FRY14Q_20220930_f_draft_Trading

FR Y-14Q: Trading, PE and Other Fair Value Assets Schedules
Institution Name:

Firm Name

Effective Date:
Date of Data Submission:

Note: The red text in this document indicates changes made to the form going into effect on
September 30, 2022.

Trading, PE & Other Fair Value Assets Schedule
Equity by Geography

Country
CTRDH038
Australia
Austria
Belgium
Canada
Denmark
Finland
France
Germany
Greece
Ireland
Italy
Japan
Netherlands
New Zealand
Norway
Portugal
Spain
Sweden
Switzerland
United Kingdom
United States
Euro Stoxx 50 Index
Stoxx Europe 600 Index
Other Cross-Country Indices
Other Advanced Economies
Advanced Economies Total
Bulgaria
Czech Republic
Hungary
Poland
Russia
Ukraine
MSCI EM Eastern Europe
Other Cross-Country Indices
Other Emerging Europe
Emerging Europe Total
Argentina
Brazil
Chile
Mexico
MSCI EM Latin America Index
Other Cross-Country Indices
Other Latam & Caribbean
Latam & Caribbean Total
China
Hong Kong
India
Indonesia
Malaysia
Philippines
Singapore
South Korea
Taiwan
MSCI EM Asia Index
Other Cross-Country Indices
Other Asia Ex-Japan
Asia Ex-Japan Total

Firm Name

Delta
($MM)
CTRDH039

$0

$0

$0

$0

Gamma
($MM /
+1%)
CTRDH040

0.0

0.0

0.0

0.0

Vega
($MM / +1
vol pt)
CTRDH041

0.0

0.0

0.0

0.0

Effective date
Submission Date

Profit/(Loss) from % Change in Country Equity Prices ($MM)
CTRDH042
-50%

$0

$0

$0

$0

-40%

$0

$0

$0

$0

-35%
-30%
CTRDH043

$0

$0

$0

$0

$0

$0

$0

$0

Vega ($MM / +1 vol pt)

-20%

0%

Total

1M

3M

6M

9M

1Y

2Y

3Y
CTRDH044

5Y

7Y

10Y

15Y

20Y

30Y

$0

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

$0

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

$0

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

$0

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

$0

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

$0

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

Trading, PE & Other Fair Value Assets Schedule
Equity by Geography

Country
CTRDH038
Israel
Turkey
Other Cross-Country Indices
Other Middle East/N. Africa
Middle East/N. Africa Total
South Africa
Other Cross-Country Indices
Other Sub-Saharan Africa
Sub-Saharan Africa Total

Firm Name

Delta
($MM)
CTRDH039

$0

$0

Gamma
($MM /
+1%)
CTRDH040

0.0

0.0

Vega
($MM / +1
vol pt)
CTRDH041

0.0

0.0

Effective date
Submission Date

Profit/(Loss) from % Change in Country Equity Prices ($MM)
CTRDH042
-50%

$0

$0

-40%

$0

$0

-35%
-30%
CTRDH043

$0

$0

$0

$0

Vega ($MM / +1 vol pt)

-20%

0%

Total

1M

3M

6M

9M

1Y

2Y

3Y
CTRDH044

5Y

7Y

10Y

15Y

20Y

30Y

$0

$0
$0
$0
$0
$0

$0

0.0
0.0
0.0
0.0
0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

$0

$0
$0
$0
$0

$0

0.0
0.0
0.0
0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

$0

0.0
0.0
0.0
0.0
0.0
0.0
0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

$0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

MSCI All Country World Index (ACWI)
MSCI EAFE Index
MSCI EM Index
MSCI EMEA Index
MSCI World Index
Other Cross-Country Indices
Cross-Regional Indices Total

$0

0.0

0.0

$0

$0

$0

$0

$0

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

GLOBAL TOTAL

$0

0.0

0.0

$0

$0

$0

$0

$0

$0

Trading, PE & Other Fair Value Assets Schedule
Equity Spot-Vol Grid

Firm Name

Please select how volatility changes are expressed:

CTRDH045

Effective Date:
Submission Date:

Relative % change in Volatility

Profit/(Loss) from changes in Spot/Vol ($MM): WORLD-WIDE EQUITIES
CTRDH048
% CHANGE IN SPOT VALUE

