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pdfFR Y-14Q: AFS and HTM Securities Schedule
Institution Name:
RSSD ID:
Date of Data Submission:
FR Y-14Q Schedule B.1 Securites 1: Main Schedule
Security Description
Identifier Type
(CUSIP/ISIN/Other)
CQSCP082
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Identifier Value
(CUSIP/ISIN)
CQSCP083
Private
Placement
(Y/N)
CQSCS370
Security
Description 1
CQSCP084
Agency MBS
Auction Rate Securities
CDO
CLO
CMBS
Common Stock (Equity)
Auto ABS
Credit Card ABS
Student Loan ABS
Other ABS (excl HEL ABS)
Corporate Bond
Domestic Non-Agency RMBS (incl HEL ABS)
Foreign RMBS
Municipal Bond
Security
Description 2
CQSCP085
Security
Description 3
CQSCP086
Exposure to Debt/Equity Security (USD Equivalent)
Current Face
Original Face
Value
Value
(USD
(USD
Equivalent)
Equivalent)
CQSCP089
CQSCP090
Amortized Cost Market Value
(USD
(USD
Equivalent)
Equivalent)
CQSCP087
CQSCP088
OTTI Taken
CQSCP091
Accounting
Pricing
Intent
Date (e.g.,
(AFS, HTM)
Price
MM/DD/YYYY)
CQSCP092 CQSCHK21
CQSCP093
Book Yield*
CQSCP094
Purchase
Date**
CQSCP095
Issuer Name
Issuer Name
Sector
Country
Sector
Money Market
Mutual Fund or
Non-Money Market
Mutual Fund
Name of Fund
Issuer Name
Country ISO Code
Example
Mutual Fund
Example
Preferred Stock (Equity)
Example
Sovereign Bond
Example
US Treasuries & Agencies
Example
Covered Bond
Example
Other
* Book yield is the effective interest rate that would be used to determine credit losses on debt instruments for other-than-temporary impairment (OTTI) purposes. Please refer to ASC 320 (FAS 115) for any additional information.
** Purchase Date is the date on which the security was purchased or acquired.
Securities 1
Currency
CQSCS371
FR Y-14Q Schedule B.2 Securites 2: Investment Securities with Designated Accounting Hedges
Security Holding
Hedging Instrument Information
Exposure to Debt/Equity
Security (USD Equivalent)
Identifier
Amortized
Identifier
Type
Cost
Value
(CUSIP/ISIN/
(USD
Other)
(CUSIP/ISIN) Equivalent)
CQSHP082 CQSHP083 CQSHP087
1
2
3
4
5
6
7
8
9
10
…
Market
Value
(USD
Equivalent)
CQSHP088
Accounting
Intent
(AFS, HTM)
CQSHP092
Type of
Hedge(s)
CQSHS372
Hedge
Hedge
Hedged Risk Interest Rate Percentage
CQSHS373
CQSHS374
CQSHS375
Hedge
Hedged Cash
Horizon
Sidedness
Flow
CQSHS376
CQSHS377
CQSHS378
Effective
Portion of
Hedging
Cumulative
Instrument Gains and
at Fair Value
Losses
CQSHS379
CQSHS380
Ineffective
Portion of
Cumulative
Gains and
Losses
CQSHS381
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Securities 2
FR Y-14Q Schedule C: Regulatory Capital Instruments Quarterly Schedule
Institution Name:
RSSD ID:
Date of Data Submission:
As of Date:
FR Y-14Q Schedule C.1—Regulatory Capital Instruments as of Quarter End
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
B
C
D
CUSIP or unique
Revised
identifier
regulatory
provided by
capital rule (July
BHC/IHC
Instrument type 2013) treatment
CQCNP083
CQCNQ744
CQCNQ746
E
F
Cumulative / Notional amount
($Millions)
noncumulative
CQCNQ747
CQCNQ748
G
Amount
recognized in
regulatory
capital
($Millions)
CQCNQ749
H
Comments
CQCNQ750
FR Y-14Q Schedule C.2—Regulatory Capital Instrument Repurchases/Redemptions During Quarter
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
B
CUSIP or unique
identifier
provided by
BHC/IHC
CQCRP083
C
Instrument type
CQCRQ744
D
Revised
regulatory capital
rule (July 2013)
treatment
CQCRQ746
E
Redemption
action
CQCRQ754
F
G
Date on which
Notional amount
action was executed
transacted
($Millions)
(mm/dd/yyyy)
CQCRQ755
CQCRQ756
H
Regulatory
capital amount
transacted
($Millions)
CQCRQ757
I
J
Amount
recognized in
Notional amount regulatory capital
remaining at
remaining at
quarter end
quarter end
($Millions)
($Millions)
CQCRQ758
CQCRQ759
K
Comments
CQCRQ750
FR Y-14Q Schedule C.3 – Regulatory Capital Instruments Issuances During Quarter
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
A
MDRMs
1
2
3
4
5
6
7
8
9
10
…
A
B
C
D
E
F
G
H
I
J
K
L
Date of issuance
(mm/dd/yyyy)*
CQCIN477
Revised regulatory
capital rule
treatment
CQCIQ746
Cumulative /
noncumulative
CQCIQ747
Notional amount
transacted
($Millions)
CQCIQ756
Regulatory capital
amount transacted
($Millions)
CQCIQ757
Perpetual / dated
CQCIQ769
If dated, date of
maturity
(mm/dd/yyyy)*
CQCI9914
CUSIP or unique
identifier
provided by
BHC/IHC
CQCIP083
Instrument type
CQCIQ744
O
P
Q
R
S
T
U
V
W
X
Fixed / floating
CQCIN189
Coupon / dividend
rate (bps) at
issuance
CQCIQ772
Index at Issuance
CQCIQ773
Spread over index
(bps) at issuance
CQCIQ774
Date at which
coupon terms
change
CQCIR625
Coupon/dividend
rate (bps) when
terms change
CQCIR626
Index when terms
change
CQCIR627
Spread over index
(bps) when terms
change
CQCIR628
Existence of step up
or other incentive to
redeem
CQCIQ775
II
JJ
BB
Carrying Value
($Millions), as-of
quarter end
MDRMs
CQCIR629
1
2
3
4
5
6
7
8
9
10
11
If conversion,
Is issuance result indicate CUSIP of
of conversion? original instrument
CQCIQ762
CQCIQ763
CC
DD
EE
FF
GG
HH
Unamortized
discounts,
Notional Amount of
premiums, and fees
Fair value of
Interest Rate Swap Interest Rate Swap Associated Interest Interest Rate Swap
as of quarter end associated swaps
Issue Date
Fixed Payment Rate
maturity date
Rate Swap
($Millions)
($Millions)
(mm/dd/yyyy)
(mm/dd/yyyy)
($Millions)
(bps)
CQCIR630
CQCIR631
CQCIR632
CQCIR633
CQCIR634
CQCIR635
M
N
Issuer call
CQCIQ770
If callable, optional
call date
(mm/dd/yyyy)*
CQCIQ771
Z
AA
Convertible / nonconvertible
CQCIQ776
Y
If convertible,
mandatory or
optional
conversion?
