Form FR Y-14Q FR Y-14Q Capital Assessments and Stress Testing (Quarterly)

FR Y‐14Q Schedule M ‐ Balances

Institution Name:
RSSD ID: 
Date of Data Submission:

FR Y‐14Q Schedule M.1 ‐ Balances
In Domestic Offices
Column A
HFI at AC

1. Loans secured by real estate
a. Residential real estate (1‐4 family)
(1) Closed‐end first liens
(a) First mortgages..................................................................................
(b) First lien HELOANs.............................................................................
(2) Revolving and junior liens
(a) Junior lien HELOANs...........................................................................
(b) HELOCs...............................................................................................
b.  Commercial real estate
(1) Construction and land development....................................................
(2) Multifamily real estate.........................................................................
(3) Nonfarm nonresidential
(a) Owner‐occupied.................................................................................
(b) Non‐owner‐occupied.........................................................................
c. Secured by farmland.................................................................................
2. C&I Loans
a. Graded......................................................................................................
b. Small business..........................................................................................
c. SME cards and corporate cards................................................................
3. Credit Cards
a. Bank cards.................................................................................................
b. Charge cards.............................................................................................
4. Other loans and leases
a. Auto loans.................................................................................................
b. Student loans............................................................................................
c.  Non‐purpose lending................................................................................
d. Auto leases...............................................................................................
e. Other consumer loans..............................................................................
f. Other consumer leases..............................................................................
5. Other commercial loans and leases
a. Loans to foreign governments..................................................................
b. Agricultural loans......................................................................................
c. Securities lending......................................................................................
d. Loans to financial institutions...................................................................
e. Other commercial loans............................................................................
f. Other commercial leases...........................................................................
6. Purchased credit card relationships and nonmortgage servicing assets.....

In International Offices
Column B
HFS/FVO

Column C
HFI at AC

Column D
HFS/FVO

CALBP328
CALBP332

CALBP329
CALBP333

CALBP330
CALBP334

CALBP331
CALBP335

CALBP336
CALBP340

CALBP337
CALBP341

CALBP338
CALBP342

CALBP339
CALBP343

CALBP344
CALBP348

CALBP345
CALBP349

CALBP346
CALBP350

CALBP347
CALBP351

CALBP352
CALBP356
CALBP360

CALBP353
CALBP357
CALBP361

CALBP354
CALBP358
CALBP362

CALBP355
CALBP359
CALBP363

CALBP364
CALBP368
CALBP880

CALBP365
CALBP376
CALBP881

CALBP366
CALBP837
CALBP883

CALBP367
CALBP876
CALBP901

CALBP912
CALBR659

CALBP919
CALBR660

CALBR657
CALBR661

CALBR658
CALBR662

CALBR663
CALBR667
CALBR671
CALBR675
CALBR679
CALBR683

CALBR664
CALBR668
CALBR672
CALBR676
CALBR680
CALBR684

CALBR665
CALBR669
CALBR673
CALBR677
CALBR681
CALBR685

CALBR666
CALBR670
CALBR674
CALBR678
CALBR682
CALBR686

CALBR687
CALBR691
CALBR695
CALBR699
CALBR703
CALBR707
CALBLF14

CALBR688
CALBR692
CALBR696
CALBR700
CALBR704
CALBR708
CALBLF15

CALBR689
CALBR693
CALBR697
CALBR701
CALBR705
CALBR709
CALBLF16

CALBR690
CALBR694
CALBR698
CALBR702
CALBR706
CALBR710
CALBLF17

FR Y‐14Q Schedule M.2 ‐ FR Y‐9C Reconciliation
In Consolidated Offices
Column A
HFI at AC

1. Small business loans
a. Reported in Y‐9C, HC‐C line 2.a and 2.b..........................
b. Reported in Y‐9C, HC‐C line 3.........................................
c. Reported in Y‐9C, HC‐C line 4.a and 4.b..........................
d. Reported in Y‐9C, HC‐C line 7.........................................
e. Reported in Y‐9C, HC‐C line 9.a.......................................
f. Reported in Y‐9C, HC‐C line 9.b.(2)..................................
g. Reported in Y‐9C, HC‐C line 10.b.....................................
2. SME cards and corporate cards
a. Reported in Y‐9C, HC‐C line 4.a and 4.b..........................
b. Reported in Y‐9C, HC‐C line 6.a.......................................
c. Reported in Y‐9C, HC‐C line 6.b.......................................
d. Reported in Y‐9C, HC‐C line 6.d......................................
e. Reported in Y‐9C, HC‐C line 9.b.(2).................................
3. Charge cards
a. Reported in Y‐9C, HC‐C line 6.a.......................................
b. Reported in Y‐9C, HC‐C line 6.d......................................
4. Student loans
a. Reported in Y‐9C, HC‐C line 6.b.......................................
b. Reported in Y‐9C, HC‐C line 6.d......................................
5. Non‐purpose lending
a. Reported in Y‐9C, HC‐C line 6.b.......................................
b. Reported in Y‐9C, HC‐C line 6.d......................................

Column B
HFS/FVO

CALBR711
CALBR713
CALBR715
CALBR717
CALBR719
CALBR723
CALBR725

CALBR712
CALBR714
CALBR716
CALBR718
CALBR720
CALBR724
CALBR726

CALBR727
CALBR729
CALBR731
CALBR733
CALBR735

CALBR728
CALBR730
CALBR732
CALBR734
CALBR736

CALBR737
CALBR739

CALBR738
CALBR740

CALBR741
CALBR743

CALBR742
CALBR744

CALBR745
CALBR747

CALBR746
CALBR748

FR Y‐14 Schedule M.3 ‐ Unpaid Principal Balance of Retail Loans in Domestic Offices Held for Investment at Amortized Cost by Purchase Credit 
Impairment
HFI at AC, non‐PCI (1)

Part I ‐ Book Value and UPB 
1. Loans secured by real estate
a. Residential real estate (1‐4 family)
(1) Closed‐end first liens
(a) First mortgages............................................................
(b) First lien HELOANs.......................................................
(2) Revolving and junior liens
(a) Junior lien HELOANs....................................................
(b) HELOCs........................................................................
2. Credit Cards
a. Bank cards.........................................................................
b. Charge cards......................................................................
3. Other consumer loans and leases
a. Auto loans..........................................................................
b. All other consumer loans and leases..................................
Part II ‐‐ Cumulative Interim Loan Losses (2)
1. First Lien Mortgages (in Domestic Offices)............................
 a. Cumulative Interim Loan Losses ‐‐ Non‐PCI ......................
 b. Cumulative Interim Loan Losses ‐‐ PCI...............................
 c. Cumulative Interim Loan Losses........................................
2. First Lien HELOANs (in Domestic Offices)..............................
 a. Cumulative Interim Loan Losses ‐‐ Non‐PCI.......................
 b. Cumulative Interim Loan Losses ‐‐ PCI...............................
 c. Cumulative Interim Loan Losses........................................
3. Closed‐End Junior Liens (in Domestic Offices).......................
 a. Cumulative Interim Loan Losses ‐‐ Non‐PCI.......................
 b. Cumulative Interim Loan Losses ‐‐ PCI...............................

HFI at AC, PCI (1)

Column A

Column B

Column C

Column D

Book Value

UPB

Book Value

UPB

CALBR751
CALBR755

CALBR752
CALBR756

CALBR753
CALBR757

CALBR754
CALBR758

CALBR759
CALBR763

CALBR760
CALBR764

CALBR761
CALBR765

CALBR762
CALBR766

CALBR767
CALBR771

CALBR768
CALBR772

CALBR769
CALBR773

CALBR770
CALBR774

CALBR775
CALBR779

CALBR776
CALBR780

CALBR777
CALBR781

CALBR778
CALBR782

CASRP387
CASRP388
CASRKY25
CASRP395
CASRP396
CASRKY26

CASRP403
CASRP404
 c. Cumulative Interim Loan Losses........................................ CASRKY27

4. HELOCs (in Domestic Offices)...............................................
 a. Cumulative Interim Loan Losses ‐‐ Non‐PCI....................... CASRP413
 b. Cumulative Interim Loan Losses ‐‐ PCI............................... CASRP414
 c. Cumulative Interim Loan Losses........................................ CASRKY28
5. First Lien Mortgages and HELOANs (International)...............
 a. Cumulative Interim Loan Losses ‐‐ Non‐PCI....................... CASRP421
 b. Cumulative Interim Loan Losses ‐‐ PCI............................... CASRP422
 c. Cumulative Interim Loan Losses........................................ CASRKY29
6. Closed‐End Junior Liens and HELOCs (International).............
 a. Cumulative Interim Loan Losses ‐‐ Non‐PCI....................... CASRP429
 b. Cumulative Interim Loan Losses ‐‐ PCI............................... CASRP430
 c. Cumulative Interim Loan Losses........................................ CASRKY30
(1) Institutions that have adopted ASU 2016‐13 should report the UPB and book value of loans that are non‐PCD in Columns A and B, and that are PCD
     in columns C and D.
 (2) Institutions that have not adopted ASU 2016‐13 should only report values in items a. and b. for each mortgage type. Institutions that have adopted ASU 2016‐13 should only report values in item c. for each mortgage typ

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: 9/17/20 10:19 AM

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
Counterparty 
Sub‐netting 
Parent 
arent 
Counterparty 
Netting Set ID 
Legal Entity 
Set ID  Industry Code
Counterparty  Counterparty  Legal Entity Name
Identifier (LEI)
Name
ID

Credit Quality Data

Country

Stressed 
Gross Current  Stressed Gross 
Gross 
Internal  External 
Exposure 
Current Exposure 
Current 
Rating
Rating
FR Scenario 
BHC/IHC/SLHC 
Exposure
(Severely 
scenario
Adverse)

Exposure and Position Dat

Net Current 
Exposure

Stressed Net 
Stressed Net 
Current Exposure  Current Exposure 
BHC/IHC/SLHC 
FR Scenario 
scenario
(Severely Adverse)

consolidated/p

ta
Consolidated/P
arent 
Counterparty 
ID

CVA Data

Total Notional

New Notional 
During 
Quarter

Weighted 
Average 
Maturity

Position Mark‐
to‐Market

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? 

