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pdfFR Y‐14Q Schedule D ‐ Regulatory Capital Transitions
Institution Name:
RSSD ID:
Submission Date (MM/DD/YY):
As of Date (MM/DD/YY):
DRAFT
DRAFT
Schedule D ‐ Regulatory Capital
Category I and II firms only (line items 1‐9)
Non‐Significant investments in the capital of unconsolidated financial institutions
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
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 1 minus item 3, times ratio
of item 2 to item 1, or zero)
Significant investments in the capital of unconsolidated financial institutions
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)
Category III and IV firms only (line items 10‐12)
Investments in the capital of unconsolidated financial institutions
10 Aggregate amount of investments in the capital of unconsolidated financial institutions
11 25 percent threshold for investments in the capital of unconsolidated financial institutions
12 Amount to be deducted from common equity tier 1 due to 25 percent deduction threshold (greater of item 10 minus item 11 or zero)
Mortgage servicing assets
13 Total mortgage servicing assets classified as intangible
14 Associated deferred tax liabilities which would be extinguished if the intangible becomes impaired or derecognized under the relevant
accounting standards
15 Mortgage servicing assets net of related deferred tax liabilities (item 13 minus item 14)
16 Common equity tier 1 deduction threshold: 10 percent for Category I and II firms, 25 percent for Category III and IV firms
17 Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 15 minus item 16 or zero)
Deferred tax assets due to temporary differences
18 Deferred tax assets arising from temporary differences, net of deferred tax liabilities
Actual in
$Millions
as of date
Comments
DRAFT
19
20
21
22
Valuation allowances related to DTAs arising from temporary differences
Potential net operating loss carrybacks
DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation
allowances and net of DTLs
Common equity tier 1 deduction threshold: 10 percent for Category I and II firms, 25 percent for Category III and IV firms (value derived
from item 16)
23
Amount to be deducted from common equity tier 1 due to 10 percent deduction threshold (greater of item 22 minus item 21 or zero)
Category I and II firms only (line items 24‐28)
Aggregate of items subject To the 15% limit (significant investments, mortgage servicing assets and deferred tax assets arising from temporary differences)
24 Sum of items 7, 15, and 21
25 15 percent common equity tier 1 deduction threshold
26 Sum of items 9, 17, and 23
27 Item 24 minus item 26
28 Amount to be deducted from common equity tier 1 due to 15 percent deduction threshold (greater of item 27 minus item 25 or zero)
Other Quarterly Changes
29 Issuance of common stock (including conversion to common stock)
30 Repurchases of common stock
Memoranda
M1 Taxes paid through the as‐of date of the current fiscal year
DRAFT
FR Y‐14Q: Trading, PE and Other Fair Value Assets Schedules
Institution Name:
Firm Name
Effective Date:
Date of Data Submission:
DRAFT
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
$0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Equity by Geography
Country
CTRDH038
Israel
Turkey
Other Cross‐Country Indices
Other Middle East/N. Africa
Middle East/N. Africa Total
South Africa
Other Cross‐Country Indices
Other Sub‐Saharan Africa
Sub‐Saharan Africa Total
Firm Name
Delta
($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
$0
Firm Name
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Equity Spot‐Vol Grid
Please select how volatility changes are expressed:
CTRDH045
Effective Date:
Submission Date:
Relative % change in Volatility
Profit/(Loss) from changes in Spot/Vol ($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
DRAFT
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
DRAFT
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
$0
10%
15%
20%
25%
30%
Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities
Currency 1
Currency 2
Delta
($MM)
Gamma
($MM / +1%)
CTRDH056
CTRDH057
CTRDH058
CTRDH059
Firm Name
DRAFT
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
DRAFT
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
$0
10%
15%
20%
25%
30%
Firm Name
DRAFT
Trading, PE & Other Fair Value Assets Schedule
FX Vega
Effective Date:
Submission Date:
FX Lognormal Vega ($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
$0.00
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($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
$0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($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
$0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($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
$0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Rates DV01
Firm Name
Effective Date
Submission Date
M A T U R I T Y
DV01 ($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
$0
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
DRAFT
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
Expiry CTRDH075