CQCIQ777
If convertible, specify
instrument type into
which it will convert
CQCIQ778
Comments
CQCIQ750
KK
LL
MM
NN
OO
Currency of Foreign
Exchange Swap
Payment
CQCIR639
Notional Amount of
Foreign Exchange
Swap ($Millions)
CQCIR640
Exchange Rate of
Foreign Exchange
Swap (II/HH)
CQCIR641
Y9C BHCK 4062
Reconciliation
CQCIR642
Interest Rate Swap Interest Rate Swap Currency denomination
Payment Index
of instrument
Payment Spread (bps)
CQCIR636
CQCIR637
CQCIR638
FR Y-14Q Schedule D - Regulatory Capital Transitions
Institution Name:
RSSD ID:
Submission Date (MM/DD/YY):
As of Date (MM/DD/YY):
FR Y-14Q Schedule D - Regulatory Capital Transitions
Instructions
1. The FR Y-14Q Regulatory Capital Transitions schedule is intended to be used for the monitoring of historical progress against the
forecasts provided in the FR Y-14A version of the schedule. Please complete the FR Y-14Q schedule with actual data as of the most recent
quarter end subsequent to the close of each quarter, on a fully phased-in basis. Do not use this schedule to update projections for future
quarters.
2. Complete non-shaded cells only, using data as of the balance sheet date under baseline assumptions, consistent with the annual CCAR
exercise.
3. For the purpose of completing this schedule, BHCs and IHCs should refer to the "FR Y-14Q Regulatory Capital Transitions Instructions."
4. In each worksheet there is a "Comments" column. Please provide explanation in this column for any significant deviations from the
projections that were provided as part of the most recent CCAR submission, as well as from previous quarter if applicable. Also, please
provide any other comments if necessary.
5. On the Planned Actions worksheet, please complete the fields for "Description," "Action Type," "Exposure Type" and "RWA Type"
(columns B through E) with information on the planned actions your BHC included in its most recently submitted FR Y-14A Regulatory
Capital Transitions schedule. In columns F through K, for each planned action please input the actual dollar amount impact on tier 1
common, tier 1 capital, risk-weighted assets, average total assets, leverage exposures, and the firm's balance sheet based on progress
made on the action in the past quarter. In a separate attachment, please provide additional information to describe the progress made on
each planned action during the reporting quarter.
FR Y-14Q Schedule D.1 - Capital Composition
FR Y-14Q - Regulatory Capital Transitions Schedule:
Actual in $Millions
Capital Composition
as of date
Comments
1 AOCI opt-out election? (enter "1" for Yes; enter "0" for No)
Common equity tier 1 capital
2 Common stock and related surplus (net of treasury stock and unearned employee stock ownership plan [ESOP] shares)
3 Retained earnings
4 Accumulated other comprehensive income (AOCI)
5 Common equity tier 1 minority interest includable in common equity tier 1 capital
6 Common equity tier 1 before adjustments and deductions (sum of items 2 through 5)
-
Common equity tier 1 capital: adjustments and deductions
7 Goodwill, net of associated deferred tax liabilities (DTLs)
8 Intangible assets (other than goodwill and mortgage servicing assets (MSAs)), net of associated DTLs
9 Deferred tax assets (DTAs) that arise from net operating loss and tax credit carryforwards, net of any related valuation allowances and net of DTLs
If Item 1 is “1” for “Yes”, complete items 10 through 14 only for AOCI related adjustments.
10 AOCI related adjustments: Net unrealized gains (losses) on available-for-sale securities (if a gain, report as a positive value; if a loss, report as a negative value)
11 AOCI related adjustments: Net unrealized loss on available-for-sale preferred stock classified as an equity security under GAAP and available-for-sale equity
exposures (report loss as a positive value)
12 AOCI related adjustments: Accumulated net gains (losses) on cash flow hedges (if a gain, report as a positive value; if a loss, report as a negative value)
13 AOCI related adjustments: Amounts recorded in AOCI attributed to defined benefit postretirement plans resulting from the initial and subsequent application of the
relevant GAAP standards that pertain to such plans (if a gain, report as a positive value; if a loss, report as a negative value)
14 AOCI related adjustments: Net unrealized gains (losses) on held-to-maturity securities that are included in AOCI (if a gain, report as a positive value; if a loss, report
as a negative value)
If Item 1 is “0” for “No”, complete item 15 only for AOCI related adjustments.
15 AOCI related adjustments: Accumulated net gain (loss) on cash flow hedges included in AOCI, net of applicable tax effects, that relate to the hedging of items that
are not recognized at fair value on the balance sheet (if a gain, report as a positive value; if a loss, report as a negative value)
16 Other deductions from (additions to) common equity tier capital 1 before threshold-based deductions: Unrealized net gain (loss) related to changes in the fair value
of liabilities that are due to changes in own credit risk (if a gain, report as a positive value; if a loss, report as a negative value)
17 Other deductions from (additions to) common equity tier capital 1 before threshold-based deductions: All other deductions from (additions to) common equity tier
1 capital before threshold-based deductions
18 Non-significant investments in the capital of unconsolidated financial institutions in the form of common stock that exceed the 10 percent threshold for nonsignificant investments
19 Subtotal (item 6 minus items 7 through 18)
-
FR Y-14Q Schedule D.1 - Capital Composition
FR Y-14Q - Regulatory Capital Transitions Schedule:
Actual in $Millions
Capital Composition
20 Significant investments in the capital of unconsolidated financial institutions in the form of common stock, net of associated DTLs, that exceed the 10 percent
common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)
21 MSAs, net of associated DTLs, that exceed the 10 percent common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)
as of date
Comments
-
22 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs, that
exceed the 10 percent common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)
23 Amount of significant investments in the capital of unconsolidated financial institutions in the form of common stock; MSAs, net of associated DTLs; and DTAs
arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation allowances and net of DTLs; that
exceeds the 15 percent common equity tier 1 capital deduction threshold (from the Exceptions Bucket Calc tab)
24 Deductions applied to common equity tier 1 capital due to insufficient amount of additional tier 1 capital and tier 2 capital to cover deductions
25 Total adjustments and deductions for common equity tier 1 capital (sum of items 20 through 24)
26 Common equity tier 1 capital (item 19 minus item 25)
Additional tier 1 capital
27 Additional tier 1 capital instruments plus related surplus
28 Tier 1 minority interest not included in common equity tier 1 capital
29 Additional tier 1 capital before deductions (sum of items 27 through 28)
30 Additional tier 1 capital deductions
31 Additional tier 1 capital (greater of item 29 minus item 30 or zero)
Tier 1 capital
32 Tier 1 capital (sum of items 26 and 31)
Other Quarterly Changes
33 Issuance of common stock (including conversion to common stock)
34 Repurchases of common stock
35 Net income (loss) attributable to bank holding company
36 Cash dividends declared on preferred stock
37 Cash dividends declared on common stock
38 Previously issued tier 1 capital instruments (excluding minority interest) that would no longer qualify (please report 100% value)
39 Previously issued tier 1 minority interest that would no longer qualify (please report 100% value)
