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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
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
Amount of
Value
Value
Allowance for
(USD
(USD
Credit
Equivalent)
Equivalent)
OTTI Taken***
Losses****
Writeoffs****
CQSCP089
CQSCP090
CQSCP091
CQSCJH85
CQSCJH87
Amortized Cost Market Value
(USD
(USD
Equivalent)
Equivalent)
CQSCP087
CQSCP088
1
2
3
4
5
6
7
8
9
10
11
12
13
14
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
15
16
17
18
19
20
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.
Accounting
Pricing
Intent
Date (e.g.,
(AFS, HTM)
Price
MM/DD/YYYY)
CQSCP092 CQSCHK21
CQSCP093
Book Yield*
CQSCP094
Purchase
Date**
CQSCP095
Currency
CQSCS371
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
*** OTTI Taken should only be reported by institutions that have not adopted ASU 2016‐13
**** Amount of Allowance for Credit Losses Total Amortized Cost Net of Allowance and Writeoffs should only be reported by institutions that have adopted ASU 2016‐1
Securities 1
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
Type
Identifier
Cost
(CUSIP/ISIN/
Value
(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,
EQ)
CQSHP092
Type of
Hedge(s)
CQSHS372
Hedge
Hedge
Hedged Risk Interest Rate Percentage
CQSHS373
CQSHS374
CQSHS375
Hedge
Horizon
CQSHS376
Hedged Cash
Flow
Sidedness
CQSHS377
CQSHS378
Effective
Portion of
Hedging
Cumulative ASU 2017‐12
Instrument Gains and
Hedge
at Fair Value
Losses
Designations
CQSHS379
CQSHS380
CQSHKX87
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
E
F
G
Amount
recognized in
Revised
CUSIP or unique
regulatory
regulatory
identifier
capital
capital rule (July Cumulative / Notional amount
provided by
($Millions)
($Millions)
BHC/IHC
Instrument type 2013) treatment noncumulative
CQCNP083
CQCNQ744
CQCNQ746
CQCNQ747
CQCNQ748
CQCNQ749
H
Comments
CQCNQ750
I
J
K
L
M
N
Unamortized discounts/
premiums, fees and
Notional Amount
foreign exchange
Currency
of Associated
Fair value of
Carrying Value translation impacts as
associated swaps Interest Rate denomination of Y9C BHCK 4062
of quarter end
($Millions), as‐of
instrument
Reconciliation
Swap ($Millions)
($Millions)
($Millions)
quarter end
CQCNR629
CQCNR630
CQCNR631
CQCNR634
CQCNR638
CQCNR642
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
D
Revised
regulatory capital
rule (July 2013)
Instrument type
treatment
CQCRQ744
CQCRQ746
E
Redemption
action
CQCRQ754
F
G
H
I
J
Amount
recognized in
Regulatory
Notional amount regulatory capital
Date on which
Notional amount capital amount
remaining at
remaining at
action was executed
transacted
transacted
quarter end
quarter end
(mm/dd/yyyy)
($Millions)
($Millions)
($Millions)
($Millions)
CQCRQ755
CQCRQ756
CQCRQ757
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
CUSIP or unique
identifier
provided by
BHC/IHC
CQCIP083
Instrument type
CQCIQ744
O
P
Fixed / floating
CQCIN189
BB
Not applicable
MDRMs
1
2
3
4
5
6
7
8
9
10
11
C
D
Not applicable
F
G
H
I
J
Date of issuance
(mm/dd/yyyy)*
CQCIN477
Revised regulatory
capital rule
treatment
CQCIQ746
Cumulative /
noncumulative
CQCIQ747
Notional amount
transacted
($Millions)
CQCIQ756
R
S
T
U
V
Spread over index
(bps) at issuance
CQCIQ774
Date at which
coupon terms
change
CQCIR625
Coupon/dividend
rate (bps) when
terms change
CQCIR626
Index when terms
change
CQCIR627
EE
FF
GG
HH
If conversion,
Is issuance result indicate CUSIP of
of conversion? original instrument
CQCIQ762
CQCIQ763
Q
Coupon / dividend
rate (bps) at issuance Index at Issuance
CQCIQ772
CQCIQ773
CC
E
DD
Not applicable
Not applicable
Not applicable
Not applicable
Not applicable
K
L
Regulatory capital
amount transacted
($Millions)
CQCIQ757
Perpetual / dated
CQCIQ769
If dated, date of
maturity
(mm/dd/yyyy)*
CQCI9914
W
X
Spread over index Existence of step up or
other incentive to
(bps) when terms
redeem
change
CQCIQ775
CQCIR628
II
JJ
Interest Rate Swap Interest Rate Swap
Payment Index
Payment Spread (bps)
CQCIR636
CQCIR637
M
N
Issuer call
CQCIQ770
If callable, optional
call date
(mm/dd/yyyy)*
CQCIQ771
Z
AA
Convertible / non‐
convertible
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
Not applicable
Currency of Foreign Notional Amount of
Exchange Swap
Foreign Exchange
Payment
Swap ($Millions)