Currency CTRDH076
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH074
E X P I R Y
AUD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
EUR
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
GBP
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
DRAFT
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
JPY
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
USD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
US MBS Vega
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
CTRDH078
E X P I R Y
Other Advanced Economies
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
DRAFT
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Emerging Europe
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Latam & Caribbean
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Asia Ex‐Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Trading, PE & Other Fair Value Assets Schedule
Firm Name
Rates Vega
DRAFT
Effective Date:
Submission Date:
Interest Rate Normal Vegas ($MM / +10 bps shift)
Select the vega convention being used:
CTRDH072
Specify the units in which vega is expressed:
CTRDH073
Normal
$MM / +10 bps shift
CTRDH077
1M
3M
6M
9M
1Y
2Y
3Y
M A T U R I T Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total ME/N. Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
E X P I R Y
Total Sub‐Saharan Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Firm Name
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Other Rates
Effective Date:
Submission Date:
Inflation Delta ($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 ($K / +1 bp)
(+1 bp parallel move in curve relative to base curve)
CTRDH082
Currency
1M
3M
6M
CTRDH079
AUD
EUR
GBP
JPY
Other
Total
0
0
0
0
0
0
M A T U R I T Y
3Y
5Y
CTRDH080
0
0
0
0
0
0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Energy
Firm Name
C R U D E O I L
Delta ($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)
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
$0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Energy
Firm Name
C R U D E O I L
Delta ($MM)
CTRDH087
Total Vega
Brent
Dubai Fateh
Maya
Tapis
WTI
OMAN
Other Sour
Crude
Other
Sweet
Crude
Unspecified
Crude
DRAFT
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
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
0
DRAFT
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 ($MM)
CTRDH087
Total Vega
Diesel
Fuel Oil
Heating Oil
Naptha
Ethanol
LPG
Jet Fuel
Gas Oils
Gasoline
Other Oil
Products
Total Oil
Products
0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
N A T U R A L G A S
CTRDH083
US
Delta ($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
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
N A T U R A L G A S
CTRDH083
US
Delta ($MM)
CTRDH087
Total Vega
Gulf Coast
MidCont
NE
Rockies
Europe
West
NYMEX
Other US
UK
Belgium
Dutch
French
German
Other
Europe
Canada
Other Regions
Total NatGas
0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
Firm Name
P O W E R
CTRDH083
US
Delta ($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
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
Firm Name
P O W E R
CTRDH083
US
Delta ($MM)
CTRDH087
Total Vega
Ercot
Midwest
North East
Europe
NYISO
West
Other US
Nordpool
Benelux
UK
Germany
France
Italy
Other Europe
Other Regions Total Power
0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
Effective Date:
Submission Date:
O T H E R E N E R G Y
CTRDH083
Coal
Emissions
Delta ($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
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)
DRAFT
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 ($MM)
CTRDH087
Total Vega
EUA/ETS
CER
VER
Other
ARA /API2
Richards Bay /
API4
Indonesia
Other
Regions
Dry Freight
Baltic Dry
Index
Other
Freight
Structured
Products
Other /
Unspecified
Energy
Total Other
Energy
0
Total
Energy
0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
CTRDH083
Tolling Agreements
Heat Rate Options
Delta ($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)
Gas Component
Power
Component
Gas Component
Power
Component
CTRDH084
$0
$0
** See FR Y‐14Q instructions
$0
$0
DRAFT
Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
CTRDH083
Tolling Agreements
Heat Rate Options
Delta ($MM)
CTRDH087
Total Vega
Gas Component
Power
Component
Gas Component
Power
Component
Trading, PE & Other Fair Value Assets Schedule
Metals
Firm Name
DRAFT
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
Other
Precious
Metals
Total
Precious
Metals
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
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$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
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$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 ($MM / +10% Rel)
Silver
B A S E M E T A L S
CTRDH083
0
0
0
0
0
0
CTRDH089
CTRDH090
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Ags & Softs
Firm Name
CTRDH083
Effective Date:
Submission Date:
Delta ($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
DRAFT
Firm Name
Effective Date:
Submission Date:
CTRDH083
Delta ($MM)
S&P GSCI
Index
CTRDH087
$0
Total Vega
$0
$0
Long/Short
Commodity Indices