-
-
-
FR Y-14Q Schedule D.2 - Exceptions Bucket Calculator
"Exceptions Bucket" Calculator
Actual in
$Millions
as of date
Significant investments in the capital of unconsolidated financial institutions in the form of common stock
1 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
2 Permitted offsetting short positions in relation to the specific gross holdings included above
3 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions
4 10 percent common equity tier 1 deduction threshold (10 percent of item 19 in the Capital Composition tab)
5 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 3 minus 10 percent of
-
Mortgage servicing assets
6 Total mortgage servicing assets classified as intangible
7 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the
8 Mortgage servicing assets net of related deferred tax liabilities (item 6 minus item 7)
9 10 percent common equity tier 1 deduction threshold (10 percent of item 19 in the Capital Composition tab)
10 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 8 minus 10 percent of
-
Deferred tax assets due to temporary differences
11 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation
12 10 percent common equity tier 1 deduction threshold (10 percent of item 19 in the Capital Composition tab)
13 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 11 minus 10 percent of
-
Aggregate of items subject To the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
14 Sum of items 3, 8, and 11
15 15 percent common equity tier 1 deduction threshold (item 19 in the Capital Composition tab minus item 14, multiplied by 17.65
16 Sum of items 5, 10, and 13
17 Item 14 minus item 16
Amount
to
be
deducted
from
common
equity
tier
1
due
to
15
percent
deduction
threshold
(greater
of
item
17
minus
item
15
or
18
Comments
FR Y-14Q Schedule D.3 - Risk-Weighted Assets - Advanced RWA
Risk-weighted Assets-Advanced1, 2
Advanced Approaches Credit Risk (Including CCR and non-trading credit risk), with 1.06 scaling factor where applicable
1 Credit RWA
2
Wholesale Exposures
3
Corporate
4
Bank
5
Sovereign
6
IPRE
7
HVCRE
8
Counterparty Credit Risk
9
Eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—EAD adjustment method
10
Eligible margin loans, repostyle transactions and OTC derivatives with crossproduct netting—collateral reflected in LGD
11
Eligible margin loans, repostyle transactions—no cross-product netting—EAD adjustment method
12
Eligible margin loans, repostyle transactions—no cross-product netting—collateral reflected in LGD
13
OTC derivatives—no cross-product netting—EAD adjustment method
14
OTC derivatives—no crossproduct netting—collateral reflected in LGD
15
Retail Exposures
16
Residential mortgage— closed-end first lien exposures
17
Residential mortgage— closed-end junior lien exposures
18
Residential mortgage—revolving exposures
19
Qualifying revolving exposures
20
Other retail exposures
21
Securitization Exposures
Subject to supervisory formula approach (SFA)
22
Subject to simplified supervisory formula approach (SSFA)
23
24
Subject to 1,250% risk-weight
25
Cleared Transactions
26
Derivative contracts and netting sets to derivatives
Repo-style transactions
27
28
Default fund contributions
29
Equity Exposures
30
Other Assets
31
CVA Capital Charge (risk-weighted asset equivalent)
32
Advanced CVA Approach
33
Unstressed VaR with Multipliers
34
Stressed VaR with Multipliers
35
Simple CVA Approach
Actual in
$Millions
as of date
-
-
-
-
-
-
Comments
FR Y-14Q Schedule D.3 - Risk-Weighted Assets - Advanced RWA
Risk-weighted Assets-Advanced1, 2
Actual in
$Millions
as of date
Advanced Approaches Operational Risk
36 Operational RWA
Market Risk
37 Market RWA
Value-at-risk (VAR)-based capital requirement
38
Stressed VAR-based capital requirement
39
Incremental Risk Charge (IRC)
40
Correlation Trading
41
Comprehensive Risk Measurement (CRM), Before Application of Surcharge
42
8% of Advanced Measurement Method for Exposures Subject to CRM
43
CRM Floor Based on 100% of Advanced - Net Long
44
CRM Floor Based on 100% of Advanced - Net Short
45
Non-modeled Securitization
46
Specific risk add-on (excluding securitization and correlation)
47
Debt
48
Equity
49
Other market risk
50
51
52
53
Assets subject to the general risk-based capital requirements
Other RWA
Excess eligible credit reserves not included in tier 2 capital
54
Total RWA
-
-
-
-
Comments
FR Y-14Q Schedule D.4 - Risk-Weighted Assets - Standardized RWA
Risk-weighted Assets-Standardized1, 2
Actual in
$Millions
as of date
Standardized Approach Credit Risk
Cash and balances due from depository institutions
1
Securities (excluding securitizations): Held-to-maturity
2a
Securities (excluding securitizations): Available-for-sale
2b
Federal funds sold
3
4a
4b
4c
4d
Loans and leases on held for sale
Residential Mortgage exposures
High Volatility Commercial Real Estate (HVCRE) exposures
Exposures past due 90 days or more or on nonaccrual
All other exposures
5a
5b
5c
5d
Loans and leases, net of unearned income
Residential mortgage exposures
High Volatility Commercial Real Estate (HVCRE) exposures
Exposures past due 90 days or more or on nonaccrual
All other exposures
6
7a
7b
7c
Trading assets (excluding securitizations that receive standardized charges)
All other assets
Separate account bank-owned life insurance
Default fund contributions to central counterparties
8a
8b
8c
8d
On-balance sheet securitization exposures
Held-to-maturity
Available-for-sale
Trading assets that are securitization exposures that receive standardized charges
All other on-balance sheet securitization exposures
9
10
Off-balance sheet securitization exposures
RWA for Balance Sheet Asset Categories (sum of items 1 through 8d)
-
Comments
FR Y-14Q Schedule D.4 - Risk-Weighted Assets - Standardized RWA
Risk-weighted Assets-Standardized1, 2
11
12
13
14
15
16
17a
17b
17c
18
19
20
21
Actual in
$Millions
as of date
Derivatives and Off-Balance-Sheet Asset Categories (Excluding Securitization Exposures)
Financial standby letters of credit
Performance standby letters of credit and transaction related contingent items
Commercial and similar letters of credit with an original maturity of one year or less
Retained recourse on small business obligations sold with recourse
Repo-style transactions
All other off-balance sheet liabilities
Unused commitments: Original maturity of one year or less, excluding ABCP conduits
Unused commitments: Original maturity of one year or less to ABCP conduits
Unused commitments: Original maturity exceeding one year
Unconditionally cancelable commitments
Over-the-counter derivatives
Centrally cleared derivatives
Unsettled transactions (failed trades)
22 RWA for Assets, Derivatives and Off-Balance-Sheet Asset Categories (sum of items 9 through 21)
-
23 RWA for purposes of calculating the allowance for loan and lease losses 1.25 percent threshold
Market Risk
24 Market RWA
25 Value-at-risk (VAR) with Multiplier
26 Stressed VAR with Multiplier
27 Incremental Risk Charge (IRC)
28 Correlation Trading
Comprehensive Risk Measurement (CRM), Before Application of Surcharge
29
8% of Standardized Measurement Method (100%) for Exposures Subject to CRM
30
CRM Floor Based on 100% of Standardized - Net Long
31
CRM Floor Based on 100% of Standardized - Net Short
32
-
-
Comments
FR Y-14Q Schedule D.4 - Risk-Weighted Assets - Standardized RWA
Risk-weighted Assets-Standardized1, 2
33
34
35
36
37
Actual in
$Millions
as of date
Non-modeled Securitization
Specific risk add-on (excluding securitization and correlation)
Debt
Equity
Other market risk
-
38 Excess allowance for loan and lease losses
39 Allocated transfer risk reserve
40 Total RWA
Footnotes:
1
Amounts calculated as capital requirements should be converted to risk-weighted assets by multiplying by 12.5.