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

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

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 
Gross Current 
Exposure 
Stressed Gross 
Net Current 
Gross Current 
Exposure to 
Exposure 
excluding 
Current Exposure 
Exposure 
Exposure to 
CCPs 
excluding 
CCPs 
BHC/IHC/SLHC 
excluding 
CCPs
FR Scenario 
CCPs
FR Scenario 
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 
Stressed Gross 
Net Current 
Gross Current 
Exposure 
Gross Current 
Exposure to 
Current Exposure 
Exposure 
Exposure 
excluding 
Exposure to 
CCPs 
BHC/IHC/SLHC 
excluding 
excluding 
CCPs 
CCPs
FR Scenario 
scenario
CCPs
CCPs
FR Scenario 
(Severely 
(Severely 
Adverse)
Adverse)

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

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 
Stressed Gross 
Net Current 
Gross Current 
Exposure 
Gross Current 
Exposure to 
Internal 
Current Exposure 
Exposure 
Exposure 
excluding 
External Rating
Exposure to 
CCPs 
Rating
BHC/IHC/SLHC 
excluding 
excluding 
CCPs 
CCPs
FR Scenario 
scenario
CCPs
CCPs
FR Scenario 
(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 
Exposure 
Stressed Gross 
Net Current 
Gross Current 
Gross Current 
Exposure to 
excluding 
Internal 
Current Exposure 
Exposure 
Exposure 
Exposure to 
CCPs 
External rating
excluding 
CCPs 
rating
BHC/IHC/SLHC 
excluding 
CCPs
FR Scenario 
CCPs
FR Scenario 
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)

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

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 
Gross Current 
Exposure 
Net Current 
Gross Current 
Exposure to 
Stressed Gross 
External 
Exposure 
excluding 
Exposure 
Exposure to 
CCPs 
Current Exposure 
Rating
excluding 
CCPs 
excluding 
CCPs
FR Scenario  BHC/IHC scenario
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 
Gross Current 
Exposure 
Gross Current 
Exposure to 
Stressed Gross 
Net Current 
External 
Exposure 
excluding 
Exposure to 
CCPs 
Current Exposure  Exposureexclu
Rating
excluding 
CCPs 
CCPs
FR Scenario  BHC/IHC scenario
ding CCPs
CCPs
FR Scenario 
(Severely 
(Severely 
Adverse)
Adverse)

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

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)

ofile by counte

Stressed CVA Inputs

Consolidated/
Parent 
Counterparty 
ID

Stressed Loss 
Stressed Expected  Stressed Marginal  Stressed Marginal 
Stressed 
Stressed Loss 
Stressed Loss 
Stressed Discount 
Given Default 
Stressed Loss 
Exposure (EE)  ‐ 
Given Default  
Probability of 
Expected 
Discount 
Given Default 
Factor 
(LGD) (CVA) 
Given Default  (PD) 
BHC/IHC/SLHC 
(PD) 
Default (PD) FR 
Exposure (EE) 
Factor 
(LGD) (CVA) 
FR Scenario
FR Scenario 
FR Scenario 
Scenario and  Scenario (Severely  BHC/IHC/SLHC 
BHC/IHC/SLHC 
BHC/IHC/SLH
BHC/IHC/SLHC 
(Severely Adverse)
(Severely 
(Severely Adverse)
Specification
Scenario
Adverse)
Scenario
C Scenario
Scenario
Adverse)

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

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

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/
Sub‐netting 
Counterparty 
Netting Set ID 
Parent 
Counterparty 
arent 
Set ID 
Legal Entity 
Counterparty  Counterparty  Legal Entity Name
Identifier (LEI)
ID
Name

Industry 
Code

Country

Internal 
Rating

Market 
External  Time period 
spread 
Rating
(years)
(bps)

quality by cou
Data Inputs
Stressed 
Spread 
Consolidated/
spreads  Stressed spreads 
Spread  (bps) used 
Parent 
(bps) 
(bps) 
adjustme in CVA 
Counterparty 
BHC/IHC/SLHC 
FR 
nt (bps) calculatio
ID
Scenario
Scenario 
n
(Severely 

Type of Credit Quality Input

Mapping 
approach

Proxy 
mapping 
approach

Proxy 
name

Market 
Ticker / 
input 
identifier
type

Source 
Report  (Bloomber
Comments
date
g, Markit, 
KMV, etc.)

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)

t quality by cou
nario Stressed CVA for the CCAR quarter
Data Inputs
Stressed 
Spread 
Consolidated/
spreads  Stressed spreads 
Spread  (bps) used 
Parent 
(bps) 
(bps) 
adjustme in CVA 
Counterparty 
BHC/IHC/SLHC 
FR 
nt (bps) calculatio
ID
Scenario
Scenario 
n
(Severely 

Type of Credit Quality Input

Mapping 
approach

Proxy 
mapping 
approach

Proxy 
name

Market 
Ticker / 
input 
identifier
type

Source 
Report  (Bloomber
Comments
date
g, Markit, 
KMV, etc.)

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

Top 10 CVA Sensitivities by Risk Factors
+1bp
+1bp
<>
<>
<>
<>

+1bp
<>
<>

+1bp
<>
<>

+1bp
<>
<>

+1bp
<>
<>

+1bp
<>
<>

+1bp
<>
<>

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

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  <>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

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

‐50%

‐10%

+1%

+10%

+100%

+300%

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

Oil & Oil Products

Natural Gas

Power

Coal & Freight

Softs & Ags

Precious Metals

Base Metals
Other material commodity sensitivities
<>
<>
Other material sensitivities
<>
<>
<>
<>
<>
<>

‐50%

‐10%

+1%

+10%

+50%

+100%

+1%

+1%

‐50%

‐10%

+1%

+10%

+50%

+100%

+1%

+1%

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

+1%
<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

<>
<>

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

+1%

Sub‐schedule L.5 ‐ Derivatives and Securities Financing Transactions (SFT) profile: All CCPs and G7 sovereigns + Top 25 non‐CCP/G7 SFT and derivative counterparties 
$ Millions

Sub‐schedule L.5.1 ‐ Derivative and SFT information by counterparty legal entity and netting set/agreement 
Counterparty, Netting Agreement identifiers

Rank 
Methodology

NA
NA
NA
NA
NA
NA
QCCP
NQCCP
G7
…

Rank

1
1
1
24
24
25
QCCP
NQCCP
G7

Consolidated/Parent 
Counterparty Name 

CPName1
CPName1
CPName1
CPName24
CPName24
CPName25
 Qualifying CCP name
Non‐Qualifying CCP name
G7 Counterparty name

Consolidated/ 
Parent Entity  
Counterparty ID 

CP1
CP1
CP1
CP24
CP24
CP25
QCCP_1
NQCCP_1
G7_1

Counterparty Legal Entity Name

CP1_LE_Name1
CP1_LE_Name1
CP1_LE _Name2
CP24_LE_Name1
CP24_LE_Name2
CP25_LE_Name1
QCCP_1_LE_Name1
NQCCP_1_LE_Name1
G7_1_LE_Name1

Counterparty Legal Entity 
Identifier (LEI)

CP_1_LE_1
CP_1_LE_1
CP_1_LE_2
CP_24_LE_1
CP_24_LE_2
CP_25_LE_1
QCCP_1_LE_1
NQCCP_1_LE_1
G7_1_LE_1

Netting Set ID

NS1_1_1
NS1_1_2
NS1_2_1
NS24_1_1
NS24_2_1
NS25_1_1
NS26_QCCP_1_1
NS28_NQCCP_1_1
NS27_G7_1_1

 Industry Code

Country

Netting Agreement Details

Internal Rating

External Rating

Agreement Type

Derivatives 1‐way CSA
Derivatives no CSA
SFT Repo
SFT Sec Lending
SFT Cross‐product 
SFT Derivatives Cross‐product
…

Agreement Role

NA
NA
Principal
Principal
Agent
Agent

Legal 
 Initial Margin 
Enforceability

Non‐cash 
collateral 
type

Excess 
Variation  Default Fund 
Threshold 
Threshold CP
Margin (for  (for CCPs)
BHC/IHC/SLHC
CCPs)