Grand Total
CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
CTRDH088
Total Gamma
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Diversified
Total
CTRDH084
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10‐14
Year 15‐19
Year 20+
Total Delta
Gamma ($MM / +1%)
DJ‐UBS Index TR/J CRB Index
Other
Diversified
Indices
0
0
0
0
CTRDH089
CTRDH090
DRAFT
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
$0.00
25%
%
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
DRAFT
Firm Name
Effective Date:
Submission Date:
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Profit/(Loss) from changes in Spot/Vol ($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
$0.00
25%
%
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
DRAFT
Firm Name
Effective Date:
Submission Date:
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Effective Date:
Submission Date:
Profit/(Loss) from changes in Spot/Vol ($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
$0.00
25%
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
Firm Name
Profit/(Loss) from changes in Spot/Vol ($MM): PRECIOUS METALS
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%
$0.00
Profit/(Loss) from changes in Spot/Vol ($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
$0.00
25%
50%
75%
%
Trading, PE & Other Fair Value Assets Schedule
Commodity Spot‐Vol Grids
DRAFT
Firm Name
Effective Date:
Submission Date:
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non‐Agency
Prime
Sub‐prime
Option
ARMS
Other
AltA
Unspec Non‐
Prime
HELOC
RMBS CDO RMBS CDS
MV* ($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
$0
DRAFT
Trading, PE & Other Fair Val
Securitized Products
ABS
CTRDH096
Autos
Credit
Cards
Student
Loans
ABS CDS
MV* ($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
$0
Trading, PE & Other Fair Val
Securitized Products
DRAFT
Effective Date:
Submission Date:
CLO
MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
Corporate CDO / CLO
CTRDH096
Corporate
Other /
CDO/CLO
Unspecified
SubTotal
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
$0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Securitized Products
Firm Name
RMBS
CTRDH096
Grand
Total
Non‐Agency
Prime
Sub‐prime
Option
ARMS
Other
AltA
Unspec Non‐
Prime
HELOC
RMBS CDO RMBS CDS
Credit
Basket
PrimeX
ABX / TABX
Prime
Whole
Loans
Non‐Prime
Whole Loans
European
RMBS
Other /
Unspecified
RMBS
SubTotal
Notional ($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
DRAFT
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
CMBS
CTRDH096
Cash Non‐
Agency
CMBS
CMBS CDS CMBS CDO
ABS CDS
Credit
Basket
Index Tranches
Other /
Unspecified
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
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
$0
ABS SubTotal
CMBS SubTotal
Notional ($MM)
CTRDH101
Rating (CTRDH098)
Vintage (CTRDH099)
Trading, PE & Other Fair Val
Securitized Products
DRAFT
Effective Date:
Submission Date:
CLO
Corporate CDO / CLO
CTRDH096
Corporate
Other /
CDO/CLO
Unspecified
SubTotal
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
$0
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Agencies
Firm Name
MV ($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
= $50M
Issuer Name
Issuer
ticker
Rating
CTRDH%%
CTRDH%%
CTRDH%%
Table E
CTRDH%%
In Index
CS01
Products? RED Code (if
Notional
MV ($MM)
($K/+1 bp)
(1 for Yes, available)
($MM)
(if available)
0 for No)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
Single Name Products: issuers with abs(MV) < $50M by rating
Rating
Long
Notional
MV ($MM)
($MM)
CTRDH%%
AAA
AA
A
BBB
BB
B
= 0
Notional
Notional
Notional
Notional
Notional
Notional MV ($MM)
Notional ($MM) MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
Notional
($MM)
CTRDH%%
CDX IG
CDX IG
CDX IG
:
CDX HY by Series
CTRDH%%
Receiver Options
Payer Options by spread moneyness in‐% (1‐strike spread / index spread)
Index Name
100%
Notional ($MM)
CTRDH%%
CDX HY
CDX HY
CDX HY
:
CTRDH%%
< ‐400
[‐400,‐200)
[‐200,‐100)
[‐100,0)
>= 0
Notional
Notional
Notional
Notional MV ($MM)
Notional
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
Notional
($MM)
CTRDH%%
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Firm Name
IDR‐Corporate Credit
Indices
Tranches
Index Name
Series
Notional
($MM)
3%
6%
9%
12%
Notional
Notional
Notional
Notional
Notional
($MM) MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
iTraxx Main
iTraxx Main
iTraxx Main
:
iTraxx XO by Series
CTRDH%%
Indices
Tranches
10%
15%
25%
35%
Index Name
Series
Notional
($MM)
Notional
($MM) MV ($MM) Notional MV ($MM) Notional MV ($MM) Notional MV ($MM) Notional MV ($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
iTraxx XO
iTraxx XO
iTraxx XO
:
CDX Other, iTraxx Other & Loan by Series
CTRDH%%
Indices
Index Type
(CDX Other, iTraxx Other or Loan)
Index
Name*
Series
CTRDH%%
CTRDH%%
CTRDH%%
*include only indices with gross MV > $100M
Tranches
Equity
MV ($MM)
CTRDH%%
Mezzanine
Super Senior
Notional
($MM) MV ($MM) Notional MV ($MM) Notional MV ($MM) Notional
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
DRAFT
Trading, PE & Other Fair Value As
Effective Date:
Submission Date:
IDR‐Corporate Credit