2
Any assets deducted from capital should not be included in risk-weighted assets.
-
Comments
FR Y-14Q Schedule D.5 - Leverage Exposure
Leverage Exposure (quarterly averages)
Leverage Exposure for Tier 1 Leverage Ratio (Applicable to All BHCs/IHCs)
1
2
3
Average total consolidated assets
LESS: Deductions from common equity tier 1 capital and additional tier 1 capital (report as a positive value)
LESS: Other Deductions from (Additions to) Assets for Leverage Ratio Purposes (report as a positive value)
4
Total assets for the leverage ratio (item 1 less the sum of items 2 and items 3)
Leverage Exposure for Supplementary Leverage Ratio (Applicable to Advanced Approaches BHCs/IHCs Only)
On-balance sheet exposures
On-balance sheet assets (excluding on-balance sheet assets for repo-style transactions and derivative exposures, but including cash
5
6
LESS: Deductions from common equity tier 1 capital and additional tier 1 capital (report as a positive value)
Total on-balance sheet exposures (excluding on-balance sheet assets for repo-style transactions and
7
8
9
10
11
12
13
14
15
Derivative exposures
Replacement cost for derivative exposures (net of cash variation margin)
Add-on amounts for potential future exposure (PFE) for derivatives exposures
Gross-up for cash collateral posted if deducted from the on-balance sheet assets, except for cash variation margin
LESS: Deductions of receivable assets for cash variation margin posted in derivatives transactions,
LESS: Exempted CCP leg of client-cleared transactions (report as a positive value)
Effective notional principal amount of sold credit protection
LESS: Effective notional principal amount offsets and PFE adjustments for sold credit protection (report as a positive value)
Total derivative exposures (sum of items 8, 9, 10 and 13, minus items 11, 12, and 14)
16
17
18
19
20
Repo-style transactions
On-balance sheet assets for repo-style transactions
LESS: Reduction of the gross value of receivables in reverse repurchase transactions by cash payables in repurchase transactions under
Counterparty credit risk for all repo-style transactions
Exposure for repo-style transactions where a banking organization acts as an agent
Total exposures for repo-style transactions (sum of items 16, 18, and 19 minus item 17)
21
22
23
Other off-balance sheet exposures
Off-balance sheet exposures at gross notional amounts
LESS: Adjustments for conversion to credit equivalent amounts (report as a positive value)
Off-balance sheet exposures (item 21 less items 22)
24
Capital and total leverage exposures
Total leverage exposure (sum of items 7, 15, 20 and 23)
Actual in
$Millions
as of date
Comments
FR Y-14Q Schedule D.6 - Planned Actions
Projected in $ Millions
Actual Impact ($ Millions)
Planned Actions
Action #
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
Description
Action Type
Exposure Type
RWA Type
Common Equity
Tier 1
Tier 1
Standardized
RWA
Advanced RWA
Total Assets for
Leverage Ratio
Total Leverage
Exposure for
Supplementary
Leverage Ratio
Balance Sheet
Impact
Confirm detailed description of action
provided in separate attachment
Comments
FR Y-14Q Schedule D.6 - Planned Actions
Projected in $ Millions
Actual Impact ($ Millions)
Planned Actions
Action #
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
Description
Action Type
Exposure Type
RWA Type
Common Equity
Tier 1
Tier 1
Standardized
RWA
Advanced RWA
Total Assets for
Leverage Ratio
Total Leverage
Exposure for
Supplementary
Leverage Ratio
Balance Sheet
Impact
Confirm detailed description of action
provided in separate attachment
Comments
FR Y-14Q Schedule D.6 - Planned Actions
Projected in $ Millions
Actual Impact ($ Millions)
Planned Actions
Action #
Description
Action Type
Exposure Type
RWA Type
Common Equity
Tier 1
Standardized
RWA
Tier 1
Advanced RWA
Total Assets for
Leverage Ratio
Total Leverage
Exposure for
Supplementary
Leverage Ratio
Balance Sheet
Impact
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
Total impact of planned actions
Reported changes from prior period
-
-
-
-
-
-
-
Confirm detailed description of action
provided in separate attachment
Comments
FR Y-14Q: Trading, PE and Other Fair Value Assets Schedules
Institution Name:
Firm Name
Effective Date:
Date of Data Submission:
Version #
CCAR 2015
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
7Y
$0.00
$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
$0
10%
15%
20%
25%
30%
Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities
Currency 1
Currency 2
Delta
($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
-200 bps
Total
-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
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
-200 bps
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-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
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
0
10Y
0
15Y
0
20Y
0
30Y
0
0.00
0.00
0.00
0.00
0.00
0.00
0
NOK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
NZD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
NZD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
SEK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
SEK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
USD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
-200 bps
Total
USD Basis Risks (Do not include the swap/discounting curve specified above)
Prime Basis
CP Basis
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH052
Muni SIFMA/Libor Basis ($K per 1% abs
increase in Muni SIFMA / Libor Ratio)
0.00
-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
Directional Risks: Middle East/North Africa
ILS
TRY
Other Middle East/Africa
Total Middle East/N. Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
10Y
15Y
20Y
30Y
-200 bps
Total
-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
0.00
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
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
GLOBAL TOTAL DIRECTIONAL
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
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($MM / +10 bps shift)
CTRDH077
Expiry CTRDH075
Currency CTRDH076
1M
3M
6M
9M
1Y
2Y
EXPIRY
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
7Y
10Y
15Y
20Y
Normal
$MM / +10 bps shift
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH074
AUD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
MATURITY
5Y
3Y
Select the vega convention being used:
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
EUR
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
GBP
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($MM / +10 bps shift)
CTRDH077
1M
EXPIRY
JPY
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
3M
0.00
6M
0.00
9M
0.00
1Y
0.00
2Y
0.00
MATURITY
5Y
3Y
0.00
0.00
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
7Y
0.00
10Y
0.00
15Y
0.00
20Y
0.00
Normal
$MM / +10 bps shift
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
USD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
US MBS Vega
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH078
EXPIRY
Other Advanced Economies
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($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
MATURITY
5Y
3Y
0.00
0.00
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
7Y
0.00
10Y
0.00
15Y
0.00
20Y
0.00
Normal
$MM / +10 bps shift
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
Total Latam & Caribbean
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
Total Asia Ex-Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($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
MATURITY
5Y
3Y
0.00
0.00
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
7Y
0.00
10Y
0.00
15Y
0.00
20Y
0.00