CQCIR639
CQCIR640
Exchange Rate of
Foreign Exchange
Swap
CQCIR641
FR Y‐14Q Schedule D ‐ Regulatory Capital Transitions
Institution Name:
RSSD ID:
Submission Date (MM/DD/YY):
As of Date (MM/DD/YY):
Schedule D ‐ Regulatory Capital
Non‐Significant investments in the capital of unconsolidated financial institutions in the form of common stock
1 Aggregate amount of non‐significant investments in the capital of unconsolidated financial institutions
2 Non‐significant investments in the capital of unconsolidated financial institutions in the form of common stock
3 10 percent threshold for non‐significant investments
4
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 2 minus item 3 or zero)
Significant investments in the capital of unconsolidated financial institutions in the form of common stock
5 Gross significant investments in the capital of unconsolidated financial institutions in the form of common stock
6 Permitted offsetting short positions in relation to the specific gross holdings included above
7 Significant investments in the capital of unconsolidated financial institutions in the form of common stock net of short positions (greater
of item 5 minus 6 or zero)
8 10 percent common equity tier 1 deduction threshold
9
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 7 minus item 8 or zero)
Mortgage servicing assets
10 Total mortgage servicing assets classified as intangible
11 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant
accounting standards
12 Mortgage servicing assets net of related deferred tax liabilities (item 10 minus item 11)
13 10 percent common equity tier 1 deduction threshold (derived from item 8)
14
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 12 minus item 13 or zero)
Deferred tax assets due to temporary differences
15 Deferred tax assets arising from temporary differences, net of DTLs
16 Valuation allowances related to DTAs arising from temporary differences
17 Potential net operating loss carrybacks
18 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation
allowances and net of DTLs
19 10 percent common equity tier 1 deduction threshold (derived from item 8)
20
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 18 minus item 19 or zero)
Actual in
$Millions
as of date
Comments
Aggregate of items subject To the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
21 Sum of items 7, 12, and 18
22 15 percent common equity tier 1 deduction threshold
23 Sum of items 9, 14, and 20
24 Item 21 minus item 23
25
Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold (greater of item 24 minus item 22 or zero)
Other Quarterly Changes
26 Issuance of common stock (including conversion of common stock)
27 Repurchases of common stock
Memoranda
M1 Taxes paid through the as‐of date of the current fiscal year
FR Y‐14Q: Trading, PE and Other Fair Value Assets Schedules
Institution Name:
Firm Name
Effective Date:
Date of Data Submission:
Trading, PE & Other Fair Value Assets Schedule
Equity by Geography
Country
CTRDH038
Australia
Austria
Belgium
Canada
Denmark
Finland
France
Germany
Greece
Ireland
Italy
Japan
Netherlands
New Zealand
Norway
Portugal
Spain
Sweden
Switzerland
United Kingdom
United States
Euro Stoxx 50 Index
Stoxx Europe 600 Index
Other Cross‐Country Indices
Other Advanced Economies
Advanced Economies Total
Bulgaria
Czech Republic
Hungary
Poland
Russia
Ukraine
MSCI EM Eastern Europe
Other Cross‐Country Indices
Other Emerging Europe
Emerging Europe Total
Argentina
Brazil
Chile
Mexico
MSCI EM Latin America Index
Other Cross‐Country Indices
Other Latam & Caribbean
Latam & Caribbean Total
China
Hong Kong
India
Indonesia
Malaysia
Philippines
Singapore
South Korea
Taiwan
MSCI EM Asia Index
Other Cross‐Country Indices
Other Asia Ex‐Japan
Asia Ex‐Japan Total
Firm Name
Delta
($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%
‐40%
% CHANGE IN VOL
CTRDH047
‐35%
‐30%
‐20%
0%
CTRDH046
0%
15%
30%
60%
$0
Delta post spot shock (at 0 vol shock) ($MM)
CTRDH050
Check:
$0.0000
Check:
$0.0000
Check:
$0.0000
Gamma post spot shock (at 0 vol shock) ($MM / +1%)
CTRDH051
Vega post spot shock (at 0 vol shock) ($MM / +1 vol pt)
CTRDH049
Vega post vol shock
(at 0 spot shock)
($MM / +1%
relative)
CTRDH411
Trading, PE & Other Fair Value Assets Schedule