Netting Agreement Details

Minimum 
Transfer 
Amount CP

Minimum 
Transfer Amount 
BHC/IHC/SLHC

Margining 
frequency

CSA contractual 
features (non‐
vanilla)

Current Exposure

WWR position

None
None
None
None
None
Specific
General

Total Net 
Current 
Exposure

Total Stressed 
Net Current 
Exposure 
FR Scenario
(Severely 
Adverse)

Stressed Net 
Current 
Net Current  Exposure SFTs 
Exposure SFTs FR scenario 
(Severely 
Adverse)

Position Mark‐to‐Market Values

Net Current 
Exposure 
Derivatives

Stressed Net 
Current Exposure 
Derivatives 
FR scenario 
(Severely Adverse)

Unstressed Mark‐
Unstressed Mark‐to‐
to‐Market 
Market Posted (SFTs)
(Derivatives)

Unstressed 
Mark‐to‐
Market  
Received 
(SFTs)

Stressed Mark‐to‐
Market 
(Derivatives)   
FR scenario 
(Severely Adverse)

Stressed Mark‐
to‐Market 
 Posted (SFTs)   
FR scenario 
(Severely 
Adverse)

Position Mark‐to‐Market Values
Stressed 
Mark‐to‐
Market 
 Received 
(SFTs)   
FR scenario 
(Severely 
Adverse)

Unstressed Mark‐to‐Market Cash Collateral (Derivatives)

USD

EUR

GBP

JPY

Other

Total Unstressed 
Mark‐to‐Market 
Collateral 
(Derivatives)

Stressed Mark‐to‐Market Cash Collateral (Derivatives) 
FR scenario 
(Severely Adverse)

USD

EUR

GBP

JPY

Other

Credit Quality and CDS Hedges
Total Stressed 
Mark‐to‐
Market 
Collateral 
(Derivatives) 
FR scenario 
(Severely 
Adverse)
USD

EUR

GBP

JPY

Other

CDS 
Reference 
Entity Type

  5Y CDS 
Spread 
(bp)

Stressed 
CVA 
 Wrong 
CDS Hedge 
FR 
Way Risk 
Notional scenario 
hedge?
(Severely 
Adverse)

Sub‐schedule L.5.2 ‐ SFT assets posted and received by counterparty legal entity and netting set/agreement and asset category
Counterparty identifiers

Rank 
Methodology

Rank

Consolidated/Parent 
Counterparty Name 

Consolidated / 
Parent Entity  
Counterparty ID 

 Counterparty Legal Entity Name

Unstressed Mark‐to‐Mark

Counterparty Legal Entity 
Identifier (LEI) 

Cent
Mark‐to‐M

Netting Set ID

United States

NA
NA
QCCP
NQCCP
NQCCP
NA

1
1
QCCP
NQCCP
NQCCP
2

CPName1
CPName1
CPName2
CPName3
CPName3
CPName4

CP1
CP1
CP2
CP3
CP3
CP4

CP1_Legal_Ent_1
CP1_Legal_Ent_1
CP2_Legal_Ent_1
CP3_Legal_Ent_1
CP3_Legal_Ent_2
CP4_Legal_Ent_2

Germany

NA1_1_1
NA1_1_2
NA2_1_1
NA3_1_1
NA3_2_1
NA4_1_1

Sub‐schedule L.5.3 ‐ Aggregate SFTs by Internal Rating
Repo and Reverse 
Date
Ratings 
Exposure Data 

US Treasury

Category

Internal rating

External 
rating

Net Current Exposure 

Stressed Net Current 
Exposure 
FR scenario (Severely 
Adverse)

Stressed Net Current 
Exposure 
BHC scenario

Indemnified 
Securities Lent 
(Notional Balance)

Indemnified Cash 
Collateral Reinvestment
(Notional Balance)

Posted

ket (Posted) by Asset category

Unstressed Mark‐to‐Market (Posted) by Asset category

tral Debt  
Market (Posted)

United Kingdom 
& France

Central Debt  
Mark‐to‐Market (Posted)

Other Eurozone

Japan

Corporate Bonds ‐ 
Advanced Economies 
Mark‐to‐Market (Posted)

Equity 
Mark‐to‐Market (Posted)

Other

US

CAD

UK

Eurozone

Other 
Economies 
(specify)

IG

Sub‐IG

Repo ‐ Gross Value of Instruments on Reporting 
Repo and Reverse Repo ‐ Gross Value of Instruments on Reporting Date
y & Agency

Received

Agency MBS

Agency MBS

Posted

Received

Equities

Posted

Corporate Bonds

Received

Posted

Received

Non‐Agency (ABS, RMBS)

Posted

Received

Sovereigns

Posted

Received

Unstressed Mark‐to‐Market (Posted) by Asset category

Corporate Bonds ‐ 
Other Economies 
Mark‐to‐Market (Posted)

IG

Sub‐IG

Exchange‐Traded Funds 
Mark‐to‐Market (Posted)

Equity

Fixed Income

US Agency MBS/CMBS 
Mark‐to‐Market (Posted)

Pass‐Throughs

Other (specify)

Posted

Cash (+/‐)

Received

Posted

Received

IG

Sub‐IG

USD

EUR

Securities Lending and Borrowing ‐ Gross Value of Instruments

Repo and Reverse Repo ‐ Gross Value of Instruments on Reporting Date
Other

Non‐Agency RMBS/ABS/CMBS 
Mark‐to‐Market (Posted)

US Treasury & Agency

Posted

Received

Agency MBS

Posted

Received

Equities

Posted

Received

Unstressed Mark‐to‐Market (Posted) by Asset Category

Cash 
Mark‐to‐Market (Posted)

GBP

Central Debt  
Mark‐to‐Market (Received)

Other Mark‐to‐Market (Posted)

JPY

Other (specify)

Inflation‐
indexed 
securities

 on Reporting Date

Commercial paper

Municipal Bonds

Other (specify)

United States

United 
Kingdom & 
France

Germany

Securities Lending and Borrowing ‐ Gross Value of Instruments on Reporting Date

Corporate Bonds

Posted

Unstressed Mark‐to‐Market (Received) by Asset cate

Received

Non‐Agency (ABS, RMBS)

Posted

Received

Sovereigns

Posted

Other

Received

Posted

Cash

Received

Posted

Received

Other 
Eurozone

gory

Unstressed Mark‐to‐Market (Received) by Asset category

Corporate Bonds ‐ 
Advanced Economies 
Mark‐to‐Market (Received)

Equity 
Mark‐to‐Market (Received)

Japan

Other

US

CAD

UK

Eurozone

Other Economies 
(specify)

IG

Sub‐IG

Corporate Bonds ‐ 
Other Economies 
Mark‐to‐Market (Received)

IG

Sub‐IG

Exchange‐Traded Funds 
Mark‐to‐Market (Received)

Equity

Fixed Income

Unstressed Mark‐to‐Market (Received) by Asset category

US Agency MBS/CMBS 
Mark‐to‐Market (Received)

Pass‐Throughs

Other (specify)

Cash 
Mark‐to‐Market (Received)

Non‐Agency RMBS/ABS/CMBS 
Mark‐to‐Market (Received)

IG

Sub‐IG

USD

EUR

GBP

Other 
Mark‐to‐Market (Received)

JPY

Other 
(specify)

Inflation‐
Commerci Municipal  Other 
indexed 
al paper
Bonds
(specify)
securities

United 
States

Stressed Mark‐to‐Market (Posted) by Asset category ‐ FR Scenario (Severely Adverse)
Central Debt  
Stressed Mark‐to‐Market (Posted)
FR Scenario 
(Severely Adverse)

United 
Other 
Germany Kingdom 
Eurozone
& France

Japan

Equity 
Stressed Mark‐to‐Market (Posted)
FR Scenario 
(Severely Adverse)

Other

US

CAD

UK

Other 
Eurozone Economies 
(specify)

Corporate Bonds ‐ 
Corporate Bonds ‐ 
Advanced Economies 
Other Economies 
Stressed Mark‐to‐Market  Stressed Mark‐to‐Market 
(Posted)
(Posted)
FR Scenario 
FR Scenario 
(Severely Adverse)
(Severely Adverse)

IG

Sub‐IG

IG

Sub‐IG

Stressed Mark‐to‐Market (Posted) by Asset category ‐ FR Scenario (Severely Adverse)
Exchange‐Traded Funds 
US Agency MBS/CMBS 
Stressed Mark‐to‐Market  Stressed Mark‐to‐Market 
(Posted)
(Posted)
FR Scenario 
FR Scenario 
(Severely Adverse)
(Severely Adverse)

Equity

Fixed Income Pass‐Throughs

Other 
(specify)

Non‐Agency 
RMBS/ABS/CMBS 
Stressed Mark‐to‐
Market (Posted)
FR Scenario 
(Severely Adverse)

IG

Sub‐IG

Cash 
Stressed Mark‐to‐Market (Posted)
FR Scenario 
(Severely Adverse)

USD

EUR

GBP

JPY

Other 
Stressed Mark‐to‐Market (Posted)
FR Scenario 
(Severely Adverse)

Other

Inflation‐
Commerci Municipal Other 
indexed 
al paper
Bonds
(specify)
securities

Stressed Mark‐to‐Market (Received) by Asset category ‐ FR Scenario (Severely Adverse)
Equity 
Stressed Mark‐to‐Market (Received)
FR Scenario 
(Severely Adverse)