Payer Options by spread moneyness in‐% (1‐strike spread / index spread)
Index Name
CTRDH%%
Receiver Options
22%
100%
< ‐400
[‐400,‐200)
[‐200,‐100)
[‐100,0)
>= 0
Notional
Notional MV ($MM)
Notional
Notional
Notional
Notional
MV ($MM)
MV ($MM)
MV ($MM)
Notional ($MM) MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
Notional
($MM)
CTRDH%%
iTraxx Main
iTraxx Main
iTraxx Main
:
iTraxx XO by Series
CTRDH%%
Payer Options by spread moneyness in‐% (1‐strike spread / index spread)
Index Name
CTRDH%%
100%
< ‐400
Notional ($MM)
MV ($MM)
CTRDH%%
CTRDH%%
[‐400,‐200)
[‐200,‐100)
[‐100,0)
Receiver Options
>= 0
Notional
Notional
Notional
Notional
Notional MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
Notional
($MM)
CTRDH%%
iTraxx XO
iTraxx XO
iTraxx XO
:
CDX Other, iTraxx Other & Loan by
CTRDH%%
Receiver Options
Payer Options by spread moneyness in‐% (1‐strike spread / index spread)
Index Type
(CDX Other, iTraxx Other or Loan)
< ‐400
MV ($MM)
CTRDH%%
*include only indices with gross MV > $1
CTRDH%%
[‐400,‐200)
[‐200,‐100)
[‐100,0)
>= 0
Notional
Notional
Notional
Notional
Notional MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
CTRDH%%
Notional
($MM)
CTRDH%%
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Firm Name
IDR‐Corporate Credit
Table G
CTRDH%%
Summary of bespoke positions
Long
Equity
Short
CTRDH%%
Number of bespoke products
CDX IG
Average obligor credit spread (bps)
Average number of obligors per product
Number of bespoke products
CDX HY
Average obligor credit spread (bps)
Average number of obligors per product
Number of bespoke products
CDX Other
Average obligor credit spread (bps)
Average number of obligors per product
Number of bespoke products
iTraxx Main
Average obligor credit spread (bps)
Average number of obligors per product
Number of bespoke products
iTraxx XO
Average obligor credit spread (bps)
Average number of obligors per product
Number of bespoke products
iTraxx Other
Average obligor credit spread (bps)
Average number of obligors per product
Number of bespoke products
Loan Indices
Average obligor credit spread (bps)
Average number of obligors per product
CTRDH%%
Mezzanine
Long
Short
CTRDH%%
CTRDH%%
Super Senior
Long
Short
CTRDH%%
CTRDH%%
Trading, PE & Other Fair Value As
IDR‐Corporate Credit
Table G
CTRDH%%
CDX IG
CDX HY
CDX Other
iTraxx Main
iTraxx XO
iTraxx Other
Loan Indices
DRAFT
Effective Date:
Submission Date:
DRAFT
Trading, PE & Other Fair Value Assets Schedule
Firm Name
IDR‐Jump To Default
Issuers to which the reporter has a net long exposure CTRDH157
Issuer Name
CTRDH158
Country
CTRDH159
Industry
CTRDH160
Effective Date:
Submission Date:
Issuers to which the reporter has a net short exposure CTRDH157
Rating
CTRDH161
Recovery
Rate
CTRDH162
JTD ($MM)
CTRDH163
Issuer Name
CTRDH158
Country
CTRDH159
Industry
CTRDH160
Rating
CTRDH161
Recovery
Rate
CTRDH162
JTD ($MM)
CTRDH163
`
Total for AAA‐Rated Issuers
Total for AA‐Rated Issuers
Total for A‐Rated Issuers
Total for BBB‐Rated Issuers
Total for BB‐Rated Issuers
Total for B‐Rated Issuers
Total for Below B‐Rated Issuers: Defaulted
Total for Below B‐Rated Issuers: Not Defaulted
Total for Below B‐Rated Issuers: Default Status Unknown
Total for Unrated Issuers
Grand Total
Total for AAA‐Rated Issuers
Total for AA‐Rated Issuers
Total for A‐Rated Issuers
Total for BBB‐Rated Issuers
Total for BB‐Rated Issuers
Total for B‐Rated Issuers
Total for Below B‐Rated Issuers: Defaulted
Total for Below B‐Rated Issuers: Not Defaulted
Total for Below B‐Rated Issuers: Default Status Unknown
Total for Unrated Issuers
$0
Grand Total
$0
Trading, PE & Other Fair Value Assets Schedule
Private Equity
DRAFT
Firm Name
Effective Date
Submission Date
(A)
Sector
GICS
Code
Industry Group
Energy
1010
Materials
(B)
Investments Reported at FAIR VALUE ($MM)
Other
Emerging
Western
Developed
United States
Markets
Europe
Markets
Unspecified
Geography
Global
Investments NOT Reported at FAIR VALUE ($MM)
Other
Emerging
Western
Developed
United States
Markets
Europe
Markets
Unspecified
Geography
Total
Global
Energy
$0
$0
$0
1510
Materials
$0
$0
$0
Industrials
Industrials
Industrials
Industrials
Industrials
2010
2020
2030
20
20
Capital Goods
Commercial & Professional Services
Transportation
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
2510
2520
2530
2550
25
25
Automobiles & Components
Consumer Durables & Apparel
Consumer Services
Retailing
Unspecified
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
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
3010
3020
3030
30
30
Food & Staples Retailing
Food, Beverage & Tobacco
Household & Personal Products
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Health Care
Health Care
Health Care
Health Care
3510
3520
35
35
Health Care Equipment & Svcs
Pharma., Bio. & Life Sciences
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
4010
4020
4030
Banks
Diversified Financials
Insurance
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Information Technology
Information Technology
Information Technology
Information Technology
Information Technology
4510
4520
4530
45
45
Software & Services
Technology Hardware & Equipment
Semicondt. & Semicondt. Equip.