Other Equity
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from a ‐1% change in dividends ($MM)
CTRDH055
Region
CTRDH053
US
Europe
Japan
Other / Unspecified
Total
1Y
$0.00
2Y
$0.00
3Y
$0.00
5Y
CTRDH054
$0.00
7Y
$0.00
10Y
$0.00
Unspecified
Tenor
Total
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities
Currency 1
Currency 2
Delta
($MM)
Gamma
($MM / +1%)
CTRDH056
CTRDH057
CTRDH058
CTRDH059
Firm Name
Effective Date:
Submission Date:
<‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ Currency1 weakening against Currency2 ‐‐‐‐‐ ‐‐‐‐‐ Currency1 strengthening against Currency2 ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐>
$MM Profit/(Loss) From % Change in Spot Price in Currency1 vs. Currency2
CTRDH060
‐30%
‐25%
‐20%
‐15%
‐10%
0%
CTRDH061
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
10%
15%
20%
25%
30%
Trading, PE & Other Fair Value Assets Schedule
FX Vega
Firm Name
Effective Date:
Submission Date:
FX Lognormal Vega ($K / +1 vol pt)
CTRDH065
Currency 1
CTRDH062
Currency 2
CTRDH063
1M
3M
6M
9M
1Y
2Y
3Y
CTRDH064
5Y
7Y
10Y
15Y
20Y
30Y
Total
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($K / ‐1 bp)
CTRDH070
Currency CTRDH068
Category CTRDH069
AUD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
1M
3M
6M
9M
1Y
2Y
3Y
5Y
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
10Y
15Y
20Y
30Y
Total
‐200 bps
‐100 bps
‐50 bps
0 bps
+50 bps
CTRDH066
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0
0.00
0.00
0.00
0.00
0.00
0.00
CAD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
CAD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
CHF Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
CHF Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
DKK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
DKK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0
0
0
0
0
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
CTRDH067
AUD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0
+100 bps
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($K / ‐1 bp)
CTRDH070
EUR Directional Risks
Governments Austria
Governments Belgium
Governments Finland
Governments France
Governments Germany
Governments Greece
Governments Ireland
Governments Italy
Governments Netherlands
Governments Portugal
Governments Spain
Governments Other
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
1M
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
3Y
0
5Y
0
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
0
10Y
0
15Y
0
20Y
0
30Y
0
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
EUR Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
GBP Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
GBP Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
JPY Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
JPY Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m TIBOR Basis
3m TIBOR Basis
6m TIBOR Basis
12m TIBOR Basis
1m LIBOR Basis
3m LIBOR Basis
6m LIBOR Basis
12m LIBOR Basis
Other Basis
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
‐200 bps
‐100 bps
‐50 bps
0 bps
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($K / ‐1 bp)
CTRDH070
NOK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
1M
0
3M
0
6M
0
9M
0
1Y
0
2Y
0
3Y
0
5Y
0
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
0
10Y
0
15Y
0
20Y
0
30Y
0
Total
0.00
0.00
0.00
0.00
0.00
0.00
0
NOK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
NZD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
NZD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
SEK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
SEK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
USD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
USD Basis Risks (Do not include the swap/discounting curve specified above)
Prime Basis
CP Basis
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH052
Muni SIFMA/Libor Basis ($K per 1% abs
increase in Muni SIFMA / Libor Ratio)
0.00
‐200 bps
‐100 bps
‐50 bps
0 bps
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($K / ‐1 bp)
CTRDH070
CTRDH070
Other Advanced Economies Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional
Total Advanced Economies (Directional)
Directional Risks: Emerging Europe
BGN
CZK
HRK
HUF
PLN
RON
RUB
Other Emerging Europe