Central Debt  
Stressed Mark‐to‐Market (Received)
FR Scenario 
(Severely Adverse)

United 
States

United 
Germany Kingdom 
& France

Other 
Eurozone

Japan

Other

US

CAD

UK

Other 
Eurozone Economies 
(specify)

Corporate Bonds ‐ 
Corporate Bonds ‐ 
Advanced Economies 
Other Economies 
Stressed Mark‐to‐
Stressed Mark‐to‐Market 
Market (Received)
(Received)
FR Scenario 
FR Scenario 
(Severely Adverse)
(Severely Adverse)

IG

Sub‐IG

IG

Sub‐IG

Stressed Mark‐to‐Market (Received) by Asset category ‐ FR Scenario (Severely Adverse)
ETF Exchange‐Traded 
US Agency MBS/CMBS 
Funds 
Stressed Mark‐to‐
Stressed Mark‐to‐
Market (Received)
Market (Received)
FR Scenario 
FR Scenario 
(Severely Adverse)
(Severely Adverse)

Equity

Fixed 
Income

Pass‐
Throughs

Other 
(specify)

Non‐Agency 
RMBS/ABS/CMBS 
Stressed Mark‐to‐
Market (Received)
FR Scenario 
(Severely Adverse)

IG

Sub‐IG

Cash 
Stressed Mark‐to‐Market (Received)
FR Scenario 
(Severely Adverse)

USD

EUR

GBP

JPY

Other 
Stressed Mark‐to‐Market (Received)
FR Scenario 
(Severely Adverse)

Other 
(specify)

Inflation‐
Commerci Municipal  Other 
indexed 
al paper
Bonds
(specify)
securities

Sub‐schedule L.5.4 Derivative position detail by counterparty legal entity and netting set/agreement and asset category

Rank 
Methodology

Rank

Counterparty Name 

Consolidated / 
Parent Entity  
Counterparty ID 

Counterparty Legal Entity Name

Counterparty Legal Entity 
Identifier (LEI)

Netting Set ID

Unstressed Exposure Mar

Vanilla Interest Rate 
Derivatives
Unstressed Exposure 
Mark‐to‐Market

…
G7
G7
QCCP
NQCCP
NA
NA

Vanilla FX 
Derivatives 
Unstressed 
Exposure Mark‐
to‐Market

k‐to‐Market by Asset category

Vanilla 
Commodity 
(Cash) 
Vanilla Credit Derivatives
Derivatives   Unstressed Exposure Mark‐to‐
Unstressed 
Market
Exposure Mark‐
to‐Market

Unstressed Exposure Mark‐to‐Market by Asset category

Vanilla Equity Derivatives 
Unstressed Exposure Mark‐to‐
Market

Other Cash + 
Flow Exotic and 
Physical 
Structured Interest Rate 
Structured FX  Commodity 
Derivatives
Derivatives
Derivatives  
Unstressed Exposure Mark‐to‐
Unstressed 
Unstressed 
Market 
Exposure Mark‐
Exposure 
to‐Market
Mark‐to‐
Market

Structured 
Other (single 
(Multi‐name)  Exotic Equity 
Hybrids 
Structured 
name) Credit 
Credit 
Derivatives 
Derivatives 
Unstressed  Products (MBS, 
Derivatives  Unstressed 
Exposure  ABS) Unstressed 
Unstressed 
Unstressed  Exposure 
Exposure 
Mark‐to‐
Exposure Mark‐
Exposure 
Mark‐to‐
Market
to‐Market
Mark‐to‐
Mark‐to‐
Market
Market
Market

Unstressed 
Exposure Mark‐
to‐Market by 
Asset category
Stressed Exposure Mark‐to‐Market by Asset category ‐ FR Scenario (Severely Adverse)
Other Cash + 
Flow Exotic 
Other (single 
Structured 
Physical 
Vanilla Interest 
Vanilla FX 
Vanilla Credit  Vanilla Equity 
name) Credit 
Vanilla 
Interest Rate  and Structured 
Commodity 
Other 
Rate Derivatives
Derivatives 
Derivatives
Derivatives 
Derivatives 
Commodity (Cash) 
Derivatives FX Derivatives
Derivatives  
Unstressed 
Stressed 
Stressed 
Stressed 
Stressed 
Stressed 
Stressed 
Derivatives  
Stressed 
Stressed 
Exposure Mark‐ Exposure Mark‐ Exposure Mark‐
Exposure Mark‐ Exposure Mark‐
Exposure Mark‐
Stressed Exposure 
Exposure Mark Exposure Mark
Exposure Mark‐
to‐Market 
to‐Market
to‐Market
to‐Market
to‐Market
to‐Market
to‐Market
to‐Market
Mark‐to‐Market
to‐Market
(provide details,  FR Scenario 
FR Scenario
FR Scenario
FR Scenario
FR Scenario
FR Scenario
FR Scenario
FR Scenario
FR Scenario
breakdown)
(Severely 
(Severely 
(Severely 
(Severely 
(Severely 
(Severely 
(Severely 
(Severely Adverse)
(Severely 
Adverse)
Adverse)
Adverse)
Adverse)
Adverse) 
Adverse)
Adverse)
Adverse)

Stressed Exposure Mark‐to‐Market 
by Asset category ‐ FR Scenario 
(Severely Adverse)
Structured 
Structured 
(Multi‐name) 
Products (MBS, 
Other 
Credit 
Exotic Equity 
Hybrids Stressed 
ABS) 
Stressed Exposure 
Derivatives 
Derivatives 
Exposure Mark‐to‐
Stressed 
Mark‐to‐Market 
Stressed 
Stressed Exposure 
Market
Exposure Mark (provide details, 
Exposure Mark‐ Mark‐to‐Market
FR Scenario
to‐Market
breakdown)
to‐Market
FR Scenario
(Severely Adverse) FR Scenario
FR Scenario
FR Scenario
(Severely Adverse)
(Severely  (Severely Adverse)
(Severely 
Adverse)
Adverse)

FR Y‐14Q Schedule J ‐ Retail Fair Value Option/Held for Sale (FVO/HFS)

Institution Name:
RSSD ID: 
Date of Data Submission:

Instructions

1. Complete the FR Y‐14Q FVO/HFS schedule with actual data as of the most recent quarter end subsequent to the close of each quarter.
2. Complete non‐shaded cells only, using data as of the balance sheet date.

FR Y-14Q Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS): Table 1

FVO/HFS Retail Loans

1

2
3
4

5
6
7
8
9
10

Residential Loans with 
Forward Contracts to 
Federal Agencies
Residential Loans 
Repurchased from Agencies 
with FHA/VA Insurance
All Other Residential Loans 
Not Included Above
Total Residential Loans

Non‐Residential Loans with 
Forward Contracts to 
Federal Agencies
Student Loans (Not in 
Forward Contract)
Credit Card Loans (Not in 
Forward Contract)
Auto Loans (Not in Forward 
Contract)
All Other Non‐Residential 
Loans Not Included Above
Total Non‐Residential 
Loans

11

Other Retail Loans with 
Zero Principal or Interest 
Recourse to the Bank

12

Total Retail FVO/HFS Loans

(A)
Unpaid Principal 
Balance ($MM)

(B)
Carrying Value 
($MM)

FR Y‐14Q Schedule J – Retail Fair Value Option/Held for Sale (FVO/HFS): Table 2

Loan Vintage

(A)

(B)

Residential Loans in 
Forward Contract

Residential Loans 
(Repurchased with 
FHA/VA Insurance)

Carrying Value ($MM)
 (D)
 (E)
(F)
Student Loans  Credit Card 
Residential Loans  Non‐Residential Loans 
(Not in 
Loans (Not in 
Forward 
(Not in (A) or (B)) in Forward Contract
Forward 
Contract)
Contract)
(C)

Pre 2006
2007
…
Current Year
Total Fair Value 
Loans
Notes: 
1) FVO/HFS is defined as Fair Value Option/Held for Sale
2) The amount in  Column I Row 8 in Table 2 should equal the totals summed  in  Column B Row 4 and Row 10  in Table 1

(G)
Auto Loans 
(Not in 
Forward 
Contract)

(H)
All Other Non‐
Residential Loans 
Not Included in (D), 
(E), (F) or (G)

(I)
Total

FR Y‐14Q ‐ Schedule G ‐ PPNR Submission

 PPNR Submission 
Please indicate if deposits are 25% or more of total liabilities
Net Interest Income Designation Field ‐ Populated Automatically

1
1A
1B
1C
1D
1E
1F
1G
2
3
4
5
5A
5B
6
7
8
9
10
11
12

$Millions
Net Interest Income by Business Segment: (17)
Retail and Small Business
Domestic (11)
Credit and Charge Cards (10)
Mortgages
Home Equity
Retail and Small Business Deposits
Other Retail and Small Business Lending
International Retail and Small Business  (16)
Commercial Lending
Investment Banking
Merchant Banking / Private Equity
Sales and Trading
Prime Brokerage
Other [sales and trading interest income]
Investment Management
Investment Services
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)

13

Total Net Interest Income (1)