Unspecified
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
$0
Trading, PE & Other Fair Value Assets Schedule
Private Equity
DRAFT
Firm Name
Effective Date
Submission Date
(A)
Sector
GICS
Code
Industry Group
Communication Services
Communication Services
Communication Services
Communication Services
5010
5020
50
50
Utilities
(B)
Investments Reported at FAIR VALUE ($MM)
Other
Emerging
Western
Developed
United States
Markets
Europe
Markets
Unspecified
Geography
Global
Total
Global
Telecommunication Services
Media & Entertainment
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
5510
Utilities
$0
$0
$0
Real Estate
6010
Real Estate
$0
$0
$0
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector / Industry
N/A
N/A
N/A
N/A
N/A
Minority Interest in Hedge Funds
Fund Seed Capital
Infrastructure Funds
Other Unspecified Sector/Industry
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Funded Total
$0
$0
Unfunded commitments ($MM)
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Investments NOT Reported at FAIR VALUE ($MM)
Other
Emerging
Western
Developed
United States
Markets
Europe
Markets
Unspecified
Geography
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Other Fair Value Assets
Firm Name
DRAFT
Effective Date:
Submission Date:
Fair Value ($MM)
Sector
GICS Code
Industry Group
Global
United States
Non‐US
Equity
Debt
Equity
Debt
Energy
1010
Energy
$0
Materials
1510
Materials
$0
Industrials
Industrials
Industrials
Industrials
Industrials
2010
2020
2030
20
20
Capital Goods
Commercial & Professional Services
Transportation
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
2510
2520
2530
2550
25
25
Automobiles & Components
Consumer Durables & Apparel
Consumer Services
Retailing
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
3010
3020
3030
30
30
Food & Staples Retailing
Food, Beverage & Tobacco
Household & Personal Products
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Health Care
Health Care
Health Care
Health Care
3510
3520
35
35
Health Care Equipment & Svcs
Pharma., Bio. & Life Sciences
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
4010
4020
4030
Banks
Diversified Financials
Insurance
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Trading, PE & Other Fair Value Assets Schedule
Other Fair Value Assets
Firm Name
DRAFT
Effective Date:
Submission Date:
Fair Value ($MM)
Sector
GICS Code
Industry Group
Global
United States
Non‐US
Equity
Debt
Equity
Debt
Information Technology
Information Technology
Information Technology
Information Technology
Information Technology
4510
4520
4530
45
45
Software & Services
Technology Hardware & Equipment
Semicondt. & Semicondt. Equip.
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
$0
Communication Services
Communication Services
Communication Services
Communication Services
5010
5020
50
50
Telecommunication Services
Media & Entertainment
Unspecified
Total
$0
$0
$0
$0
$0
$0
$0
$0
Utilities
5510
Utilities
$0
Real Estate
6010
Real Estate
$0
Tax Credits
Tax Credits
Tax Credits
Tax Credits
N/A
N/A
N/A
N/A
Section 42 Housing Credits
Section 45 Alternative Energy Investments
Other Tax Credits
Total
$0
$0
$0
$0
$0
$0
$0
$0
BOLI, COLI, and Stable Value Wraps
N/A
BOLI, COLI, and Stable Value Wraps
$0
Unspecified Sector/Industry
N/A
Other Unspecified Sector/Industry
$0
$0
$0
$0
$0
Total
$0
DRAFT
FR Y‐14Q: Counterparty Credit Risk
See Counterparty Schedule instructions for guidance on completing this schedule.
