ Currency1 weakening against Currency2 ----- ----- Currency1 strengthening against Currency2 ------------------>
$MM Profit/(Loss) From % Change in Spot Price in Currency1 vs. Currency2
CTRDH060
-30%
-25%
-20%
-15%
-10%
0%
CTRDH061
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
10%
15%
20%
25%
30%
Trading, PE & Other Fair Value Assets Schedule
FX Vega
Firm Name
Effective Date:
Submission Date:
FX Lognormal Vega ($K / +1 vol pt)
CTRDH065
Currency 1
CTRDH062
Currency 2
CTRDH063
1M
3M
6M
9M
1Y
2Y
3Y
CTRDH064
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
$0.00
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
MATURITY
DV01 ($K / -1 bp)
CTRDH070
Currency CTRDH068
Category CTRDH069
AUD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
1M
3M
6M
9M
1Y
2Y
3Y
5Y
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
10Y
15Y
20Y
30Y
Total
-200 bps
-100 bps
-50 bps
0 bps
+50 bps
CTRDH066
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
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
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
0
0
0
0
0
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
CTRDH067
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
+100 bps
0
0
0
0
0
0
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
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
MATURITY
DV01 ($K / -1 bp)
CTRDH070
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
1M
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)
CTRDH071
7Y
0
10Y
0
15Y
0
20Y
0
30Y
0
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
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
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
-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
$0
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
MATURITY
DV01 ($K / -1 bp)
CTRDH070
NOK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
1M
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
3Y
0
5Y
0
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
0
10Y
0
15Y
0
20Y
0
30Y
0
Total
0.00
0.00
0.00
0.00
0.00
0.00
0
NOK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
NZD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
NZD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
SEK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
SEK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
USD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
USD Basis Risks (Do not include the swap/discounting curve specified above)
Prime Basis
CP Basis
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH052
Muni SIFMA/Libor Basis ($K per 1% abs
increase in Muni SIFMA / Libor Ratio)
0.00
-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
$0
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
MATURITY
DV01 ($K / -1 bp)
CTRDH070
CTRDH070
Other Advanced Economies Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
Total Advanced Economies (Directional)
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
1M
3M
6M
9M
1Y
2Y
3Y
5Y
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
10Y
15Y
20Y
30Y
Total
-200 bps
-100 bps
-50 bps
0 bps
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
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
$0
$0
$0
$0
$0
$0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
+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
$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
$0
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
Expiry CTRDH075
Currency CTRDH076
1M
3M
6M
9M
1Y
2Y
3Y
MATURITY
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH074
EXPIRY
AUD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
EUR
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
GBP
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
MATURITY
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
JPY
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
USD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
US MBS Vega
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH078
EXPIRY
Other Advanced Economies
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
EXPIRY
Total Emerging Europe
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
1M
0.00
3M
0.00
6M
0.00
9M
0.00
1Y
0.00
2Y
0.00
3Y
0.00
MATURITY
5Y
0.00
7Y
0.00
10Y
0.00
15Y
0.00
20Y
0.00
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
Total Latam & Caribbean
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
Total Asia Ex-Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
EXPIRY
Total ME/N. Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
1M
0.00
3M
0.00
6M
0.00
9M
0.00
1Y
0.00
2Y
0.00
3Y
0.00
MATURITY
5Y
0.00
7Y
0.00
10Y
0.00
15Y
0.00
20Y
0.00
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
Total Sub-Saharan Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Other Rates
Firm Name
Effective Date:
Submission Date:
Inflation Delta ($K / +1 bp)
CTRDH081
Currency
CTRDH079
AUD
EUR
GBP
JPY
USD
Other
Total
1M
0
3M
0
6M
0
9M
1Y
2Y
0
0
0
9M
1Y
2Y
MATURITY
3Y
5Y
CTRDH080
0
0
7Y
10Y
15Y
20Y
30Y
Total
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0
7Y
10Y
15Y
20Y
30Y
Total
0
0.00
0.00
0.00
0.00
0.00
0
Cross-Currency vs. USD Basis ($K / +1 bp)
(+1 bp parallel move in curve relative to base curve)
CTRDH082
Currency
1M
3M
6M
CTRDH079
AUD
EUR
GBP
JPY
Other
Total
0
0
0
0
0
0
MATURITY
3Y
5Y
CTRDH080
0
0
0
0
0
0
Trading, PE & Other Fair Value Assets Schedule
Energy
Firm Name
CRUDE OIL
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
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
Gamma ($MM / +1%)
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
CTRDH089
CTRDH090
Brent
Dubai Fateh
Maya
Tapis
WTI
OMAN
Other Sour
Crude
Other
Sweet
Crude
Unspecified
Crude
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
OIL PRODUCTS
CTRDH083
OTHER OIL PRODUCTS
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
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
Fuel Oil
Heating Oil
Naptha
Ethanol
LPG
Jet Fuel
Gas Oils
Gasoline
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
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
0