14
14A
14B
14C
14D
14E
14F
14G
14H
14I
14J
14K

Non Interest Income by Business Segment: (17)
Retail and Small Business
Domestic
Credit and Charge Cards (10)
Credit and Charge Card Interchange Revenues ‐ Gross 
Other
Mortgages and Home Equity
Production
Gains/(Losses) on Sale (18)
Other
Servicing
Servicing & Ancillary Fees  
MSR Amortization (20)

14L
14M
14N
14O
14P
14Q
14R
14S
14T
15

FR Y9C Codes
Actual
                 ‐
                 ‐

                 ‐

                 ‐

                 ‐
                 ‐
                 ‐

                 ‐
                 ‐

                 ‐

MSR Value Changes due to Changes in Assumptions/Model Inputs/Other Net of 
Hedge Performance (19)(21)
Other
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations 
and Warranties (contra‐revenue)  (12)
Retail and Small Business Deposits
Non Sufficient  Funds / Overdraft Fees ‐ Gross
Debit Interchange ‐ Gross
Other (22)
Other Retail and Small Business Lending
International Retail and Small Business  (16)
Commercial Lending

                 ‐

FR Y‐14Q ‐ Schedule G ‐ PPNR Submission

16
16A
16B
16C
16D
17
17A
17B
17C
18
18A
18B
18C
18D
18E
18F
18G
18H
18I
18J
18K
18L
18M
19
19A
19B
20
20A
20B
20C
20D
20E
21
22
23
24
25

Investment Banking
Advisory
Equity Capital Markets
Debt Capital Markets
Syndicated / Corporate Lending
Merchant Banking / Private Equity
Net Investment Mark‐to‐Market 
Management Fees
Other
Sales and Trading
Equities
Commission and Fees
Other [sales and trading noninterest income]  (23)
Fixed Income
Rates
Credit
Other
Commodities
Commission and Fees
Other
Prime Brokerage
Commission and Fees
Other
Investment Management
Asset Management
Wealth Management / Private Banking
Investment Services
Asset Servicing
Securities Lending
Other
Issuer Services
Other
Treasury Services
Insurance Services
Retirement / Corporate Benefits Products
Corporate / Other
Optional Immaterial Business Segments (7)

26

Total Non‐Interest Income (2) (26)

                 ‐

27

Total Revenues

                 ‐

                 ‐

                 ‐

                 ‐
                 ‐

                 ‐

                 ‐

                 ‐

                 ‐

                 ‐
                 ‐

FR Y‐14Q ‐ Schedule G ‐ PPNR Submission

31
32
33
34
34A
34B
35
36
37

Non Interest Expense:
Compensation Expense
Salary (14)
Benefits (14)
Commissions (6)
Stock Based Compensation 
Cash Variable Pay
Operational Risk Expense (8)
Provisions to Repurchase Reserve / Liability for Residential Mortgage Representations 
and Warranties (12)
Professional and Outside Services Expenses  (13)
Expenses of Premises and Fixed Assets
BHCK4217
Amortization Expense and Impairment Losses for Other Intangible Assets
BHCKC232
Marketing Expense
Domestic Credit and Charge Card Marketing Expense (10)(15)(17) 
Other
Other Real Estate Owned Expense
Provision for Unfunded Off‐Balance Sheet Credit Exposures (to build/decrease item 141 (BHCKB557) in Balance Sheet)
Other Non‐Interest Expense (4)

38

Total Non‐Interest Expense (3)

28
28A
28B
28C
28D
28E
29
30

39

Actual PPNR (5)

40
41
42

Valuation Adjustment for firm's own debt under fair value option (FVO)  (9) (27)
Goodwill Impairment
Loss resulting from trading shock exercise (if applicable)  (24) (25)

                 ‐

                 ‐

                 ‐

BHCK4074+BHCK4
079‐
BHCK4093+BHCKC
216‐Line Item #40

                 ‐

BHCKC216
                 ‐

Footnotes to the PPNR Projections Worksheet
(1) Amount should equal item 49 of the PPNR NII Worksheet, if completed. 
(2) Excludes Valuation Adjustment for firm's own debt under fair value option (FVO) in item  40. 
(3) Excludes Goodwill Impairment included in item 41.
(4) Provide a further break out of significant items included in Other Non‐Interest Expense such that no more than 5% of Non Interest Expense 
are reported without further breakout:

(5)
(6)
(7)

By definition, PPNR will calculate as Net Interest Income plus Non‐Interest Income less Non‐Interest Expense, excluding items broken out in items  40‐
41. 
Report commissions only in "Commissions" line item 28C; do not report commissions in any other compensation line items.
See instructions for guidance on related thresholds. List segments included in this line item.

FR Y‐14Q ‐ Schedule G ‐ PPNR Submission

(8)

All operational loss items, including operational losses that are contra revenue amounts or cannot be separately identified, should be 
reported in the operational risk expense.  Any legal consultation or retainer fees specifically linked to an operational risk event should be 
included in the Operational Risk Expense. Include all Provisions to Litigation Reserves  / Liability for Claims related to Sold Residential 
Mortgages and all Litigation Settlements & Penalties in this line item and not any other items.

(9)

List segments from which item was excluded:

(10) Include domestic BHC/IHC/SLHC issued credit and charge cards including  those that result from a partnership agreement.
(11) Applies to line items 1A‐1F; US and Puerto Rico only.  
(12) Provisions to build any non‐litigation reserves/accrued liabilities that have been established for losses related to sold or government‐
insured residential mortgage loans (first or second lien).  Do not report such provisions in any other items; report them only in line items 
14N or 30, as applicable.
(13) Include routine legal expenses (i.e legal expenses not related to operational losses) here.  
(14) Do not report stock based and cash variable pay compensation here.
(15) Include both direct and allocated expenses.  Report any expenses that are made to expand the company’s card member and/or merchant 
base, facilitate greater segment penetration, enhance the perception of the company’s credit card brand, and/or increase the utilization of 
the existing card member base across the spectrum of marketing and advertising mediums.
(16) Revenues from regions outside the US and Puerto Rico.
(17) See Instructions for description of standardized Business Segments/Lines. Unless specified otherwise, all numbers are global.
(18) Gains/(Losses) from the sale of mortgages and home equity originated through all production channels (retail, broker, correspondent, etc.) 
with the intent to sell.  Such gains/losses should include deferred fees and costs that are reported as adjustments to the carrying balance 
of the sold loan, fair value changes on loan commitments with rate locks that are accounted for as derivatives, fair value changes on 
mortgage loans held‐for‐sale designated for fair value treatment, lower‐of‐cost or market adjustments on mortgage loans held‐for‐sale 
not designated for fair value treatment, fair value changes on derivative instruments used to hedge loan commitments and held‐of‐sale 
mortgages, and value associated with the initial capitalization of the MSR upon sale of the loan.

(19) Report changes in the MSR value here and not in any other items.  Report changes in the MSR hedges here and not in any other items.
(20) Include economic amortization or scheduled and unscheduled payments, net of defaults under both FV and LOCOM accounting methods.
(21) Include MSR changes under both FV and LOCOM accounting methods.
(22) Among items included here are debit card contra‐revenues and overdraft waivers, as applicable. 
(23) Report all Non‐Interest Income for Equities Sales and Trading, excluding Prime Brokerage (to be reported as a separate line item) and 
excluding Commissions and Fees.  This includes trading profits and other non‐interest non‐commission income.
(24) Respondents should not report changes in value of the MSR asset or hedges within the trading book.
(25) List segments from which item was excluded:
(26) Exclude result of trading shock exercise (where applicable), as it is reported in item  42.
(27) List FR Y‐9C HI Schedule items in which this item is normally reported although excluded from PPNR for this report:

FR Y‐14Q ‐ Schedule G ‐ PPNR NII 

 PPNR Net Interest Income 
Actual
1
2
2A
2B
3
4
5
6
6A
6B
6C

AverageAsset Balances ($Millions) (1)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
Home Equity Lines Of Credit (HELOCs)
C&I Loans (7)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans

                   ‐

                   ‐

Other, incl. loans backed by securities (non‐purpose lending)

7

Real Estate Loans (Not in Domestic Offices)

7A
7B
8
9
10
11
12
13
14
15
16

Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases (10)
Nonaccrual Loans (5)
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
Deposits with Banks & Other 
Other Interest/Dividend Bearing Assets (2)
Other Assets

17

Total Average Asset Balances

18
19
19A
19B
20
21
22
23
23A
23B
23C
24
24A
24B
25
26
27
28
29
30
31
32

Average Rates Earned (%) (9)
First Lien Residential Mortgages (in Domestic Offices)
Second / Junior Lien Residential Mortgages (in Domestic Offices)
Closed‐End Junior Liens
HELOCs
C&I Loans (7)
CRE Loans (in Domestic Offices)
Credit Cards
Other Consumer
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending)
Real Estate Loans (Not in Domestic Offices)
Residential Mortgages (First and Second Lien)
Other
Other Loans & Leases 
Nonaccrual Loans (5)
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
Deposits with Banks & Other 
Other Interest/Dividend Bearing Assets

33

Total Interest Income 

                   ‐

                   ‐

                   ‐

FR Y‐14Q ‐ Schedule G ‐ PPNR NII 

34
34A
34B
34C
34D
34E
35
35A
35B
36
36A
36B
36C
37
38

Average Liability Balances ($Millions)
Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand
Money Market Accounts
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing (11)
Trading Liabilities