Normal
$MM / +10 bps shift
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
EXPIRY
Total Sub-Saharan Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Other Rates
Firm Name
Inflation Delta ($K / +1 bp)
CTRDH081
Currency
CTRDH079
AUD
EUR
GBP
JPY
USD
Other
Total
1M
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
Effective Date:
Submission Date:
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 ($K / +1 bp)
(+1 bp parallel move in curve relative to base curve)
CTRDH082
Currency
6M
1M
3M
CTRDH079
AUD
EUR
GBP
JPY
Other
Total
0
0
0
9M
0
1Y
0
2Y
0
MATURITY
3Y
5Y
CTRDH080
0
0
0
0
0
0
Trading, PE & Other Fair Value Assets Schedule
Energy
Firm Name
CRUDE OIL
Delta ($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 ($MM / +1%)
CTRDH088
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
CTRDH089
Total Gamma
Total Vega
CTRDH090
Brent
Dubai Fateh
Maya
Tapis
WTI
OMAN
Other Sour
Crude
Other
Sweet
Crude
Unspecified
Crude
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
OIL PRODUCTS
CTRDH083
Delta ($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
Diesel
Fuel Oil
OTHER OIL PRODUCTS
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
$0
0
0
Trading, PE & Other Fair Value Asse
Energy
NATURAL GAS
CTRDH083
US
Delta ($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
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
Gulf Coast
MidCont
NE
Rockies
West
NYMEX
Other US
UK
Belgium
Dutch
Europe
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
$0
0
0
Trading, PE & Other Fair Value Asse
Energy
Firm Name
POWER
CTRDH083
US
Delta ($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
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
Ercot
Midwest
North East
NYISO
West
Other US
Nordpool
Benelux
Europe
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
$0
0
0
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
OTHER ENERGY
CTRDH083
Coal
Emissions
Delta ($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
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
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
$0
Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
CTRDH083
Tolling Agreements
Heat Rate Options
Delta ($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
Palladium
Platinum
Total
Precious
Metals
BASE METALS
CTRDH083
Aluminum
(Primary)
Aluminum
(Alloy)
Copper
Iron
Lead
$0
Gamma ($MM / +1%)
CTRDH088
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
CTRDH089
Total Gamma
$0
$0
Nickel
Tin
Uranium
Zinc
Other Base Total Base
Metals
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
CTRDH083
Other /
Unspecified
Metals
Total Metals
CTRDH084
CTRDH084
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
Total Vega
Silver
Other
Precious
Metals
Effective Date:
Submission Date:
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0
0
0
0
0
0
CTRDH090
Trading, PE & Other Fair Value Assets Schedule
Ags & Softs
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
Cocoa
CTRDH087
Coffee
Corn
Cotton
Cattle
Lean Hogs
Livestock
Lumber
CTRDH086
Rapeseed
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
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
$0
Gamma ($MM / +1%)
CTRDH088
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
CTRDH089
Total Gamma
Total Vega
Palm Oil
Other /
Unspecified
Ags/Softs
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0
CTRDH090
0
Trading, PE & Other Fair Value Assets Schedule
Diversified Commodity Indices
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
S&P GSCI
Index
CTRDH087
Diversified
Total
$0
Gamma ($MM / +1%)
CTRDH088
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
CTRDH089
Total Gamma
$0
$0
Long/Short
Commodity Indices
Grand Total
CTRDH084
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
Total Vega
DJ-UBS Index TR/J CRB Index
Other
Diversified
Indices
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0
0
0
0
CTRDH090
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids
Firm Name
Profit/(Loss) from changes in Spot/Vol ($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
-20%
0%
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
-20%
0%
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
-20%
0%
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
-20%
0%
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
$0.00
25%
50%
75%
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non-Agency
Sub-prime
Prime
Option
ARMS
Unspec NonOther AltA
Prime
HELOC
RMBS CDO RMBS CDS
MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
Credit
Basket
PrimeX
ABX / TABX
Prime
Whole
Loans
Non-Prime
Whole Loans
European
RMBS
Other /
Unspecified
RMBS
SubTotal
CTRDH097
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Val
Securitized Products
ABS
CTRDH096
Autos
Credit
Cards
Student
Loans
ABS CDS
MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
Credit
Basket
Index Tranches
Other /
Unspecified
ABS SubTotal
Cash NonAgency
CMBS
CMBS CDS CMBS CDO
CMBS
CTRDH096
Credit
Basket
CTRDH097
Index
Tranches
Whole
Loans
Other /
Unspecified
CMBS SubTotal
CTRDH097
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
AA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
A Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
BBB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
BB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
B Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Val
Securitized Products
Effective Date:
Submission Date:
CLO
MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
Corporate CDO / CLO
CTRDH096
Corporate
CDO/CLO
Other /
SubTotal
Unspecified
Warehouse
CTRDH096
Total Size
CTRDH097
Total Protection
Other /
Unspecified
CTRDH097
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
AA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
A Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
BBB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
BB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
B Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Total
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non-Agency
Sub-prime
Prime
Option
ARMS
Unspec NonOther AltA
Prime
HELOC
RMBS CDO RMBS CDS
Credit
Basket
PrimeX
ABX / TABX
Prime
Whole
Loans
Non-Prime
Whole Loans
European
RMBS
Other /
Unspecified
RMBS
SubTotal
Notional ($MM)
CTRDH101
Rating (CTRDH098)
Vintage (CTRDH099)
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
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
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Val
Securitized Products
ABS
CTRDH096
Autos
Credit
Cards
Student
Loans
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
AA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
A Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
Cash NonAgency
CMBS
CMBS CDS CMBS CDO
ABS CDS
Credit
Basket
Index Tranches
Other /
Unspecified
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$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
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
BB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
B Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
Total
$0
$0
$0
CMBS
CTRDH096
Credit
Basket
Index
Tranches
Whole
Loans
Other /
Unspecified
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
ABS SubTotal
CMBS SubTotal
Notional ($MM)
CTRDH101
Rating (CTRDH098)
Vintage (CTRDH099)
Trading, PE & Other Fair Val
Securitized Products
Effective Date:
Submission Date:
CLO
Corporate CDO / CLO
CTRDH096
Corporate
CDO/CLO
Other /
SubTotal
Unspecified
Warehouse
CTRDH096
Total Size
Total Protection
Other /
Unspecified
Notional ($MM)
CTRDH101
Rating (CTRDH098)
Vintage (CTRDH099)
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
AA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
A Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
BBB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
BB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
B Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Total
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Agencies
US Residential Agency Products
CTRDH102
CTRDH103
IOs
POs
Other CMOs
Pass-Throughs
Agency Debt/Debentures
IOS Index
POS Index
MBX Index
Other Agency Derivatives
TBA's
Reverse Mortgages
Residential Other / Unspecified
Total
Firm Name
Profit/(Loss) in $K from an Absolute Widening in OAS (bps)
CTRDH108
MV ($MM)
DV01
($K / -1 bp)
CS01
($K/+1 bp OAS
widening)
$K / +1% rise in
prepayments
CTRDH104
CTRDH105
CTRDH106
CTRDH107
$0
0
0
Effective Date:
Submission Date:
0
0 bps
+1 bps
+10 bps
+50 bps
+100 bps
+200 bps
+300 bps
+400 bps
CTRDH109
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
US Commercial Agency Products
CTRDH102
CTRDH103
Cash Agency CMBS
Agency CMBS Derivatives
Commercial Other / Unspecified
Total
$0
0
0
0
Non-US Agency Products
CTRDH102
CTRDH410
AAA
AA
A
BBB
BB
B
6.99%
FNMA/FHLMC (30 year ) Excess
(note rate)
< 3.5%
3.5% -3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
FNMA/FHLMC (15 year )
(note rate)
< 3.0%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
GNMA (30 year)
(note rate)
< 3.5%
3.5% -3.99%
4.0% - 4.49%
October 10, 2014
5
FR Y-14Q Schedule I - MSR Valuation
Section 5. Detailed Valuation Information:
Product Type
Prepayment
Speed
Discount
FV Multiple (CPR)
Rate (%)
OAS (bps)
WAC (%)
WAM (mos) WASF (%)
WART
(mos)
Avg. Loan
WAL (mos) Size ($)
Cost to
Ancillary
Unpaid
Service per Income per Default
Principal
Loan ($)
Loan ($)
Rate (CDR) Balance ($)
4.5%-4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
Non-agency fixed rate loans
(note rate)
< 3.5%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
GNMA ARMs
(note rate)
2.5% - 2.99%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
>6.49%
FHLMC/FNMA ARMs
(note rate)
2.5% - 2.99%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
>6.49%
October 10, 2014
6
FR Y-14Q Schedule I - MSR Valuation
Section 5. Detailed Valuation Information:
Product Type
Prepayment
Speed
Discount
FV Multiple (CPR)
Rate (%)
OAS (bps)
WAC (%)
WAM (mos) WASF (%)
WART
(mos)
Avg. Loan
WAL (mos) Size ($)
Cost to
Ancillary
Unpaid
Service per Income per Default
Principal
Loan ($)
Loan ($)
Rate (CDR) Balance ($)
Non-Agency ARMs
(note rate)
2.5% - 2.99%
3.0% - 3.49%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
>6.49%
MEMO Item: Included in Non-Agency Above
Sub-Prime
(note rate)
<3.5%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
MEMO Item: Included in Non-Agency Above
ALT-A and Option ARM
(note rate)
<3.5%
3.5% - 3.99%
4.0% - 4.49%
4.5% - 4.99%
5.0% - 5.49%
5.5% - 5.99%
6.0% - 6.49%
6.5% - 6.99%
>6.99%
October 10, 2014
7
FR Y‐14Q Schedule J ‐ Retail Fair Value Option/Held for Sale (FVO/HFS)
Institution Name:
RSSD ID:
Date of Data Submission:
October 10, 2014
1
FR Y-14Q Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS): Table 1
FVO/HFS Retail Loans
1
Residential Loans with
Forward Contracts to
Federal Agencies
2
Residential Loans
Repurchased from Agencies
with FHA/VA Insurance
3
All Other Residential Loans
Not Included Above
4
Total Residential Loans
5
6
7
7
8
9
(A)
Unpaid Principal
Balance ($MM)
(B)
Carrying Value
($MM)
Non‐Residential Loans with
Forward Contracts to
Federal Agencies
Student Loans (Not in
Forward Contract)
Credit Card Loans (Not in
Forward Contract)
Credit Card Loans (Not in
Forward Contract)
Auto Loans (Not in Forward
Contract)
All Other Non‐Residential
Loans Not Included Above
10
Total Non‐Residential
Loans
11
Other Retail Loans with
Zero Principal or Interest
Recourse to the Bank
12
Total Retail FVO/HFS Loans
October 10, 2014
2
FR Y‐14Q Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS): Table 2
Loan Vintage
(A)
(B)
Residential Loans in
Forward Contract
Residential Loans
(Repurchased with
FHA/VA Insurance)
Carrying Value ($MM)
(D)
(E)
(F)
Student Loans Credit Card
Residential Loans Non‐Residential Loans
(Not in
Loans (Not in
(Not in (A) or (B)) in Forward Contract
Forward
Forward
Contract)
Contract)
(C)
(G)
Auto Loans
(Not in
Forward
Contract)
(H)
All Other Non‐
Residential Loans
Not Included in (D),
(E), (F) or (G)
(I)
Total
Pre 2006
2007
…
Current Year
Total Fair Value
Loans
Notes:
1) FVO/HFS is defined as Fair Value Option/Held for Sale
2) The amount in Column I Row 8 in Table 2 should equal the totals summed in Column B Row 4 and Row 10 in Table 1
October 10, 2014
3
FR Y‐14Q Schedule K ‐ Supplemental
A. Outstanding
B. Cumulative
balance of whole Lifetime Gross
loans in immaterial Charge‐offs*
portfolios***
C. Cumulative
Lifetime Purchase
Impairments and
Fair Value
Adjustments**
D. Outstanding
balance of loans
under $1M in
committed balance
E. Outstanding
F. Scored loans
balance of
reported in
unplanned
BHCKF160
overdrafts
excluded per the
Corporate Loan FR
Y‐14Q schedule
instructions
1. Student Loans
2. Other Consumer
2a. Domestic
2b. International
3. First Lien
3a. Domestic
3b. International
4. Junior Lien
4a. Domestic
4b. International
5. Bank and Charge Cards
5a. Domestic
5b. International
6. Auto
6a. Domestic
6b. International
7. Commercial Real Estate
7a. Construction
7a.(1) Domestic
7a.(2) International
7b. Multifamily
7b.(1) Domestic
7b.(2) International
7c. NFNR ‐ Non‐owner occupied
7c.(1) Domestic
7c.(2) International
7.d NFNR ‐ Owner occupied
7d.(1) Domestic
7d.(2) International
October 10, 2014
1
FR Y‐14Q Schedule K ‐ Supplemental
A. Outstanding
B. Cumulative
balance of whole Lifetime Gross
loans in immaterial Charge‐offs*
portfolios***
C. Cumulative
Lifetime Purchase
Impairments and
Fair Value
Adjustments**
D. Outstanding
balance of loans
under $1M in
committed balance
E. Outstanding
F. Scored loans
balance of
reported in
unplanned
BHCKF160
overdrafts
excluded per the
Corporate Loan FR
Y‐14Q schedule
instructions
8. Loans Secured by Farmland
8a. Domestic
8b. International
9. Commercial and Industrial
9a. Graded
9b. Small Business
9b.(1) Domestic
9b.(2) International
10. Other Loans
10a. Graded Loans to Foreign Governments
10b. Graded Agricultural Loans
10c. Graded Loans to Depositories and Other Financial
10d. Other Graded Comercial Leases
10e. All Other Graded Loans
Not loan category specific
* On loans reported in the FR Y‐14Q retail schedule
** Taken during the life of loans reported in the FR Y‐14Q retail schedule
*** Column A should only include loans in whole portfolios deemed to be immaterial using the materiality threshold specified in the general instructions. C&I and CRE loans less than
$1M in committed balance should be reported in Column D.
October 10, 2014
2
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:
12/1/18 1:58 PM
Sub-schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm Credit Valuation Adjustment (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
rating
External
rating
Sub-schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm Credit Valuation Adjustment (CVA), ranked by CVA
$ Millions
Counterparty identifiers
Rank
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Stressed
Gross CE
BHC/IHC
scenario
Exposure and Position Data
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC
Quarter
scenario
Sub-schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm Credit Valuation Adjustment (CVA), ranked by CVA
$ Millions
Counterparty identifiers
Rank
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
CVA
CVA Data
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR
Specification
Specification
(Severely Adverse)
(Adverse)
Stressed CVA
BHC Scenario and
BHC specification
CSA in
place?