Total Emerging Europe
Directional Risks: Latin America & Caribbean
ARS
BRL
CLP
COP
MXN
PEN
VEF
Other Latam & Caribbean
Total Latam & Caribbean
Directional Risks: Asia Ex‐Japan
CNY
HKD
IDR
INR
KRW
MYR
PHP
SGD
THB
TWD
Other Asia Ex‐Japan
Total Asia Ex‐Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y
10Y
15Y
20Y
30Y
Total
‐200 bps
‐100 bps
‐50 bps
0 bps
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0
$0
$0
$0
$0
$0
$0
$0
$0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
+50 bps
+100 bps
+150 bps
+200 bps
+300 bps
+400 bps
+500 bps
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Directional Risks: Middle East/North Africa
ILS
TRY
Other Middle East/Africa
Total Middle East/N. Africa
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0.00
0
Directional Risks: Sub‐Saharan Africa
ZAR
Other Sub‐Saharan Africa
Total Sub‐Saharan Africa
0
0
0
0
0
0
0
0
0
0
0
0
0
0.00
0.00
0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
GLOBAL TOTAL DIRECTIONAL
0
0
0
0
0
0
0
0
0
0
0
0
0
0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
Expiry CTRDH075
Currency CTRDH076
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH074
E X P I R Y
AUD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
EUR
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
GBP
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
JPY
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
USD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
US MBS Vega
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH078
E X P I R Y
Other Advanced Economies
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Emerging Europe
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Latam & Caribbean
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Asia Ex‐Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Effective Date:
Submission Date:
Rates Vega
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total ME/N. Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Sub‐Saharan Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Other Rates
Firm Name
Effective Date:
Submission Date:
Inflation Delta ($K / +1 bp)
CTRDH081
Currency
CTRDH079
AUD
EUR
GBP
JPY
USD
Other
Total
1M
0
3M
0
6M
0
9M
1Y
2Y
0
0
0
9M
1Y
2Y
M A T U R I T Y
3Y
5Y
CTRDH080
0
0
7Y
10Y
15Y
20Y
30Y
Total
0
0
0
0
0
0.00
0.00
0.00
0.00
0.00
0.00
0
7Y
10Y
15Y
20Y
30Y
Total
0
0.00
0.00
0.00
0.00
0.00
0
Cross‐Currency vs. USD Basis ($K / +1 bp)
(+1 bp parallel move in curve relative to base curve)
CTRDH082
Currency
1M
3M
6M
CTRDH079
AUD
EUR
GBP
JPY
Other
Total
0
0
0
0
0
0
M A T U R I T Y
3Y
5Y
CTRDH080
0
0
0
0
0
0
Trading, PE & Other Fair Value Assets Schedule
Energy
Firm Name
C R U D E O I L
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gamma ($MM / +1%)
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
CTRDH089
CTRDH090
Brent
Dubai Fateh
Maya
Tapis
WTI
OMAN
Other Sour
Crude
Other
Sweet
Crude
Unspecified
Crude
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
O I L P R O D U C T S
CTRDH083
O T H E R O I L P R O D U C T S
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Diesel
Fuel Oil
Heating Oil
Naptha
Ethanol
LPG
Jet Fuel
Gas Oils
Gasoline
Other Oil
Products
Total Oil
Products
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
0
Trading, PE & Other Fair Value Asse
Energy
N A T U R A L G A S
CTRDH083
US
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gulf Coast
MidCont
NE
Rockies
Europe
West
NYMEX
Other US
UK
Belgium
Dutch
French
German
Other
Europe
Canada
Other Regions
Total NatGas
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
0
Trading, PE & Other Fair Value Asse
Energy
Firm Name
P O W E R
CTRDH083
US
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Ercot
Midwest
North East
Europe
NYISO
West
Other US
Nordpool
Benelux
UK
Germany
France
Italy
Other Europe
Other Regions Total Power
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
0
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
0
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
O T H E R E N E R G Y
CTRDH083
Coal
Emissions
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
EUA/ETS
CER
VER
Other
ARA /API2
Richards Bay /
API4
Indonesia
Dry Freight
Other
Regions
Baltic Dry
Index
Other
Freight
Structured
Products
Total
Energy
Other /