39
40

Subordinated Notes Payable to Unconsolidated Trusts Issuing Trust Preferred 
Securities (TruPS) and TruPS Issued by Consolidated Special Purpose Entities
Other Interest‐Bearing Liabilities (3)(11)
Other Liabilities (11)

41

Total Average Liability Balances

                   ‐

                   ‐

                   ‐

                   ‐

47

Average Liability Rates (%) (9)
Deposits‐Domestic (6)
Non‐Interest‐Bearing Demand (8)
Money Market Accounts
Savings
Negotiable Order of Withdrawal (NOW), Automatic Transfer Service (ATS), and 
other Transaction Accounts
Time Deposits
Deposits‐Foreign (6)
Foreign Deposits
Foreign Deposits‐Time
Fed Funds, Repos, & Other Short Term Borrowing
Fed Funds
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS 
Issued by Consolidated Special Purpose Entities
Other Interest‐Bearing Liabilities (3)(11)

48

Total Interest Expense 

                   ‐

49

Total Net Interest Income (4)

                   ‐

42
42A
42B
42C
42D
42E
43
43A
43B
44
44A
44B
44C
45
46

0.0%

FR Y‐14Q ‐ Schedule G ‐ PPNR NII 

Footnotes to the Net Interest Income Worksheet
(1) Exclude nonaccrual loans from lines 1‐8, reporting these balances in item 9. Include purchased credit impaired loans. 
Break out and explain nature of significant items included in Other Interest/Dividend Bearing Assets such that no more  than 5% of total 
(2)
Average Asset Balances are reported without a further breakout.

(3)

(4)
(5)

Break out and explain nature of significant items included in  All Other Interest Bearing Liabilities Balances such that no more than 5% of total 
Liability Balances are reported without a further breakout.

Amount should equal item 13 of the PPNR Submission Worksheet.
Institutions are to provide additional details within the supporting documentation; the composition of the non‐accrual loans by key loan 
type over the reported time periods for each of the scenarios.

A sum of average domestic and foreign deposits should be equal to a sum of average BHDM6631, BHDM6636, BHFN6631, and BHFN6636.
Report C&I Graded, Small Business (Scored/Delinquency Managed), Corporate Card, Business Card
Rates are equal to zero by definition.
All rates are annualized.
Include loans secured by farmland here (BHDM1420) and other loans not accounted for in the other categories.
A Sum of line items 36C and 39 equals a sum of BHCK3190, BHCK4062, and interest‐bearing liabilities reported in BHCK2750; line item 40 
(11) captures non‐interest bearing liabilities in BHCK2750
(6)
(7)
(8)
(9)
(10)

Are Other Average Interest‐Bearing Asset Balances more than 5% of Total Average 
Interest‐Bearing Asset Balances?

N/A

Are Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances more 
N/A
than 5% of Total Average Interest‐Bearing Liability Balances?
Are Other Average Interest‐Bearing Asset Balances more than 5% of Total Average Interest‐Bearing Asset Balances?N/A
Are Other Average Deposit and Interest‐Bearing Non‐Deposit Liability Balances more 
than 5% of Total Average Interest‐Bearing Liability Balances?

N/A

FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics

PPNR Metrics 
Actual
FR Y9C Codes

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34

A. Metrics by Business Segment/Line (9)
Retail and Small Business Segment
Domestic (24)
Credit and Charge Cards
Total Open Accounts  –  End of Period
Credit and Charge Card Purchase Volume
Credit and Charge Card Rewards/Partner Sharing Expense  (23) (34)
Mortgages and Home Equity
Average Third‐Party Residential Mortgages Serviced  (3)
Residential Mortgage Originations Industry Market Size –  Volume  (25)
Mortgages and Home Equity Sold during the quarter  (26)
Servicing Expenses (8)
Retail and Small Business Deposits
Total Open Checking and Money Market Accounts  –  End of Period  (31)
Debit Card Purchase Transactions
International Retail and Small Business  (12)
Credit Card Revenues (1)
Investment Banking Segment
Number of Employees (15)
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay  (8)
Advisory
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Completed Deal Volume
Backlog (30)
Equity Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Debt Capital Markets
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Syndicated Lending
Deal Volume
Industry Market Size ‐ Fees
Industry Market Size ‐ Volume
Sales and Trading Segment
Number of Employees (15)
Compensation ‐ Total (8)
Stock Based Compensation and Cash Variable Pay  (8)
Equities
Average Asset Balance
Fixed Income
Average Asset Balance
Commodities
Average Asset Balance
Prime Brokerage
Average Client Balances (13)
Transaction Volume

Units

#
$Millions
$Millions
$Millions
$Millions
BHCKF070+BHCKF071+BH
DMF674+BHDMF675

$Millions
$Millions
#
#
$Millions
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions

FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics

40

Investment Management Segment
Asset Management
AUM ‐ Total (10)
AUM ‐ Equities
AUM ‐ Fixed Income
AUM ‐ Other
Net Inflows/Outflows
Wealth Management/Private Banking
Fee Earning Client Assets ‐ Total (10)
Fee Earning Client Assets ‐ Equities
Fee Earning Client Assets ‐ Fixed Income
Fee Earning Client Assets ‐ Other
Net Inflows/Outflows
Number of Financial Advisors   (11)
Investment Services Segment 
Asset Servicing
Assets under Custody and Administration

41
42
42A
42B
42C
42D
43
44
45
45A
45B
46
46A
46B
46C
47

B. Firm Wide Metrics: PPNR Projections Worksheet
Number of Employees
Revenues ‐ International
Revenues ‐ APAC (2) (16)
Revenues ‐ EMEA (2) (17)
Revenues ‐ LatAm (2) (18)
Revenues ‐ Canada (2)
Revenues ‐ Domestic 
Severance Costs (14)
Collateral Underlying Operating Leases for Which the Bank is the Lessor  (22)
Auto
Other
OREO Balance
Commercial
Residential
Farmland
Non‐Recurring PPNR Items (32)

35
35A
35B
35C
36
37
37A
37B
37C
38
39

48
49

Trading Revenue
Net Gains/(Losses) on Sales of Other Real Estate Owned  (19)

$Millions
$Millions
$Millions
$Millions
$Millions

                        ‐

$Millions
$Millions
$Millions
$Millions
$Millions
#

                        ‐

$Millions

BHCK4150

BHCK2150

BHCKA220
BHCK8561

#
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions
$Millions

                        ‐

                        ‐
                        ‐

                        ‐

FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics

50
51
52
53

C. Firm Wide Metrics: Net Interest Income Worksheet (Required only for respondents that were required to complete the Net Interest Income Worksheet)
Carrying Value of Purchased Credit Impaired (PCI) Loans  (35)
BHCKC780
$Millions
Net Accretion of discount on PCI Loans included in interest Revenues  (36)
$Millions
Loans Held for Sale ‐ First Lien Residential Liens in Domestic Offices (Average Balances)
$Millions
Average Rate on Loans Held for Sale‐First Lien Residential Liens in Domestic Offices
%

54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70

Quarter End Weighted Average Life of Assets (4) (6)
First Lien Residential Mortgages (in Domestic Offices) (33)
Closed‐End Junior Residential Liens (in Domestic Offices)
Home Equity Lines Of Credit (HELOCs)
C&I Loans
CRE Loans (in Domestic Offices)
Credit Cards
Auto Loans
Student Loans
Other, incl. loans backed by securities (non‐purpose lending)  (7)
Residential Mortgages (First and Second Lien, Not in Domestic Offices)
Other Real Estate Loans (Not in Domestic Offices)
Other Loans & Leases
Securities (AFS and HTM) ‐ Treasuries and Agency Debentures
Securities (AFS and HTM) ‐ Agency RMBS (both CMOs and pass‐throughs)
Securities (AFS and HTM) ‐ Other
Trading Assets
All Other Earning Assets

71
72
73
74
75
76
77
78

79
80
81
82
83
84
85
85A

Quarter End Weighted Average Life of Liabilities  (4) (6)
Domestic Deposits ‐ Time
Foreign Deposits‐Time
Fed Funds 
Repos
Other Short Term Borrowing
Trading Liabilities
Subordinated Notes Payable to Unconsolidated Trusts Issuing TruPS and TruPS Issued 
by Consolidated Special Purpose Entities
All Other Interest Bearing Liabitilies

Average Domestic Deposit Repricing Beta in a 'Normal Environment'  (5)
Money Market Accounts  
Savings
NOW, ATS, and other Transaction Accounts
Time Deposits
Average  Foreign Deposit Repricing Beta in a 'Normal Environment'  (5)
Foreign Deposits
Foreign Deposits‐Time
New Domestic Business Pricing for Time Deposits (27)
Curve (if multiple terms assumed) (28) 

85B

Index rate  (if single term assumed)  (29)

85C

Spread relative to the Index Rate (basis points)  (29)

months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months
months

months
months
months
months
months
months
months
months
For upward rate 
movements

basis points
basis points
basis points
basis points
basis points
basis points

basis points

For downward 
rate movements

Assumed Floor

FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics

(1)
(2)
(3)
(4)

Footnotes to the PPNR Metrics Worksheet
Provide metrics data for all quarters, but only if International Retail and Small Business Segment revenues exceeded 5% of Total Retail and Small Business Segment and Total 
Retail and Small Business revenue exceeded 5% of total revenues in any of the last four actual quarters requested in the PPNR schedule.  
Provide regional breakouts for all quarters but only if international revenue exceeded 5% of the total revenue in any of the last four actual quarters requested in the PPNR schedule.
Average oustanding principal balance fo residential mortgage loans the BHC/IHC/SLHC services for others.
The Weighted Average Life should reflect the current position, the impact of new business activity, as well as the impact of behavioral assumptions such as prepayments or 
defaults,  based on the expected remaining lives, inclusive of behavioral assumptions.  It should reflect the weighted average of time to principal actual repayment (as 
modeled) for all positions in that portfolio, rounded to the nearest monthly term.  For revolving products, the WAL should reflect the underlying repayment behavior 
assumptions assumed by the institution, which would include contractual repayments, any assumed excess payments or prepayments, and defaults.  The WAL for the FR Y‐14Q 
disclosures should reflect the spot balance sheet position for each time period.  For the FR Y‐14A, given that it covers forecasted time periods, the WAL should be forward‐
looking which incorporates the changes to the projected WAL, including new business activity.