-50%

-40%

% CHANGE IN VOL

CTRDH047

-35%

-30%

-20%

0%

CTRDH046

0%
15%
30%
60%

$0

Delta post spot shock (at 0 vol shock) ($MM)
CTRDH050
Check:

$0.0000

Check:

$0.0000

Check:

$0.0000

Gamma post spot shock (at 0 vol shock) ($MM / +1%)
CTRDH051

Vega post spot shock (at 0 vol shock) ($MM / +1 vol pt)
CTRDH049

Vega post vol shock
(at 0 spot shock)
($MM / +1%
relative)
CTRDH411

Trading, PE & Other Fair Value Assets Schedule
Other Equity

Firm Name

Effective Date:
Submission Date:

Profit/(Loss) from a -1% change in dividends ($MM)
CTRDH055

Region
CTRDH053
US
Europe
Japan
Other / Unspecified
Total

1Y

$0.00

2Y

$0.00

3Y

$0.00

5Y
CTRDH054

$0.00

7Y

$0.00

10Y

$0.00

Unspecified
Tenor

Total

$0.00

$0.00
$0.00
$0.00
$0.00
$0.00

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

Currency 1

Currency 2

Delta
($MM)

Gamma
($MM / +1%)

CTRDH056

CTRDH057

CTRDH058

CTRDH059

Firm Name

Effective Date:
Submission Date:

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

-25%

-20%

-15%

-10%

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

10%

15%

20%

25%

30%

Trading, PE & Other Fair Value Assets Schedule
FX Vega

Firm Name

Effective Date:
Submission Date:

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

Currency 2
CTRDH063

1M

3M

6M

9M

1Y

2Y

3Y
CTRDH064

5Y

7Y

10Y

15Y

20Y

30Y

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

Trading, PE & Other Fair Value Assets Schedule
Rates DV01

Firm Name

Effective Date
Submission Date

MATURITY

DV01 ($K / -1 bp)
CTRDH070
Currency CTRDH068
Category CTRDH069
AUD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

1M

3M

6M

9M

1Y

2Y

3Y

5Y

$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y

10Y

15Y

20Y

30Y

Total

-200 bps

-100 bps

-50 bps

0 bps

+50 bps

CTRDH066

0

0

0

0

0

0

0

0

0

0

0

0

0

0.00
0.00
0.00
0.00
0.00
0.00

CAD Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

0.00
0.00
0.00
0.00
0.00
0.00
0

0

0

0

0

0

0

0

0

0

0

0

0

CAD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis

0.00
0.00
0.00
0.00
0.00
0.00

CHF Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

0.00
0.00
0.00
0.00
0.00
0.00
0

0

0

0

0

0

0

0

0

0

0

0

0

0

CHF Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis

0.00
0.00
0.00
0.00
0.00
0.00

DKK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

0.00
0.00
0.00
0.00
0.00
0.00
0

0

0

DKK Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis

0

0

0

0

0

+150 bps

+200 bps

+300 bps

+400 bps

+500 bps

CTRDH067
0.00
0.00
0.00
0.00
0.00
0.00
0

AUD Basis Risks (Do not include the swap/discounting curve specified above)
OIS Basis
1m Basis
3m Basis
6m Basis
12m Basis
Other Basis

0

+100 bps

0

0

0

0

0

0

0.00
0.00
0.00
0.00
0.00
0.00

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

Trading, PE & Other Fair Value Assets Schedule
Rates DV01

Firm Name

Effective Date
Submission Date

MATURITY

DV01 ($K / -1 bp)
CTRDH070
EUR Directional Risks
Governments Austria
Governments Belgium
Governments Finland
Governments France
Governments Germany
Governments Greece
Governments Ireland
Governments Italy
Governments Netherlands
Governments Portugal
Governments Spain
Governments Other
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

1M

0

3M

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 Basis
3m Basis
6m Basis
12m Basis

Other Basis

0

0

0

0

0

0

0

0

0

0

0

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

-200 bps

-100 bps

-50 bps

0 bps

+50 bps

+100 bps

+150 bps

+200 bps

+300 bps

+400 bps

+500 bps

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0
$0

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

Trading, PE & Other Fair Value Assets Schedule
Rates DV01

Firm Name

Effective Date
Submission Date

MATURITY

DV01 ($K / -1 bp)
CTRDH070
NOK Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

1M

0

3M

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

MATURITY

DV01 ($K / -1 bp)
CTRDH070
CTRDH070
Other Advanced Economies Directional Risks
Governments
Agencies
Municipals
Swaps / Discounting Curve
Instruments shocked by MV**
Other
Total Directional