Trading, PE & Other Fair Value Asse
Energy
NATURAL GAS
CTRDH083
US
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
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
NE
Rockies
Europe
West
NYMEX
Other US
UK
Belgium
Dutch
French
German
Other
Europe
Canada
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
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
0
Trading, PE & Other Fair Value Asse
Energy
Firm Name
POWER
CTRDH083
US
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
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
Midwest
North East
Europe
NYISO
West
Other US
Nordpool
Benelux
UK
Germany
France
Italy
Other Europe
Other Regions Total Power
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$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 ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
0
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
OTHER ENERGY
CTRDH083
Coal
Emissions
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
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
CER
VER
Other
ARA /API2
Richards Bay /
API4
Indonesia
Dry Freight
Other
Regions
Baltic Dry
Index
Other
Freight
Structured
Products
Total
Energy
Other /
Unspecified
Energy
Total Other
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
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
CTRDH083
Tolling Agreements
Heat Rate Options
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
Gas Component
Power
Component
Gas Component
Power
Component
CTRDH084
$0
$0
** See FR Y-14Q instructions
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Metals
Firm Name
PRECIOUS METALS
CTRDH083
Delta ($MM)
CTRDH087
Gold
CTRDH086
Spot Maturity
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
Gamma ($MM / +1%)
Total Vega
Palladium
Platinum
BASE METALS
CTRDH083
Total Precious
Metals
Aluminum
(Primary)
Aluminum
(Alloy)
Copper
Iron
Lead
CTRDH084
$0
$0
$0
Nickel
Tin
Uranium
Zinc
Other Base
Metals
Total Base
Metals
$0
$0
$0
$0
$0
$0
$0
$0
Total Metals
CTRDH084
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH083
Other /
Unspecified
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
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Silver
Other
Precious
Metals
Effective Date
Submission Date
0
0
0
0
0
0
CTRDH089
CTRDH090
Trading, PE & Other Fair Value Assets Schedule
Ags & Softs
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
Cocoa
CTRDH087
Coffee
Corn
Cotton
Cattle
Lean Hogs
Livestock
Lumber
CTRDH086
$0
Total Vega
Soybeans
Soymeal
Soybean Oil
Sugar
Wheat
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
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Rapeseed
CTRDH084
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta
Gamma ($MM / +1%)
Palm Oil
Other /
Unspecified
Ags/Softs
0
CTRDH089
CTRDH090
0
Trading, PE & Other Fair Value Assets Schedule
Diversified Commodity Indices
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
S&P GSCI Index DJ-UBS Index TR/J CRB Index
CTRDH087
$0
Total Vega
$0
$0
Long/Short
Commodity Indices
Grand Total
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Diversified
Total
CTRDH084
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta
Gamma ($MM / +1%)
Other
Diversified
Indices
0
0
0
0
CTRDH089
CTRDH090
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids
Firm Name
Profit/(Loss) from changes in Spot/Vol ($MM): OIL PRODUCTS
Effective Date:
Submission Date:
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
0%
-20%
CTRDH093
0
10
20
35
50
25%
50%
75%
50%
75%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): NATURAL GAS
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
0
10
20
35
50
25%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): POWER
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
0
10
20
35
50
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00
25%
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids
Firm Name
Profit/(Loss) from changes in Spot/Vol ($MM): EMISSIONS
Effective Date:
Submission Date:
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
0%
-20%
CTRDH093
0
10
20
35
50
25%
50%
75%
50%
75%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): COAL
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
0
10
20
35
50
25%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): FREIGHT
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
0
10
20
35
50
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00
25%
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($MM): OTHER STRUCTURED PRODUCTS & OTHER ENERGY PRODUCTS
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
0%
-20%
CTRDH093
0
10
20
35
50
25%
50%
75%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): BASE METALS
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
0
10
20
35
50
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00
25%
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($MM): PRECIOUS METALS
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
0%
-20%
CTRDH093
0
10
20
35
50
25%
50%
75%
50%
75%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): AGS/SOFTS
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
0
10
20
35
50
25%
$0.00
Profit/(Loss) from changes in Spot/Vol ($MM): DIVERSIFIED COMMODITY INDICES
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
0
10
20
35
50
-75%
-50%
-40%
CTRDH091
-30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00
25%
50%
75%
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non-Agency
Prime
Subprime
Option
ARMS
Other
AltA
Unspec
Non-Prime
HELOC
RMBS CDO RMBS CDS
Credit
Basket
PrimeX
ABX / TABX
Prime
Whole
Loans
Non-Prime
Whole Loans
European
RMBS
Other /
Unspecified
RMBS
SubTotal
MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
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
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
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
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
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
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
| File Type | application/pdf |
| File Modified | 0000-00-00 |
| File Created | 0000-00-00 |