(5)

A rate movement in an environment where the repricing assumption assumed by each of the major deposit products is not restricted by a cap, floor, or zero.  Beta should be 
reported as a balance‐weighted average of the betas of the line items that contribute to the roll up point requested, with an as‐of date equal to the reporting date.

(6)
(7)
(8)
(9)

(12)
(13)
(14)

Reference PPNR Net Interest Income worksheet for product definitions.
Corresponds to line item 7C on the Net Interest Income worksheet.
Include both direct and allocated expenses.
"Metrics by Business Segment/Line" correspond to Business Segments/Lines on PPNR Submission worksheet, unless explicitly stated otherwise.   See Instructions for defintions 
of standardized Business Segments/Lines.  Unless specified otherwise, all numbers are global.   Only line items with "Industry Market Size" in the name are industry/market‐
wide items; all other items are BHC/IHC‐specific.
Assets under Management
Provide a relevant headcount number (e g. financial advisors, portfolio managers) to facilitate the assessment of revenue productivity in the Wealth Management/Private 
Banking business line.
Regions outside the US and Puerto Rico.
Report the grossed up "interest balances" that result from prime brokerage activities.
List items on PPNR Projections worksheet that include this item if any:

(15)
(16)
(17)
(18)
(19)

Full‐time equivalent employees at end of current period (BHCK4150) for a given segment only.
Asia and Pacific region (incl. South Asia, Australia, and New Zealand)
Europe, Middle East, and Africa
Latin America, including Mexico
List Business Segments reported on PPNR Projections Worksheet that include this item if any:

(10)
(11)

(20) List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(21) List Business Segments reported on PPNR Projections Worksheet that include this item if any:
(22) Refers to the balance sheet carrying amount of any equipment or other asset rented to others under operating leases, net of accumulated depreciation.  The total in line item 
49 should correspond to the amount provided in Y‐9C Schedule HC‐F Line 6, item 13 in the instructions. The amount included should only reflect collateral rented under 
operating leases and not include collateral subject to capital/ financing type leases.
(23) Credit cards (including charge cards).  List which line item(s) on PPNR Submission worksheet contain(s) the Cards Rewards/Partner Sharing contra‐revenues and/or expenses.

(24)
(25)
(26)
(27)

Applies to line items 1‐9; US and Puerto Rico only.
Total domestic mortgages originated during the quarter. 
FR Y‐9C name is "Residential Mortgages Sold During the Quarter"; this metric need not be limited to Mortgages and Home Equity business line.
New business pricing for time deposits refers to the anticipated average rate on newly issued domestic time deposits, including renewals.  Given that time deposits have a 
stated maturity, all time deposits issued for that time period are considered new business. 

(28) The term “curve” refers to the reference rate used to price time deposits.  Given that the pricing of time deposits is dependent on the term, the institution should provide the 
overall curve used to price time deposits.  If the institution only assumes a single maturity term for new issuances, complete line 88B and 88C only, otherwise complete line 
88A only.

FR Y‐14Q ‐ Schedule G ‐ PPNR Metrics

(29) If the institution only assumes a single maturity term for new issuance, then the institution should provide the relative index and spread used to estimate new business pricing 
in lieu of the curve.
(30) A backlog should be based on probability weighted fees.  The data should be consistent with historical internal reporting, not by market measurement.  The last quarter should 
be the BHC’s/IHC's/SLHC's latest backlog estimate.
(31) Provide description of the accounts included in this line item (e.g. Negotiable Order of Withdrawal, Interest Bearing Checking, Non Interest Bearing Demand Deposit Account, 
Money Market Savings, etc.)
(32) Please break out and explain nature of non‐recurring items included in PPNR.  Also 
indicate which items on PPRN Projections worksheet include the items broken out in 
footnote 32: 
(a)  Revenues (Net Interest Income + Non Interest Income)
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
(b)

 Non Interest Expenses
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion
$ Milllion

(33) For WAL, exclude from the reported number Loans Held For Sale
(34)

Note if this item includes any contra‐revenues other than Rewards/Partner Sharing (e.g. Marketing Expense Amortization)

(35)
(36)

Institutions that have adopted ASU 2016‐13 should report the carrying value of purchased credit‐deteriorated (PCD) loans in item 50.
Institutions that have adopted ASU 2016‐13 should report the net accretion of discount on PCD loans included in interest revenues.
Do international revenues exceed 5% of total revenues?

N/A

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 

Firms subject to Category I and II standards 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)
Firms subject to Category III and IV standards 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 firms subject to Category I and II standards, 25 percent for firms subject to 
Category III and IV standards
17 Amount to be deducted from common equity tier 1 due to deduction threshold (greater of item 15 minus item 16 or zero)

Actual in 
$Millions
as of date

Comments

Deferred tax assets due to temporary differences
18 Deferred tax assets arising from temporary differences, net of deferred tax liabilities
19 Valuation allowances related to DTAs arising from temporary differences
20 Potential net operating loss carrybacks
21 DTAs arising from temporary differences that could not be realized through net operating loss carrybacks, net of related valuation 
allowances and net of DTLs
22
Common equity tier 1 deduction threshold: 10 percent for firms subject to Category I and II standards, 25 percent for firms subject to 
Category III and IV standards (value derived from item 16)
23

Amount to be deducted from common equity tier 1 due to deduction threshold (greater of item 21 minus item 22 or zero)

Firms subject to Category I and II standards 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

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:  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)
Amortized 
Identifier 
Cost
Type
Identifier 
(USD 
(CUSIP/ISIN/
Value
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 
Hedged Cash 
Horizon
Flow
Sidedness
CQSHS376
CQSHS377
CQSHS378

Effective 
Portion of 
Hedging  Cumulative  ASU 2017‐12 
Hedge 
Instrument  Gains and 
Losses
Designations
at Fair Value
CQSHS379
CQSHS380 CQSHKX87

Example
Example
Example
Example
Example
Example
Example
Example
Example
Example
Example

Securities 2

FR Y‐14Q Schedule K ‐ Supplemental
B. Cumulative 
A. Outstanding 
balance of whole  Lifetime Gross 
loans in immaterial  Charge‐offs*
portfolios***

C. Cumulative 
Lifetime Purchase 
Impairments and 
Fair Value 
Adjustments**

D. Outstanding 
balance of loans 
under $1M in 
committed balance

F. Scored loans 
E. Outstanding 
balance of 
reported in 
unplanned 
BHCKF160
overdrafts 
excluded per the 
Corporate Loan FR 
Y‐14Q schedule 
instructions

1.  Student Loans
2. Other Consumer
2a.  Domestic
2b.  International
3.  First Lien 
3a.  Domestic
3b.  International
4.  Junior Lien
4a.  Domestic
4b.  International
5.  Bank and Charge Cards
5a.  Domestic
5b.  International 
6.  Auto
6a.  Domestic
6b.  International
7.  Commercial Real Estate
7a.  Construction
7a.(1)  Domestic
7a.(2)  International
7b.  Multifamily
7b.(1)  Domestic
7b.(2)  International
7c.  NFNR ‐ Non‐owner occupied
7c.(1)  Domestic
7c.(2)  International
7.d  NFNR ‐ Owner occupied
7d.(1)  Domestic
7d.(2)  International
8.  Loans Secured by Farmland
8a.  Domestic
8b.  International
9.  Commercial and Industrial 
9a.  Graded
9b.  Small Business
9b.(1)  Domestic
9b.(2)  International
10.  Other Loans
10a.  Graded Loans to Foreign Governments
10b.  Graded Agricultural Loans
10c.  Graded Loans to Depositories and Other Financial
10d.  Other Graded Comercial Leases
10e.  All Other Graded Loans
Not loan category specific 
* On loans reported in the FR Y‐14Q retail schedule or the FR Y‐14M
**  Taken during the life of loans reported in the FR Y‐14Q retail schedule or the FR  Y‐14M. Institutions that have adopted ASU 2016‐13 do not need to complete Column C.
*** Column A should only include loans in whole portfolios deemed to be immaterial using the materiality threshold specified in the general instructions.  C&I and CRE loans less than 
$1M in committed balance should be reported in Column D.