Total Advanced Economies (Directional)

Directional Risks: Emerging Europe
BGN
CZK
HRK
HUF
PLN
RON
RUB
Other Emerging Europe
Total Emerging Europe
Directional Risks: Latin America & Caribbean
ARS
BRL
CLP
COP
MXN
PEN
VEF
Other Latam & Caribbean
Total Latam & Caribbean
Directional Risks: Asia Ex-Japan
CNY
HKD
IDR
INR
KRW
MYR
PHP
SGD
THB
TWD
Other Asia Ex-Japan
Total Asia Ex-Japan

1M

3M

6M

9M

1Y

2Y

3Y

5Y

$MM P/(L) from a Parallel Move in Rates (bps)
CTRDH071
7Y

10Y

15Y

20Y

30Y

Total

-200 bps

-100 bps

-50 bps

0 bps

0

0

0

0

0

0

0

0

0

0

0

0

0

0.00
0.00
0.00
0.00
0.00
0.00
0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0

0

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0

0

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0

$0

$0

$0

$0

$0
$0
$0
$0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

0

+50 bps

+100 bps

+150 bps

+200 bps

+300 bps

+400 bps

+500 bps

$0
$0
$0
$0

$0

$0

$0

$0

$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

Directional Risks: Middle East/North Africa
ILS
TRY
Other Middle East/Africa
Total Middle East/N. Africa

0

0

0

0

0

0

0

0

0

0

0

0

0

0.00
0.00
0.00
0

Directional Risks: Sub-Saharan Africa
ZAR
Other Sub-Saharan Africa
Total Sub-Saharan Africa

0

0

0

0

0

0

0

0

0

0

0

0

0

0.00
0.00
0

$0

$0

$0

$0

$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

GLOBAL TOTAL DIRECTIONAL

0

0

0

0

0

0

0

0

0

0

0

0

0

0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

Trading, PE & Other Fair Value Assets Schedule

Firm Name

Effective Date:
Submission Date:

Rates Vega

Interest Rate Normal Vegas ($MM / +10 bps shift)

Vega convention must be Normal:

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

MATURITY
5Y

7Y

10Y

15Y

20Y

30Y

Total

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

CTRDH074

EXPIRY

AUD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

EXPIRY

EUR
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

EXPIRY

GBP
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

Trading, PE & Other Fair Value Assets Schedule

Firm Name

Effective Date:
Submission Date:

Rates Vega

Interest Rate Normal Vegas ($MM / +10 bps shift)

Vega convention must be Normal:

CTRDH072

Specify the units in which vega is expressed:

CTRDH073

Normal
$MM / +10 bps shift

CTRDH077
1M

3M

6M

9M

1Y

2Y

3Y

MATURITY
5Y

7Y

10Y

15Y

20Y

30Y

Total

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

EXPIRY

JPY
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

EXPIRY

USD
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total
US MBS Vega

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

CTRDH078

EXPIRY

Other Advanced Economies
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

Trading, PE & Other Fair Value Assets Schedule

Firm Name

Effective Date:
Submission Date:

Rates Vega

Interest Rate Normal Vegas ($MM / +10 bps shift)

Vega convention must be Normal:

CTRDH072

Specify the units in which vega is expressed:

CTRDH073

Normal
$MM / +10 bps shift

CTRDH077
1M

3M

6M

9M

1Y

2Y

3Y

MATURITY
5Y

7Y

10Y

15Y

20Y

30Y

Total

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

EXPIRY

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

EXPIRY

Total Latam & Caribbean
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

EXPIRY

Total Asia Ex-Japan
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

Trading, PE & Other Fair Value Assets Schedule

Firm Name

Effective Date:
Submission Date:

Rates Vega

Interest Rate Normal Vegas ($MM / +10 bps shift)

Vega convention must be Normal:

CTRDH072

Specify the units in which vega is expressed:

CTRDH073

Normal
$MM / +10 bps shift

CTRDH077
1M

3M

6M

9M

1Y

2Y

3Y

MATURITY
5Y

7Y

10Y

15Y

20Y

30Y

Total

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

EXPIRY

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

EXPIRY

Total Sub-Saharan Africa
1M
3M
6M
9M
1Y
2Y
3Y
5Y
7Y
10Y
15Y
20Y
30Y
Total

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

Trading, PE & Other Fair Value Assets Schedule
Other Rates

Firm Name

Effective Date:
Submission Date:

Inflation Delta ($K / +1 bp)
CTRDH081
Currency
CTRDH079
AUD
EUR
GBP
JPY
USD
Other
Total

1M

0

3M

0

6M

0

9M

1Y

2Y

0

0

0

9M

1Y

2Y

MATURITY
3Y
5Y
CTRDH080

0

0

7Y

10Y

15Y

20Y

30Y

Total

0

0

0

0

0

0.00
0.00
0.00
0.00
0.00
0.00
0

7Y

10Y

15Y

20Y

30Y

Total

0

0.00
0.00
0.00
0.00
0.00
0

Cross-Currency vs. USD Basis ($K / +1 bp)
(+1 bp parallel move in curve relative to base curve)
CTRDH082
Currency
1M
3M
6M
CTRDH079
AUD
EUR
GBP
JPY
Other
Total
0
0
0

0

0

0

MATURITY
3Y
5Y
CTRDH080

0

0

0

0

0

0

Trading, PE & Other Fair Value Assets Schedule
Energy

Firm Name

CRUDE OIL

Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Gamma ($MM / +1%)

CTRDH088

Total Gamma

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega

CTRDH089
CTRDH090

Brent

Dubai Fateh

Maya

Tapis

WTI

OMAN

Other Sour
Crude

Other
Sweet
Crude

Unspecified
Crude

$0

$0

$0

$0

$0

$0

$0

$0

$0

Trading, PE & Other Fair Value Asse
Energy

Effective Date:
Submission Date:
OIL PRODUCTS
CTRDH083
OTHER OIL PRODUCTS

Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Diesel

Fuel Oil

Heating Oil

Naptha

Ethanol

LPG

Jet Fuel

Gas Oils

Gasoline

Other Oil
Products

Total Oil
Products

$0

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

CTRDH084

$0

$0

$0

$0

$0

$0

$0

$0

$0

Gamma ($MM / +1%)
Total Gamma

0

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega

0

Trading, PE & Other Fair Value Asse
Energy
NATURAL GAS
CTRDH083
US

Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Gulf Coast

MidCont

NE

Rockies

Europe
West

NYMEX

Other US

UK

Belgium

Dutch

French

German

Other
Europe

Canada

Other Regions

Total NatGas

$0

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

CTRDH084

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

Gamma ($MM / +1%)
Total Gamma

0

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega

0

Trading, PE & Other Fair Value Asse
Energy

Firm Name

POWER
CTRDH083
US

Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Ercot

Midwest

North East

Europe
NYISO

West

Other US

Nordpool

Benelux

UK

Germany

France

Italy

Other Europe

Other Regions Total Power

CTRDH084

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

Gamma ($MM / +1%)
Total Gamma

0

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega

0

Trading, PE & Other Fair Value Asse
Energy

Effective Date:
Submission Date:
OTHER ENERGY
CTRDH083
Coal

Emissions

Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

EUA/ETS

CER

VER

Other

ARA /API2

Richards Bay /
API4

Indonesia

Dry Freight

Other
Regions

Baltic Dry
Index

Other
Freight

Structured
Products

Total
Energy

Other /
Unspecified
Energy

Total Other
Energy

$0

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

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

0

0

0

0

CTRDH084

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

Gamma ($MM / +1%)
Total Gamma

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega

Trading, PE & Other Fair Value Asse
Energy
INFORMATIONAL**
CTRDH083
Tolling Agreements
Heat Rate Options

Delta ($MM)
CTRDH087
CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Gamma ($MM / +1%)
Total Gamma

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Total Vega

Gas Component

Power
Component

Gas Component

Power
Component

CTRDH084

$0
$0
** See FR Y-14Q instructions

$0

$0

Trading, PE & Other Fair Value Assets Schedule
Metals

Firm Name

Effective Date
Submission Date

PRECIOUS METALS
CTRDH083

Delta ($MM)
CTRDH087

Gold

CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Gamma ($MM / +1%)

Total Vega

Palladium

Platinum

Total Precious
Metals

Aluminum
(Primary)

Aluminum
(Alloy)

Copper

Iron

Lead

CTRDH084

$0

$0

$0

Nickel

Tin

Uranium

Zinc

Other Base
Metals

Total Base
Metals

$0

$0

$0

$0

$0

$0

$0

$0

Total Metals

CTRDH084

CTRDH084
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0
$0

CTRDH083
Other /
Unspecified
Metals

$0

$0

$0

$0

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

$0

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

CTRDH088

Total Gamma

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)