BHCs/IHCs/SLHCs 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:
8/31/20 1:04 PM
DRAFT
Sub‐schedule L.1.a Top consolidated/parent counterparties comprising 95% of firm unstressed Credit Valuation Adjustment (CVA), ranked by unstressed CVA
$ Millions
Counterparty identifiers
Rank
Consolidated/ Consolidated/P
Sub‐netting
Counterparty
Netting Set ID
arent
Counterparty
Parent
Set ID
Industry Code
Legal Entity
Counterparty Counterparty Legal Entity Name
Identifier (LEI)
ID
Name
Credit Quality Data
Country
Stressed
Gross Current
Gross
Exposure
Internal External
Current
FR Scenario
Rating
Rating
Exposure
(Severely
Adverse)
DRAFT
consolidated/pa
Exposure and Position Data
Consolidated/P Stressed Gross
arent
Current Exposure
Counterparty
BHC/IHC/SLHC
ID
scenario
Net Current
Exposure
Stressed Net
Stressed Net
Current Exposure Current Exposure
BHC/IHC/SLHC
FR Scenario
scenario
(Severely Adverse)
Total Notional
New Notional
During
Quarter
Weighted
Average
Maturity
Position Mark‐
to‐Market
DRAFT
consolidated/pa
CVA Data
Consolidated/P
arent
Counterparty
ID
Total Net
Collateral
CVA
Stressed CVA
FR Scenario
and FR
Specification
(Severely
Adverse)
Credit Mitigants
Stressed CVA
BHC/IHC/SLHC
Scenario and
specification
Credit Support
Annex in place?
%
Gross Current
Exposure with
CSAs
Credit Hedges
Downgrade
Single Name
trigger
Credit Hedges
modeled?
DRAFT
Sub‐schedule L.1.b.1 Top consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Scenario Stressed CVA for the CCAR quarte
$ Millions
Counterparty identifiers
Consolidated/P
Consolidated/P
Counterparty
arent
Counterparty Legal
Rank
arent
Legal Entity
Counterparty
Entity Name
Counterparty ID
Identifier (LEI)
Name
Netting Set ID
Credit Quality Data
Sub‐netting Set
ID
Industry
Code
Country
Internal
Rating
External
Rating
Exp
Gross Current
Exposure
Stressed Gross
Current Exposure
FR Scenario
(Severely Adverse)
Stressed Gross
Current
Exposure
BHC/IHC/SLHC
scenario
Net Current
Exposure
Stressed Net
Current
Exposure
FR Scenario
(Severely
Adverse)
Stressed Net
Current
Exposure
BHC/IHC/SLHC
scenario
DRAFT
Sub‐sc
$ Mill
posure and Position Data
Rank
Total Notional
New Notional
During Quarter
Credit mitigants
Weighted
Average
Maturity
Position Mark‐to
Market
Total Net
Collateral
CVA
Stressed CVA
Stressed CVA
FR Scenario and FR BHC/IHC/SLHC
Specification
Scenario and
(Severely Adverse)
specification
Credit
Support
Annex in
place?
Credit Hedges
%
Single Name
Gross Current Downgrade trigger
Credit
Exposure with
modeled?
Hedges
CSAs
DRAFT
Sub‐schedule L.1.e ‐ Aggregate CVA data by ratings and collateralization
$ Millions
Sub‐schedule L.1.e.1 Aggregate CVA data
Ratings Category
Internal
Rating
N/A
External Rating
Exposure Data
Stressed
Stressed
Gross Current
Gross Current
Net Current
Stressed Gross
Exposure
Gross Current
Exposure to
Gross Current
Exposure
Current Exposure
excluding
Exposure
CCPs
Exposure to
excluding
BHC/IHC/SLHC
CCPs
excluding
FR Scenario
CCPs
CCPs
scenario
FR Scenario
CCPs
(Severely
(Severely
Adverse)
Adverse)
Net Current
Exposure to
CCPs
Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)
Net Current
Exposure to
CCPs
Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)
N/A
Sub‐schedule L.1.e.2 Additional/Offline CVA reserves
Reserve Type
Reserve Type
(a) Model/infrastructure limitations
(b) Trades not captured
(b.1) Fair‐valued Securities Financing Transactions (SFT)
(c) Offline reserves
(d) Funding Valuation Adjustment (if applicable)
(e) Other
Exposure Data
Stressed
Stressed
Gross Current
Gross Current
Net Current
Stressed Gross
Exposure
Gross Current
Exposure to
Gross Current
Exposure
Current Exposure
excluding
Exposure
CCPs
Exposure to
excluding
BHC/IHC/SLHC
CCPs
excluding
FR Scenario
CCPs
CCPs
scenario
FR Scenario
CCPs
(Severely
(Severely
Adverse)
Adverse)
DRAFT
CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification
CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)
Single Name Credit
Hedges
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification
Single Name Credit
Hedges
DRAFT
Sub‐schedule L.1.e.3 Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category
Exposure Data
Stressed