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

10%

15%

20%

25%

30%

Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities

Currency 1

Currency 2

Delta
($MM)

Gamma
($MM / +1%)

CTRDH056

CTRDH057

CTRDH058

CTRDH059

Firm Name

Effective Date:
Submission Date:

<‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ Currency1 weakening against Currency2 ‐‐‐‐‐     ‐‐‐‐‐ Currency1 strengthening against Currency2 ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐>
$MM Profit/(Loss) From % Change in Spot Price in Currency1 vs. Currency2
CTRDH060
‐30%

‐25%

‐20%

‐15%

‐10%

0%
CTRDH061
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0

10%

15%

20%

25%

30%

Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities

Currency 1

Currency 2

Delta
($MM)

Gamma
($MM / +1%)

CTRDH056

CTRDH057

CTRDH058

CTRDH059

Firm Name

Effective Date:
Submission Date:

<‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ Currency1 weakening against Currency2 ‐‐‐‐‐     ‐‐‐‐‐ Currency1 strengthening against Currency2 ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐>
$MM Profit/(Loss) From % Change in Spot Price in Currency1 vs. Currency2
CTRDH060
‐30%

‐25%

‐20%

‐15%

‐10%

0%
CTRDH061
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0

10%

15%

20%

25%

30%

Trading, PE & Other Fair Value Assets Schedule
FX Spot Sensitivities

Currency 1

Currency 2

Delta
($MM)

Gamma
($MM / +1%)

CTRDH056

CTRDH057

CTRDH058

CTRDH059

Firm Name

Effective Date:
Submission Date:

<‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐ Currency1 weakening against Currency2 ‐‐‐‐‐     ‐‐‐‐‐ Currency1 strengthening against Currency2 ‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐‐>
$MM Profit/(Loss) From % Change in Spot Price in Currency1 vs. Currency2
CTRDH060
‐30%

‐25%

‐20%

‐15%

‐10%

0%
CTRDH061
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0

10%

15%

20%

25%

30%

Trading, PE & Other Fair Value Assets Schedule
FX Vega

Firm Name

Effective Date:
Submission Date:

FX Lognormal Vega ($K / +1 vol pt)
CTRDH065
Currency 1
CTRDH062

Currency 2
CTRDH063

1M

3M

6M

9M

1Y

2Y

3Y
CTRDH064

5Y

7Y

10Y

15Y

20Y

30Y

Total
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00

Trading, PE & Other Fair Value Assets Schedule
Rates DV01

Firm Name

Effective Date
Submission Date

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

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

+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

6M

0

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

6M

0

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)

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 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

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

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

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

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

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

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

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)

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

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

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

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

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

Effective Date:
Submission Date:

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:

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
Commodity Spot‐Vol Grids

Firm Name

Effective Date:
Submission Date:

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

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

Credit 
Basket

Index 
Tranches

Whole 
Loans

Other / 
Unspecified

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

ABS CDS

Credit 
Basket

Index Tranches

Other / 
Unspecified

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0
$0
$0

BBB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

$0

$0

$0

$0

$0

$0

$0

BB Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

$0

$0

$0

$0

$0

$0

B Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

$0

$0

$0

$0

$0

 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

$0

$0

$0

$0

NR Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

$0

$0

$0

Total

$0

$0

$0

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
= $50M

Table D

Issuer Name

Issuer 
ticker

Rating

MV 
($MM)

CTRDH158

CTRDLF70

CTRDLF86

CTRDLF74

In Index 
CS01
RED Code 
Notional  ($K/+1 bp)  Products? 
(if 
($MM)
(1 for Yes,  
(if 
available)
available) 0 for No)
CTRDLF75 CTRDH119

CTRDLF66

Single Name Products: issuers with abs(MV) < $50M by rating

Table E
CTRDH148

CTRDH149
Rating
CTRDH150

AAA
AA
A
BBB
BB
B
 $100M 

Firm Name

Trading, PE & Other Fair Value As

Effective Date:
Submission Date:

IDR‐Corporate Credit 

Table F ‐ Index Products by Series

  CDX IG by Series
Payer Options by spread moneyness in‐% (1‐strike spread / index spread) 
Index Name

CTRDLF65

< ‐400
MV 
Notional 
($MM)
($MM)
CTRDLF81

CTRDLF82

[‐400,‐200)
MV 
Notional 
($MM)
($MM)
CTRDLF81

CTRDLF82

[‐200,‐100)
MV 
Notional 
($MM)
($MM)
CTRDLF81

CTRDLF82

Receiver Options

[‐100,0)
>= 0
MV 
Notional 
Notional 
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

Notional 
($MM)
CTRDLF82

CDX IG
CDX IG
CDX IG
:
  CDX HY by Series
Payer Options by spread moneyness in‐% (1‐strike spread / index spread) 
Index Name

CTRDLF65

< ‐400

[‐400,‐200)

[‐200,‐100)

[‐100,0)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

Receiver Options
>= 0

Notional 
Notional 
MV ($MM)
MV ($MM)
($MM)
($MM)

Notional 
($MM)

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CDX HY 
CDX HY 
CDX HY 
:
  iTraxx Main by Series
Payer Options by spread moneyness in‐% (1‐strike spread / index spread) 
Index Name

CTRDLF65

< ‐400
MV 
Notional 
($MM)
($MM)
CTRDLF81

CTRDLF82

[‐400,‐200)
MV 
Notional 
($MM)
($MM)
CTRDLF81

CTRDLF82

[‐200,‐100)
MV 
Notional 
($MM)
($MM)
CTRDLF81

CTRDLF82

Receiver Options

[‐100,0)
>= 0
MV 
Notional 
Notional 
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

Notional 
($MM)
CTRDLF82

iTraxx Main 
iTraxx Main 
iTraxx Main 
:
  iTraxx XO by Series
Payer Options by spread moneyness in‐% (1‐strike spread / index spread) 
Index Name

CTRDLF65

< ‐400

[‐400,‐200)

[‐200,‐100)

[‐100,0)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

Receiver Options
>= 0

Notional 
Notional 
MV ($MM)
MV ($MM)
($MM)
($MM)

Notional 
($MM)

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

iTraxx XO 
iTraxx XO 
iTraxx XO 
:
  CDX Other, iTraxx Other & Loan by 
Receiver Options

Payer Options by spread moneyness in‐% (1‐strike spread / index spread) 
Index Type 
(CDX Other, iTraxx Other or Loan)
CTRDLF65

< ‐400

[‐400,‐200)

[‐200,‐100)

[‐100,0)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

Notional 
($MM)

MV 
($MM)

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

>= 0

Notional 
Notional 
MV ($MM)
MV ($MM)
($MM)
($MM)

Notional 
($MM)

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

Trading, PE & Other Fair Value As
IDR‐Corporate Credit 
*include only indices with gross MV > $1

Effective Date:
Submission Date:

Trading, PE & Other Fair Value Assets Schedule

Firm Name

IDR‐Corporate Credit 

Summary of bespoke positions

Table G

CTRDLF72

CTRDLF83
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

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Short

CTRDLF78

Long

CTRDLF69

Short

CTRDLF79

Long

CTRDLF76

Short

CTRDLF80

Long

CTRDLF77

Equity

Mezzanine

Super 
Senior

Trading, PE & Other Fair Value Assets Schedule

Firm Name

Effective Date:
Submission Date:

IDR‐Jump To Default
Issuers to which the reporter has a net long exposure CTRDH157
Issuer Name
CTRDH158

Country
CTRDH159

Industry
CTRDH160

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

Firm Name

Effective Date
Submission Date
(A)

Sector

GICS 
Code

Industry Group

Energy

1010

Materials

1510

Industrials
Industrials
Industrials
Industrials
Industrials

(B)

Investments Reported at FAIR VALUE ($MM)
Other 
Western 
Emerging 
United States
Developed 
Europe
Markets
Markets

Unspecified 
Geography

Unspecified 
Geography

Total

Global

Energy

$0 

$0 

$0 

Materials

$0 

$0 

$0 

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 

Global

Investments NOT Reported at FAIR VALUE ($MM)
Other 
Western 
Emerging 
United States
Developed 
Europe
Markets
Markets

Trading, PE & Other Fair Value Assets Schedule
Private Equity

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 
Western 
Emerging 
United States
Developed 
Europe
Markets
Markets

Unspecified 
Geography

Total

Global

Telecommunication Services
Media & Entertainment
Unspecified
Total

$0 
$0 
$0 
$0 

$0 
$0 
$0 
$0 

5510

Utilities

$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 

Funded Total

$0 

$0 

$0 

$0 

$0 

$0 

Unfunded commitments ($MM)

$0 

$0 

$0 

$0 

$0 

$0 

$0 

Global

$0 
$0 
$0 
$0 

Investments NOT Reported at FAIR VALUE ($MM)
Other 
Western 
Emerging 
United States
Developed 
Europe
Markets
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 

$0 

$0 

$0 

Trading, PE & Other Fair Value Assets Schedule
Other Fair Value Assets

Firm Name

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

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