Silver

BASE METALS
CTRDH083
Other
Precious
Metals

0

0

0

0

0

0

CTRDH089
CTRDH090

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

Firm Name

Effective Date:
Submission Date:

CTRDH083

Delta ($MM)
CTRDH087

Cocoa

Coffee

Corn

Cotton

Cattle

Lean Hogs

Livestock

Lumber

CTRDH086

$0

Total Vega

Soybeans

Soymeal

Soybean Oil

Sugar

Wheat

Other /
Unspecified
Ags/Softs

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

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

$0

$0

Long/Short
Commodity Indices

Grand Total

CTRDH084

$0

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

$0

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

CTRDH088

Total Gamma

Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)

Diversified
Total

CTRDH084

CTRDH086
Spot Maturity
Month 1
Month 2
Month 3
Month 4
Month 5
Month 6
Month 7
Month 8
Month 9
Month 10
Month 11
Month 12
Month 13
Month 14
Month 15
Month 16
Month 17
Month 18
Month 19
Month 20
Month 21
Month 22
Month 23
Month 24
Year 3
Year 4
Year 5
Year 6
Year 7
Year 8
Year 9
Year 10-14
Year 15-19
Year 20+
Total Delta

Gamma ($MM / +1%)

DJ-UBS Index TR/J CRB Index

Other
Diversified
Indices

0

0

0

0

CTRDH089
CTRDH090

Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids

Firm Name

Profit/(Loss) from changes in Spot/Vol ($MM): OIL PRODUCTS

Effective Date:
Submission Date:

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

50%

75%

50%

75%

50%

75%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): NATURAL GAS

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): POWER

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

0
10
20
35
50

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00

25%

Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids

Firm Name

Profit/(Loss) from changes in Spot/Vol ($MM): EMISSIONS

Effective Date:
Submission Date:

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

50%

75%

50%

75%

50%

75%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): COAL

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): FREIGHT

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

0
10
20
35
50

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00

25%

Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids

Firm Name

Effective Date:
Submission Date:

Profit/(Loss) from changes in Spot/Vol ($MM): OTHER STRUCTURED PRODUCTS & OTHER ENERGY PRODUCTS

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

50%

75%

50%

75%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): BASE METALS

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

0
10
20
35
50

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00

25%

Trading, PE & Other Fair Value Assets Schedule
Commodity Spot-Vol Grids

Firm Name

Effective Date:
Submission Date:

Profit/(Loss) from changes in Spot/Vol ($MM): PRECIOUS METALS

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

50%

75%

50%

75%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): AGS/SOFTS

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093

0
10
20
35
50

25%

$0.00

Profit/(Loss) from changes in Spot/Vol ($MM): DIVERSIFIED COMMODITY INDICES

CTRDH094

CTRDH095

Please select how volatility changes are expressed:

% CHANGE IN VOL

CTRDH092

0
10
20
35
50

-75%

-50%

-40%

CTRDH091

-30%

Absolute Shift in Vol Pts

% CHANGE IN SPOT VALUE
-20%
0%
CTRDH093
$0.00

25%

50%

75%

Trading, PE & Other Fair Value Assets Schedule
Securitized Products

Firm Name

RMBS
CTRDH096

Grand
Total

Non-Agency
Prime

Subprime

Option
ARMS

Other
AltA

Unspec
Non-Prime

HELOC

RMBS CDO RMBS CDS

Credit
Basket

PrimeX

ABX / TABX

Prime
Whole
Loans

Non-Prime
Whole Loans

European
RMBS

Other /
Unspecified

RMBS
SubTotal

MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
AAA Total
> 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

CTRDH097

Trading, PE & Other Fair Val
Securitized Products

ABS
CTRDH096

Autos
MV* ($MM)
CTRDH100
Rating CTRDH098
Vintage CTRDH099
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

Credit
Cards

Student
Loans

ABS CDS

Credit
Basket

CMBS
CTRDH096

Index Tranches

Other /
Unspecified

ABS SubTotal

Cash NonAgency
CMBS
CMBS CDS CMBS CDO

Credit
Basket

CTRDH097

Index
Tranches

Whole
Loans

Other /
Unspecified

CMBS SubTotal

CTRDH097

$0

$0

$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
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