Stressed
Gross Current
Gross Current
Net Current
Stressed Gross
Exposure
Gross Current
Exposure to
Gross Current
Exposure
Current Exposure
excluding
Internal
Exposure
CCPs
Exposure to
External Rating
excluding
BHC/IHC/SLHC
CCPs
Rating
excluding
FR Scenario
CCPs
CCPs
scenario
FR Scenario
CCPs
(Severely
(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
Exposure Data
Stressed
Stressed
Gross Current
Gross Current
Net Current
Stressed Gross
Exposure
Gross Current
Exposure to
Gross Current
Exposure
Current Exposure
excluding
Internal
Exposure
CCPs
Exposure to
External rating
excluding
BHC/IHC/SLHC
CCPs
rating
excluding
FR Scenario
CCPs
CCPs
scenario
FR Scenario
CCPs
(Severely
(Severely
Adverse)
Adverse)
Net Current
Exposure to
CCPs
Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)
Net Current
Exposure to
CCPs
Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)
DRAFT
CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification
CVA Data
Stressed
Net Current
Exposure
to CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario
CVA
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)
Single Name Credit
Hedges
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification
Single Name Credit
Hedges
DRAFT
Sub‐schedule L.1.f Residual counterparty summary metrics by collateralization, industry, region, and rating
$ Millions
Sub‐schedule L.1.f.1 Residual counterparties: collateralized netting sets (netting sets with a CSA agreement in place)
Counterparty Attributes
Industry Code
Region
Internal
Rating
Exposure Data
Stressed
Stressed
Gross Current
Gross Current
Net Current
Exposure
Gross Current
Stressed Gross
Exposure to
Gross Current
Exposure
excluding
Exposure
External
Current Exposure
CCPs
Exposure to
excluding
CCPs
excluding
Rating
FR Scenario BHC/IHC scenario
CCPs
CCPs
FR Scenario
CCPs
(Severely
(Severely
Adverse)
Adverse)
Sub‐schedule L.1.f.2 Residual counterparties: uncollateralized netting sets
Counterparty Attributes
Industry Code
Region
Internal
Rating
Exposure Data
Stressed
Stressed
Gross Current
Gross Current
Exposure
Gross Current
Net Current
Stressed Gross
Exposure to
Gross Current
excluding
Exposure
External
Current Exposure Exposureexclu
CCPs
Exposure to
CCPs
excluding
Rating
ding CCPs
FR Scenario BHC/IHC scenario
CCPs
FR Scenario
CCPs
(Severely
(Severely
Adverse)
Adverse)
DRAFT
CVA Data
Net Current
Exposure to
CCPs
Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)
Net Current
Exposure to
CCPs
Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)
Stressed
Net Current
Stressed
Exposure
Net Current Exposure
to CCPs
BHC/IHC/SLHC
FR Scenario
Scenario
(Severely
Adverse)
CVA
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification
CVA Data
Stressed
Net Current
Stressed
Exposure
Net Current Exposure
to CCPs
BHC/IHC/SLHC
FR Scenario
Scenario
(Severely
Adverse)
CVA
Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)
Single Name Credit
Hedges
Credit Hedges
Stressed CVA
BHC/IHC/SLHC
Scenario and
Specification
Single Name Credit
Hedges
DRAFT
Sub‐schedule L.2.a EE profile by counterparty: Top consolidated/parent counterparties comprising 95% of firm unstressed CVA, ranked by unstressed CVA
$ Millions
Counterparty Identifiers
Rank
Consolidated/ Consolidated/
Sub‐netting
Counterparty
Netting Set ID
Counterparty Legal
Parent
Parent
Set ID
Legal Entity
Entity Name
Counterparty Counterparty
Identifier (LEI)
ID
Name
CVA Inputs
Industry
Code
Country
Internal Rating
External
Rating
Expected
Loss
Tenor Exposure (EE) ‐ Marginal
Given
Bucket in BHC/IHC/SLH Probability of Default
Years
(LGD)
Default (PD)
C
(CVA)
Specification
Discount
Factor
Stressed
Expected
Exposure
(EE) ‐ FR
Scenario
and FR
Specificati
on
(Severely
Adverse)
DRAFT
ofile by counte
Stressed CVA Inputs
Consolidated/
Parent
Counterparty
ID
Stressed Loss
Stressed
Stressed Loss
Stressed Loss
Stressed Expected Stressed Marginal Stressed Marginal
Stressed Discount
Stressed Loss
Given Default
Discount
Given Default
Given Default
Expected
Probability of
Exposure (EE) ‐
Factor
Given Default (PD)
(LGD) (CVA)
Factor
(PD)
(LGD) (CVA)
Exposure (EE)
Default (PD) FR
BHC/IHC/SLHC
FR Scenario
FR Scenario