Unspecified
Energy
Total Other
Energy
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
0
0
0
0
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
CTRDH083
Tolling Agreements
Heat Rate Options
Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gamma ($MM / +1%)
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega
Gas Component
Power
Component
Gas Component
Power
Component
CTRDH084
$0
$0
** See FR Y‐14Q instructions
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Metals
Firm Name
Effective Date:
Submission Date:
P R E C I O U S M E T A L S
CTRDH083
Delta ($MM)
CTRDH087
Gold
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gamma ($MM / +1%)
Total Vega
Palladium
Platinum
Total
Precious
Metals
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Aluminum
(Primary)
Aluminum
(Alloy)
Copper
Iron
Lead
$0
$0
$0
Nickel
Tin
Uranium
Zinc
Other Base Total Base
Metals
Metals
$0
$0
$0
$0
$0
$0
$0
CTRDH083
Other /
Unspecified
Metals
Total
Metals
CTRDH084
CTRDH084
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Silver
B A S E M E T A L S
CTRDH083
Other
Precious
Metals
0
0
0
0
0
0
CTRDH089
CTRDH090
Trading, PE & Other Fair Value Assets Schedule
Ags & Softs
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
CTRDH087
Cocoa
Coffee
Corn
Cotton
Cattle
Lean Hogs
Livestock
Lumber
CTRDH086
$0
Total Vega
Soybeans
Soymeal
Soybean Oil
Sugar
Wheat
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Rapeseed
CTRDH084
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gamma ($MM / +1%)
Palm Oil
Other /
Unspecified
Ags/Softs
0
CTRDH089
CTRDH090
0
Trading, PE & Other Fair Value Assets Schedule
Diversified Commodity Indices
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
S&P GSCI
Index
CTRDH087
$0
Total Vega
Diversified
Total
$0
$0
Long/Short
Commodity Indices
Grand Total
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Other
Diversified
Indices
CTRDH084
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gamma ($MM / +1%)
DJ‐UBS Index
TR/J CRB
Index
0
0
0
0
CTRDH089
CTRDH090
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Profit/(Loss) from changes in Spot/Vol ($MM): OIL PRODUCTS
Effective Date:
Submission Date:
CTRDH094
CTRDH095
Please select how volatility changes are expressed:
% CHANGE IN VOL
CTRDH092
‐75%
‐50%
‐40%
CTRDH091
‐30%
Absolute Shift in Vol Pts
% CHANGE IN SPOT VALUE
‐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
$0.00
25%
50%
75%
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non‐Agency
Prime
Sub‐prime
Option
ARMS
Other
AltA
Unspec
Non‐Prime
HELOC
RMBS CDO RMBS CDS
MV* ($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
CMBS
CTRDH096
Index Tranches
Other /
Unspecified
ABS SubTotal
Cash Non‐
Agency
CMBS
CMBS CDS CMBS CDO
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
$0
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non‐Agency
Prime
Sub‐prime
Option
ARMS
Other
AltA
Unspec
Non‐Prime
HELOC
RMBS CDO RMBS CDS
Credit
Basket
PrimeX
ABX / TABX
Prime
Whole
Loans
Non‐Prime
Whole Loans
European
RMBS
Other /
Unspecified
RMBS
SubTotal
Notional ($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
CMBS
CTRDH096
Cash Non‐
Agency
CMBS
CMBS CDS CMBS CDO
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
Autos
Credit
Cards
Student
Loans
ABS CDS
Credit
Basket
Index Tranches
Other /
Unspecified
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
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
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
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
$0
ABS SubTotal
CMBS SubTotal
Notional ($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
$0
Trading, PE & Other Fair Value Assets Schedule
Agencies
Firm Name
MV ($MM)
DV01
($K / ‐1 bp)
CS01
($K/+1 bp OAS
widening)
CTRDH104
CTRDH105
CTRDH106
Effective Date:
Submission Date:
Profit/(Loss) in $K from an Absolute Widening in OAS (bps)
CTRDH108
$K / +1% rise in
prepayments
CTRDH107
0 bps
+1 bps
+10 bps
+50 bps
+100 bps
+200 bps
+300 bps
+400 bps
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
$0
0
0
0
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
>
<>
+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 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%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<