Corporate CDO / CLO
CTRDH096
Corporate
Other /
CDO/CLO
Unspecified
SubTotal

Warehouse
CTRDH096

Total Size

CTRDH097

Total Protection

Other /
Unspecified

CTRDH097

$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

ABX / TABX

Prime
Whole
Loans

Non-Prime
Whole Loans

European
RMBS

Other /
Unspecified

RMBS
SubTotal

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

Grand
Total

Non-Agency
Prime

Subprime

Option
ARMS

Other
AltA

Unspec
Non-Prime

HELOC

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

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

$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

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

$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

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

$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

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

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

Total

$0

Credit
Basket

PrimeX

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

RMBS CDO RMBS CDS

Trading, PE & Other Fair Val
Securitized Products

ABS
CTRDH096

Autos

Credit
Cards

Student
Loans

$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 NonAgency
CMBS
CMBS CDS CMBS CDO

ABS CDS

Credit
Basket

Index Tranches

Other /
Unspecified

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

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

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

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

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

$0

$0

$0

Total

$0

$0

$0

Notional ($MM)
CTRDH101
Rating (CTRDH098)
Vintage (CTRDH099)
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

Credit
Basket

Index
Tranches

Whole
Loans

Other /
Unspecified

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

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

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

$0

$0

$0

$0

$0

$0

$0

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

$0

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

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

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

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

ABS SubTotal

CMBS SubTotal

Trading, PE & Other Fair Val
Securitized Products

Effective Date:
Submission Date:

CLO
Notional ($MM)
CTRDH101
Rating (CTRDH098)
Vintage (CTRDH099)
AAA Total
> 9Y
> 6Y and <= 9Y
> 3Y and <= 6Y
<= 3Y
Unspecified Vintage

Corporate CDO / CLO
CTRDH096
Corporate
Other /
CDO/CLO
Unspecified
SubTotal

Warehouse
CTRDH096

Total Size

Total Protection

Other /
Unspecified

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

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

$0

$0

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

$0

$0

$0

Total

$0

$0

$0

$0

$0

$0

Trading, PE & Other Fair Value Assets Schedule
Agencies

US Residential Agency Products
CTRDH102
CTRDH103
IOs
POs
Other CMOs
Pass-Throughs
Agency Debt/Debentures
IOS Index
POS Index
MBX Index
Other Agency Derivatives
TBA's
Reverse Mortgages
Residential Other / Unspecified
Total

Firm Name

MV ($MM)
CTRDH104

$0

DV01
($K / -1 bp)
CTRDH105

0

CS01
($K/+1 bp OAS
widening)
CTRDH106

0

Effective Date:
Submission Date:

Profit/(Loss) in $K from an Absolute Widening in OAS (bps)
CTRDH108
$K / +1% rise in
prepayments
CTRDH107

0

0 bps

+1 bps

+10 bps

+50 bps

+100 bps
CTRDH109

+200 bps

+300 bps

+400 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

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

CTRDH119

CTRDLF66

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

Table E
CTRDH148

CTRDH149
Rating

MV
($MM)

Long
Notional
($MM)

CTRDH150

CTRDH151

CTRDH154

AAA
AA
A
BBB
BB
B
$100M

Indices

Tranches
Equity

CTRDLF92

MV
($MM)
CTRDLF81

100%

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

Mezzanine

Super Senior

Notional
Notional
Notional
Notional
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

Trading, PE & Other Fair Value Ass

Effective Date:
Submission Date:

IDR-Corporate Credit

Table F - Index Products by Series

CDX IG by Series
Receiver Options

Payer Options by spread moneyness in-% (1-strike spread / index spread)
Index Name

CTRDLF65

< -400
[-400,-200)
[-200,-100)
[-100,0)
>= 0
Notional
Notional
Notional
Notional
Notional
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

MV ($MM)

Notional
($MM)

CTRDLF81

CTRDLF82

CDX IG
CDX IG
CDX IG
:
CDX HY by Series

Index Name

< -400
MV ($MM)

CTRDLF65

CTRDLF81

Payer Options by spread moneyness in-% (1-strike spread / index spread)
[-400,-200)
[-200,-100)
[-100,0)

Receiver Options
>= 0

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

Notional
($MM)

MV ($MM)

Notional
($MM)

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CDX HY
CDX HY
CDX HY
:
iTraxx Main by Series
Receiver Options