FR Scenario
BHC/IHC/SLH
BHC/IHC/SLHC
BHC/IHC/SLHC
Scenario and Scenario (Severely BHC/IHC/SLHC
(Severely Adverse)
(Severely Adverse)
(Severely
C Scenario
Scenario
Scenario
Scenario
Adverse)
Specification
Adverse)
DRAFT
Sub‐schedule L.2.b EE profile by counterparty: Top consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Scenario
$ Millions
Counterparty Identifiers
Rank
Consolidated/Pare
Counterparty
Sub‐netting
Consolidated/Pare Counterparty Legal
Netting Set ID
nt Counterparty
Legal Entity
Set ID
nt Counterparty ID
Entity Name
Name
Identifier (LEI)
Industry
Code
Country
Internal Rating
External
Rating
Tenor
Bucket in
Years
DRAFT
e by counterparty: o Stressed CVA for the CCAR quarter
CVA Inputs
Loss
Expected
Given
Exposure (EE) ‐ Marginal
Consolidated/Pare
BHC/IHC/SLH Probability of Default
nt Counterparty ID
(LGD)
Default (PD)
C
(CVA)
Specification
Discount
Factor
Stressed CVA Inputs
Stressed
Expected
Stressed Loss
Stressed
Exposure
Stressed Loss
Stressed Loss
Stressed Marginal Stressed Marginal
Given Default
Expected
(EE) ‐ FR
Given Default
Given Default
Probability of
Probability of
(LGD) (CVA)
Scenario Exposure (EE) ‐
(LGD) (PD) FR
(LGD) (CVA)
Default (PD)
Default (PD) FR
FR Scenario
BHC/IHC/SLHC
and FR
Scenario
BHC/IHC/SLHC
Scenario (Severely BHC/IHC/SLHC
(Severely
Specificati Scenario and
(Severely Adverse)
Scenario
Scenario
Adverse)
Adverse)
Specification
on
(Severely
Adverse)
Stressed
Stressed Loss
Stressed Discount
Discount
Given Default
Factor
Factor
(PD)
FR Scenario
BHC/IHC/SLH
BHC/IHC/SLHC
(Severely Adverse)
C Scenario
Scenario
DRAFT
Sub‐schedule L.3.a Credit quality by counterparty: Top consolidated/parent counterparties ranked by CVA comprising 95% of firm unstressed CVA, ranked by unstressed CVA
Counterparty and Time Identifiers
Rank
Consolidated/P Consolidated/
Counterparty
Sub‐netting
Parent
Counterparty
Netting Set ID
arent
Legal Entity
Set ID
Counterparty Counterparty Legal Entity Name
Identifier (LEI)
ID
Name
Industry
Code
Country
Internal
Rating
Market
External Time period
spread
Rating
(years)
(bps)
DRAFT
quality by cou
Data Inputs
Stressed
Spread
Consolidated/
spreads Stressed spreads
Spread (bps) used
(bps)
Parent
(bps)
adjustme in CVA
BHC/IHC/SLHC
Counterparty
FR
nt (bps) calculatio
Scenario
ID
Scenario
n
(Severely
Type of Credit Quality Input
Mapping
approach
Proxy
mapping
approach
Proxy
name
Market
Ticker /
input
identifier
type
Source
Report (Bloomber Commen
date
g, Markit,
ts
KMV, etc.)
DRAFT
Sub‐schedule L.3.b Credit quality by counterparty: Top consolidated/parent counterparties comprising 95% of firm stressed CVA, ranked by Federal Reserve Severely Adverse Scen
Counterparty and Time Identifiers
Rank
Consolidated/P Consolidated/
Counterparty
Sub‐netting
Parent
Counterparty
arent
Legal Entity Netting Set ID
Set ID
Counterparty Counterparty Legal Entity Name
Identifier (LEI)
ID
Name
Industry
Code
Country
Internal
Rating
Market
External Time period
spread
Rating
(years)
(bps)
DRAFT
t quality by cou
nario Stressed CVA for the CCAR quarter
Data Inputs
Stressed
Spread
Consolidated/
spreads Stressed spreads
Spread (bps) used
(bps)
Parent
(bps)
adjustme in CVA
BHC/IHC/SLHC
Counterparty
FR
nt (bps) calculatio
Scenario
ID
Scenario
n
(Severely
Type of Credit Quality Input
Mapping
approach
Proxy
mapping
approach
Proxy
name
Market
Ticker /
input
identifier
type
Source
Report (Bloomber Commen
date
g, Markit,
ts
KMV, etc.)
DRAFT
Sub‐schedule L.4 Aggregate and Top CVA sensitivities by Risk Factor
L.4.a Aggregate CVA sensitivities by Risk Factor
L.4.b Top 10 Consolidated Counterparies 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
+1bp
+10bps
+100bps
DRAFT
Top 10 CVA Sensitivities by Risk Factors
+1bp
+1bp
<>
<>
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
<>
<>
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
+1bp
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
DRAFT
All maturities
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 <>
DRAFT
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
+1%
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
<>
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<