Credit Mitigants
Credit Hedges
%
Gross CE
with CSAs
Single Name
Credit Hedges
Downgrade
trigger
modeled?
Sub-schedule L.1.b.1 Top 20 consolidated/parent 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
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Sub-schedule L.1.b.1 Top 20 consolidated/parent counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA
$ Millions
Counterparty identifiers
Exposure and Position Data
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Gross
CE
FR Scenario
(Adverse)
Stressed Gross
CE
BHC/IHC
scenario
Net CE
Stressed Net CE
Stressed Net CE
FR Scenario
FR Scenario
(Severely
(Adverse)
Adverse)
Total Notional
CVA D
New Notional
During Quarter
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub-schedule L.1.b.1 Top 20 consolidated/parent counterparties ranked by Federal Reserve Severely Adverse Scenario Stressed CVA
$ Millions
Counterparty
CVA Data identifiers
Stressed Net CE
Rank
BHC/IHC
scenario
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
Sub-schedule L.1.b.2 Top 20 consolidated/parent counterparties ranked by BHC or IHC 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
Gross CE
Stressed Gross CE
Federal Reserve
scenario (Severely
Adverse)
Sub-schedule L.1.b.2 Top 20 consolidated/parent counterparties ranked by BHC or IHC Scenario Stressed CVA
$ Millions
Counterparty identifiers
Exposure and Position Data
Stressed Gross
CE
Rank Federal Reserve
scenario
(Adverse)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Stressed Gross
CE
BHC/IHC
scenario
Net CE
Stressed Net CE
Stressed Net CE
Federal Reserve
Federal Reserve
scenario
scenario
(Severely
(Adverse)
Adverse)
Total Notional
CVA D
New Notional
During Quarter
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub-schedule L.1.b.2 Top 20 consolidated/parent counterparties ranked by BHC or IHC Scenario Stressed CVA
$ Millions
Counterparty
CVA Data identifiers
Stressed Net CE
Rank
BHC/IHC
scenario
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
Sub-schedule L.1.c.1 Top 20 consolidated/parent counterparties ranked by Net CE
$ Millions
Counterparty identifiers
Counterparty Counterparty Legal Entity Netting set ID
Rank
name
ID
Identifier (LEI) (optional)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Sub-netting
set ID
Industry Code
(optional)
Credit Quality Data
Country
Internal
rating
External
rating
Exposure and Position Data
Sub-schedule L.1.c.1 Top 20 consolidated/parent 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
Gross CE
Stressed
Gross CE
FR Scenario
(Severely
Adverse)
Stressed
Gross CE
FR Scenario
(Adverse)
Stressed
Gross CE
BHC/IHC
scenario
Net CE
Exposure and Position Data
Stressed Net Stressed
CE
Net CE
FR Scenario
FR
(Severely
Scenario
Adverse)
(Adverse)
Stressed
Net CE
BHC/IHC
scenario
CVA Data
Total
Notional
New
Notional
During
Quarter
Weighted
Average
Maturity
Position
MtM
Total Net
Collateral
Sub-schedule L.1.c.1 Top 20 consolidated/parent counterparties ranked by Net CE
$ Millions
CVA Data Counterparty identifiers
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)
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
Sub-schedule L.1.c.2 Top 20 consolidated/parent counterparties ranked by Federal Reserve Severely Adverse
Scenario Stressed Net CE
$ Millions
Counterparty identifiers
Counterparty Counterparty Legal Entity Netting set ID
Rank
name
ID
Identifier (LEI) (optional)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Sub-netting
set ID
Industry Code
(optional)
Credit Quality Data
Country
Internal
rating
External
rating
Exposure and Position Data
Sub-schedule L.1.c.2 Top 20 consolidated/parent 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
Gross CE
Stressed
Gross CE
FR Scenario
(Severely
Adverse)
Stressed
Gross CE
FR Scenario
(Adverse)
Stressed
Gross CE
BHC/IHC
scenario
Net CE
Exposure and Position Data
Stressed Net Stressed
CE
Net CE
FR Scenario
FR
(Severely
Scenario
Adverse)
(Adverse)
Stressed
Net CE
BHC/IHC
scenario
CVA Data
Total
Notional
New
Notional
During
Quarter
Weighted
Average
Maturity
Position
MtM
Total Net
Collateral
Sub-schedule L.1.c.2 Top 20 consolidated/parent counterparties ranked by Federal Reserve Severely Adverse
Scenario Stressed Net CE
$ Millions
CVA Data Counterparty identifiers
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)
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
specification
Credit Mitigants
CSA in
place?
% Gross CE
with CSAs
Downgrade
trigger
modeled?
Credit Hedges
Single Name
Credit Hedges
Sub-schedule L.1.c.3 Top 20 consolidated/parent 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
Industry Code
(optional)
Credit Quality Data
Country
Internal
rating
External
rating
Exposure and Position Data
Sub-schedule L.1.c.3 Top 20 consolidated/parent 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
Gross CE
Stressed
Gross CE
FR Scenario
(Severely
Adverse)
Stressed
Gross CE
FR Scenario
(Adverse)
Stressed
Gross CE
BHC/IHC
scenario
Net CE
Exposure and Position Data
Stressed Net Stressed
Stressed
CE
Net CE
Net CE
FR Scenario
FR
BHC/IHC
(Severely
Scenario
scenario
Adverse)
(Adverse)
CVA Data
Total
Notional
New
Notional
During
Quarter
Weighted
Average
Maturity
Position
MtM
Total Net
Collateral
Sub-schedule L.1.c.3 Top 20 consolidated/parent counterparties ranked by BHC/IHC Scenario Stressed Net CE
$ Millions
Rank
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
CVA
CVA Data Counterparty identifiers
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and
BHC/IHC
FR Scenario and
FR Specification
Scenario and
FR Specification
(Severely
BHC/IHC
(Adverse)
Adverse)
specification
Credit Mitigants
CSA in
place?
%
Downgrade
Gross CE
trigger
with CSAs modeled?
Credit Hedges
Single Name
Credit Hedges
Sub-schedule L.1.d.1 Top 20 consolidated/parent 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
Legal Entity Netting set
Identifier
ID
(LEI)
(optional)
Sub-netting set ID
(optional)
Credit Quality Data
Industry
Code
Country
Internal
rating
External rating
Expos
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Sub-schedule L.1.d.1 Top 20 consolidated/parent collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
Exposure
Counterparty
and Position
Identifiers
Data
Stressed Gross
CE
Rank
BHC/IHC
scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
CVA Data
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC
Quarter
Scenario
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub-schedule L.1.d.1 Top 20 consolidated/parent collateralized counterparties ranked by Gross CE (counterparties with at least one netting set with a CSA agreement in place)
$ Millions
CVA Data Counterparty Identifiers
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 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?