Payer Options by spread moneyness in-% (1-strike spread / index spread)
Index Name

CTRDLF65

< -400
[-400,-200)
[-200,-100)
[-100,0)
>= 0
Notional
Notional
Notional
Notional
Notional
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
MV ($MM)
($MM)
($MM)
($MM)
($MM)
($MM)
CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

MV ($MM)

Notional
($MM)

CTRDLF81

CTRDLF82

iTraxx Main
iTraxx Main
iTraxx Main
:
iTraxx XO by Series

Index Name

< -400
MV ($MM)

CTRDLF65

CTRDLF81

Payer Options by spread moneyness in-% (1-strike spread / index spread)
[-400,-200)
[-200,-100)
[-100,0)

Receiver Options
>= 0

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

Notional
($MM)

MV ($MM)

Notional
($MM)

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

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

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

*include only indices with gross MV > $10

< -400
MV ($MM)
CTRDLF81

[-400,-200)

[-200,-100)

[-100,0)

>= 0

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

Notional
($MM)

MV ($MM)

Notional
($MM)

CTRDLF82

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

CTRDLF82

CTRDLF81

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)

(B)

Investments Reported at FAIR VALUE ($MM)

Investments NOT Reported at FAIR VALUE ($MM)

CTRDLE99

Sector

GICS Code Industry Group

CTRDH165
Energy

CTRDH164 CTRDH166
1010
Energy

United States

Western
Europe

CTRDLF00

Other
Developed
Markets

Emerging
Markets

Unspecified
Geography

Total

Global

Global

$0

$0

$0

United States

Western
Europe

CTRDH167

Other
Developed
Markets

Emerging
Markets

Unspecified
Geography

CTRDH167

Materials

1510

Materials

$0

$0

$0

Industrials
Industrials
Industrials
Industrials
Industrials

2010
2020
2030
20
20

Capital Goods
Commercial & Professional Services
Transportation
Unspecified
Total

$0
$0
$0
$0
$0

$0
$0
$0
$0
$0

$0

$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary

2510
2520
2530
2550
25
25

Automobiles & Components
Consumer Durables & Apparel
Consumer Services
Retailing
Unspecified
Total

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

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

$0

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

$0

$0

$0

$0

$0

Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples

3010
3020
3030
30
30

Food & Staples Retailing
Food, Beverage & Tobacco
Household & Personal Products
Unspecified
Total

$0
$0
$0
$0
$0

$0
$0
$0
$0
$0

$0

$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

Health Care
Health Care
Health Care
Health Care

3510
3520
35
35

Health Care Equipment & Svcs
Pharma., Bio. & Life Sciences
Unspecified
Total

$0
$0
$0
$0

$0
$0
$0
$0

$0

$0
$0
$0
$0

$0

$0

$0

$0

$0

Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)
Financials (excl Real Estate)

4010
4020
4030

Banks
Diversified Financials
Insurance
Unspecified
Total

$0
$0
$0
$0
$0

$0
$0
$0
$0
$0

$0

$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

Information Technology
Information Technology
Information Technology
Information Technology
Information Technology

4510
4520
4530
45
45

Software & Services
Technology Hardware & Equipment
Semicondt. & Semicondt. Equip.
Unspecified
Total

$0
$0
$0
$0
$0

$0
$0
$0
$0
$0

$0

$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

$0

Trading, PE & Other Fair Value Assets Schedule
Private Equity

Firm Name

Effective Date
Submission Date
(A)

(B)

Investments Reported at FAIR VALUE ($MM)

Investments NOT Reported at FAIR VALUE ($MM)

CTRDLE99

Sector

GICS Code Industry Group

Total

Global

United States

Western
Europe

CTRDLF00

Other
Developed
Markets

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

$0

Real Estate
Real Estate
Real Estate

6010

Real Estate (Exclude Affordable Housing PWI)
Affordable Housing PWI
Total

$0
$0
$0

$0
$0
$0

Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector/Industry
Unspecified Sector / Industry

N/A
N/A
N/A
N/A
N/A

Minority Interest in Hedge Funds
Fund Seed Capital
Infrastructure Funds
Other Unspecified Sector/Industry
Total

$0
$0
$0
$0
$0

$0
$0
$0
$0
$0

$0

$0

$0

$0

$0

$0

$0

$0

$0
$0

$0
$0

$0

$0

Funded Total
Unfunded Commitments
Unfunded Commitments
Unfunded Commitments Total

N/A
N/A

All (Exclude Affordable Housing PWI)
Affordable Housing PWI

$0

$0

$0

Emerging
Markets

$0

Unspecified
Geography

$0

Global

United States

Western
Europe

Other
Developed
Markets

Emerging
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
$0
$0
$0
$0

$0

$0

$0

$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)
Global

United States

Non-US
CTRDH167

Sector

GICS Code

Industry Group

CTRDH165
Energy

CTRDH164
1010

CTRDH166
Energy

$0

Materials

1510

Materials

$0

Industrials
Industrials
Industrials
Industrials
Industrials

2010
2020
2030
20
20

Capital Goods
Commercial & Professional Services
Transportation
Unspecified
Total

Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary
Consumer Discretionary

2510
2520
2530
2550
25
25

Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples
Consumer Staples

Equity

Debt

Equity

Debt

CTRDH169

CTRDH170

CTRDH169

CTRDH170

$0
$0
$0
$0
$0

$0

$0

$0

$0

Automobiles & Components
Consumer Durables & Apparel
Consumer Services
Retailing
Unspecified
Total

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

$0

$0

$0

$0

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)
Global

United States

Non-US
CTRDH167

Sector

GICS Code

Industry Group

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

Sensitivity
Delta
Gamma
Vega
DV01
CS01
CS1%

Units
($MM)
($MM / +1%)
($MM / +1 vol pt)
($K / -1 bp)
($K/+1 bp spread widening)
($K/+1% spread widening)

Template name:
Trading, PE & Other Fair Value Assets Schedule

Headers
Delta($MM)
Gamma($MM / +1%)
Vega($MM / +1 vol pt)
DV01($K / -1 bp)
CS01($K/+1 bp spread widening)
CS1%($K/+1% spread widening)

Titles
Delta ($MM)
Gamma ($MM / +1%)
Vega ($MM / +1 vol pt)
DV01 ($K / -1 bp)
CS01 ($K/+1 bp spread widening)
CS1% ($K/+1% spread widening)

Worksheet
Equity Spot-Vol Grid
Equity Spot-Vol Grid
Energy
Energy
Commodity Spot-Vol Grids
Commodity Spot-Vol Grids
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega

FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega

FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega

FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega

FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega
FX Spot/FX Vega

DataValidation
Absolute Shift in Vol Pts
Relative % change in Volatility
Vega ($MM / +1 vol pt)
Vega ($MM / +10% Rel)
Absolute Shift in Vol Pts
Relative % change in Volatility
AED
AFN
ALL
AMD
ANG
AOA
ARS
AUD
AWG
AZN
BAM
BBD
BDT
BGN
BHD
BIF
BMD
BND
BOB
BRL
BRR
BSD
BWP
BYR
BZD
CAD
CHF
CLF
CLP
CNH
CNY
COP
COU
CRC
CSD
CUP
CVE
CYP
CZK
DEM

DJF
DKK
DOP
DZD
ECS
ECU
EEK
EGP
ERN
ETB
EUR
EUZ
FJD
FKP
FRF
GBP
GEL
GHC
GHS
GMD
GNF
GTQ
GWP
GYD
HER
HKD
HNL
HRK
HTG
HUF
IDO
IDR
ILS
INO
INR
IQD
IRR
ISK
ITL
JMD
JOD
JPY
KES
KGS
KHR
KMF
KOR

KRO
KRW
KWD
KZT
LAK
LBP
LKR
LRD
LSL
LTL
LVL
LYD
MAD
MDL
MGA
MKD
MMK
MNT
MNY
MOP
MRO
MTL
MUR
MVR
MWK
MXN
MXV
MYO
MYR
MZM
MZN
NAD
NGN
NIO
NOK
NPR
NZD
OMR
PAB
PEN
PGK
PHP
PKR
PLN
PYG
QAR
ROL

RON
RSD
RUB
RWF
SAR
SBD
SCR
SDD
SEK
SGD
SIT
SKK
SLL
SOS
SRD
STD
SVC
SYP
SZL
THB
TJS
TND
TOP
TRL
TRY
TTD
TWD
TZS
UAH
UDI
UFC
UGX
USB
USD
UYP
UYU
UZS
VEB
VEF
VND
VUV
WST
XAF
XAU
XCD
XEU
XOF

XPD
XPF
XPT
YER
ZAR
ZMK