Sub-schedule L.1.d.2 Top 20 consolidated/parent 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
Legal Entity Netting set
Identifier
ID
(LEI)
(optional)
Sub-netting set ID
(optional)
Credit Quality Data
Industry
Code
Country
Internal
rating
External rating
Expos
Gross CE
Stressed Gross CE
FR Scenario
(Severely Adverse)
Stressed Gross CE
FR Scenario
(Adverse)
Sub-schedule L.1.d.2 Top 20 consolidated/parent 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
Exposure
Counterparty
and Position
Identifiers
Data
Stressed Gross
CE
Rank
BHC/IHC
scenario
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Net CE
Stressed Net CE
FR Scenario
(Severely Adverse)
Stressed Net CE
FR Scenario
(Adverse)
CVA Data
Stressed Net
New Notional
CE
Total Notional
During
BHC/IHC
Quarter
Scenario
Weighted
Average
Maturity
Position MtM
Total Net
Collateral
Sub-schedule L.1.d.2 Top 20 consolidated/parent 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
CVA Data Counterparty Identifiers
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 FR
Specification
Specification
(Severely Adverse)
(Adverse)
Stressed CVA
BHC/IHC
Scenario and
BHC/IHC
Specification
Credit Mitigants
CSA in
place?
% Gross CE
with CSAs
Downgrade
trigger
modeled?
Credit Hedges
Single Name
Credit Hedges
Sub-schedule L.1.e - Aggregate CVA data by ratings and collateralization
$ Millions
Sub-schedule L.1.e.1 Aggregate CVA data by ratings
Ratings Category
Internal
Rating
N/A
External Rating
Exposure Data
Gross CE
excluding
CCPs
Gross CE to
CCPs
Stressed
Gross CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Gross CE to
CCPs
FR Scenario
(Severely
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
N/A
Sub-schedule L.1.e.2 Additional/Offline CVA reserves
Reserve Type
Reserve Type
Model/infrastructure limitations
Trades not captured
Offline reserves
Funding Valuation Adjustment (if applicable)
Other
Exposure Data
Gross CE
excluding
CCPs
Gross CE to
CCPs
Stressed
Gross CE
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Gross CE to
CCPs
FR Scenario
(Severely
Adverse)
Stressed Gross CE
excluding CCPs
FR Scenario
(Adverse)
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
CVA Data
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
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
CVA Data
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)
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
Specification
and BHC/IHC
Hedges
(Severely Adverse)
(Adverse)
Specification
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Credit Hedges
Credit Hedges
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
Specification
and BHC/IHC
Hedges
(Severely Adverse)
(Adverse)
Specification
Sub-schedule L.1.e.3 Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category
Stressed
Stressed
Gross CE
Gross CE to
Stressed Gross CE
Gross CE
excluding
Internal
Gross CE to
CCPs
excluding CCPs
External Rating
excluding
CCPs
Rating
CCPs
FR Scenario
FR Scenario
CCPs
FR Scenario
(Severely
(Adverse)
(Severely
Adverse)
Adverse)
Sub-schedule L.1.e.4 Uncollateralized netting sets (netting sets without a CSA agreement in place), sorted by Internal Rating
Ratings Category
Stressed
Stressed
Gross CE
Gross CE to
Stressed Gross CE
Gross CE
excluding
Internal
Gross CE to
CCPs
excluding CCPs
External rating
excluding
CCPs
rating
CCPs
FR Scenario
FR Scenario
CCPs
FR Scenario
(Severely
(Adverse)
(Severely
Adverse)
Adverse)
Exposure Data
Exposure Data
Exposure Data
Stressed Gross CE
to CCPs
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
CVA Data
Net CE to
CCPs
Stressed
Net CE
excluding
CCPs
FR Scenario
(Severely
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
Stressed Gross CE
FR Scenario
BHC/IHC scenario
(Adverse)
Net CE
excluding
CCPs
CVA Data
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)
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
Specification
and BHC/IHC
Hedges
(Severely Adverse)
(Adverse)
Specification
CVA Data
Stressed
Net CE
BHC/IHC Scenario
CVA
Credit Hedges
Credit Hedges
Stressed CVA
Stressed CVA
Stressed CVA
FR Scenario and FR FR Scenario and FR BHC/IHC Scenario Single Name Credit
Specification
Specification
and BHC/IHC
Hedges
(Severely Adverse)
(Adverse)
Specification
Sub-schedule L.2 EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Counterparty Identifiers
Rank
Counterparty
name
Counterparty Legal Entity
ID
Identifier (LEI)
Netting set
ID
(optional)
Sub-netting set ID
(optional)
Industry Code
Country
Internal
Rating
External
Rating
Sub-schedule L.2 EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
CVA Inputs
Rank
EE Tenor Bucket BHC/IHC
Marginal PD LGD (CVA)
in Years
Specificat
ion
Stressed CVA Inputs
Discount Factor
Stressed EE - FR
Scenario & FR
Specification
(Severely
Adverse)
Stressed EE - FR
Scenario & FR
Specification
(Adverse)
Stressed EE Stressed Marginal
Stressed
BHC/IHC Scenario & PD FR Scenario Marginal PD
BHC/IHC
(Severely
FR Scenario
Specification
Adverse)
(Adverse)
Sub-schedule L.2 EE profile by counterparty: Top counterparties comprising 95% of firm CVA, ranked by CVA
$ Millions
Stressed CVA Inputs
Rank
Stressed CVA Inputs
Stressed
Stressed LGD
Stressed LGD (PD)
Discount
Stressed Marginal
Stressed LGD (CVA)
Stressed LGD (PD) Stressed LGD
(CVA) FR Scenario
Stressed LGD (CVA)
FR Scenario
Factor
PD BHC/IHC
FR Scenario
FR Scenario
(PD) BHC/IHC
(Severely
BHC/IHC Scenario
(Severely
FR Scenario
Scenario
(Adverse)
(Adverse)
Scenario
Adverse)
Adverse)
(Severely
Adverse)
Stressed
Discount
Factor
FR Scenario
(Adverse)
Stressed
Discount
Factor
BHC/IHC
Scenario
Sub-schedule L.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
Data Inputs
Country
Internal
rating
External
rating
Time
period
(years)
Sub-schedule L.3 Credit quality by counterparty: Top counterparties ranked by CVA comprising 95% of firm CVA, ranked by CVA
Data Inputs
Rank
Market
spread
(bps)
Spread
adjustment
(bps)
Spread (bps)
used in CVA
calculation
Counterparty and Time Identifiers
Stressed spreads
(bps)
FR Scenario
(Severely
Adverse)
Stressed
spreads (bps)
FR Scenario
(Adverse)
Stressed
spreads
Proxy
Mapping
(bps)
mapping
approach
BHC
approach
Scenario
Type of Credit Quality Input
Proxy
name
Market
Ticker /
input type identifier
Source
Report (Bloomberg
Comments
date
, Markit,
KMV, etc.)
Sub-schedule L.4
L.4.a Aggregate by Risk Factor
L.4.b Top CVA sensitivites 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
<>
<>
+1bp
<>
<>
+300bps
+1bp
+1bp
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
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
<>
<>
<>
<>
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
Other material IR sensitivities
<>
<>
<>
<>
<>
FX (%)
-50%
-10%
+1%
+10%
+50%
+100%
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
CAD
CHF
EUR
GBP
JPY
Other material FX sensitivities
<>
<>
<>
<>
<>
Equity (%)
-50%
-10%
+1%
+10%
+50%
+100%
US <>
Europe <>
Other <>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<