FR Y-14Q

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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: 5/18/26 11:09 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/
Parent
Parent
Counterparty Counterparty
Name
ID

Counterparty
Legal Entity
Name

Stressed
Counterparty Counterparty
Gross Current Stressed Gross
Counterparty
Sub-netting Counterparty
Gross
Netting Set ID
Counterparty Legal Legal Entity Legal Entity
Exposure
Current Exposure
Legal Entity
Set ID
Legal Entity
Current
Entity Country
Internal
External
FR Scenario
BHC/IHC/SLHC
Identifier (LEI)
Industry Code
Exposure
Rating
Rating
(Severely
scenario
Adverse)

Exposure and Position Dat

Net Current
Exposure

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

consolidated/p

ta
Consolidated/
Parent
Counterparty
ID

CVA Data

Total Notional

New Notional
During
Quarter

Weighted
Average
Maturity

Position Markto-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

Sub-netting Set Counterparty Counterparty
ID
Legal Entity
Legal Entity
Industry Code
Country

Exp
Counterparty Counterparty
Legal Entity Legal Entity
Internal
External
Rating
Rating

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
$ Milli
posure and Position Data

Rank

Total Notional

New Notional
During Quarter

Credit mitigants
Weighted
Average
Maturity

Position Mark-toMarket

Total Net
Collateral

CVA

Stressed CVA
FR Scenario and FR
Specification
(Severely Adverse)

Stressed CVA
BHC/IHC/SLHC
Scenario and
specification

Credit
Support
Annex in
place?

Credit Hedges
%
Gross Current
Exposure with
CSAs

Downgrade trigger
modeled?

Single Name
Credit
Hedges

Sub-schedule L.1.e - Aggregate CVA data by ratings and collateralization
$ Millions
Sub-schedule L.1.e.1 Aggregate CVA data
Ratings Category

Internal
Rating

N/A

External Rating

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

Net Current
Exposure
excluding
CCPs

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

Rating Category

Internal
Rating

(a) Model/infrastructure limitations
(b) Trades not captured
(b.1) Fair-valued and accrual Securities Financing Transactions (SFT)
(c) Offline reserves
(d) Funding Valuation Adjustment (if applicable)
(e) Other

External
Rating

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

Single Name Credit
Hedges

Credit Hedges
Stressed
CVA
Stressed CVA
BHC/IHC/
FR Scenario and FR
SLHC
Single Name
Specification
Scenario Credit Hedges
(Severely Adverse)
and
Specificati
on
CVA Data

Stressed
Stressed
Net Current
Net Current
Net Current
Exposure
Exposure
Exposure to
to CCPs
excluding CCPs
CCPs
FR Scenario
FR Scenario
(Severely
(Severely Adverse)
Adverse)

Stressed
Net Current
Exposure
BHC/IHC/SLHC
Scenario

CVA

Sub-schedule L.1.e.3 Collateralized Netting Sets (netting sets with a CSA agreement in place) sorted by Internal Rating
Ratings Category

Internal
Rating

External Rating

Stressed
Stressed
Gross Current
Gross Current
Gross Current
Exposure
Stressed Gross
Gross Current
Exposure to
Exposure
excluding
Current Exposure
Exposure to
CCPs
excluding
CCPs
BHC/IHC/SLHC
CCPs
FR Scenario
CCPs
FR Scenario
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

Internal
rating

External rating

Exposure Data

Net Current
Exposure
excluding
CCPs

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)

Exposure Data

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

Net Current
Exposure
excluding
CCPs

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

External
Rating

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

Net Current
Exposure
excluding
CCPs

Sub-schedule L.1.f.2 Residual counterparties: uncollateralized netting sets
Counterparty Attributes

Industry Code

Region

Internal
Rating

Exposure Data

External
Rating

Stressed
Stressed
Gross Current
Gross Current
Gross Current
Exposure
Gross Current
Exposure to
Stressed Gross
Net Current
Exposure
excluding
Exposure to
CCPs
Current Exposure Exposureexcl
excluding
CCPs
CCPs
FR Scenario BHC/IHC scenario uding 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)

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

Net Current
Exposure to
CCPs

Stressed
Net Current
Exposure
excluding
CCPs
FR Scenario
(Severely
Adverse)

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.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/
Counterpart
Counterparty
Sub-netting
Parent
Parent
Counterparty Legal
Netting Set ID
y Legal Entity
Legal Entity
Set ID
Counterparty Counterparty
Entity Name
Industry
Identifier (LEI)
Name
ID
Code

CVA Inputs

Counterparty
Legal Entity
Country

Counterparty
Counterparty
Legal Entity
Legal Entity
External
Internal Rating
Rating

Expected
Tenor
Exposure (EE) - Marginal
Bucket in BHC/IHC/SLH Probability of
C
Default (PD)
Years
Specification

Loss
Given
Default
(LGD)
(CVA)

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
Expected
Exposure (EE) BHC/IHC/SLHC
Scenario and
Specification

Stressed Loss
Stressed Marginal Stressed Marginal Given Default
Probability of
Expected
(LGD) (CVA)
Default (PD) FR
Exposure (EE)
FR Scenario
Scenario (Severely BHC/IHC/SLHC
(Severely
Adverse)
Scenario
Adverse)

Stressed Loss
Given Default
(LGD) (CVA)
BHC/IHC/SLHC
Scenario

Stressed Loss
Given Default (PD)
FR Scenario
(Severely Adverse)

Stressed Loss
Given Default
(PD)
BHC/IHC/SLHC
Scenario

Stressed
Stressed Discount
Discount
Factor
Factor
FR Scenario
BHC/IHC/SLH
(Severely Adverse)
C Scenario

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 St
$ Millions
Counterparty Identifiers

Rank

Counterparty
Consolidated/Pare
Counterparty
Sub-netting Counterparty
Counterparty
Tenor
Consolidated/Pare Counterparty Legal
Netting Set ID
Counterparty Legal
Legal Entity
nt Counterparty
Legal Entity
Set ID
Legal Entity
Legal Entity
Bucket in
nt Counterparty ID
Entity Name
Entity Country
External
Name
Identifier (LEI)
Industry Code
Internal Rating
Years
Rating

e by counterparty: ressed CVA for the CCAR quarter

CVA Inputs

Expected
Marginal
Consolidated/Pare Exposure (EE) Probability of
nt Counterparty ID BHC/IHC/SLHC
Default (PD)
Specification

Stressed CVA Inputs

Loss
Given
Default
(LGD)
(CVA)

Stressed
Expected
Exposure (EE)
- FR Scenario
Discount
and FR
Factor
Specification
(Severely
Adverse)

Stressed
Expected
Exposure (EE) BHC/IHC/SLHC
Scenario and
Specification

Stressed Marginal
Probability of
Default (PD) FR
Scenario (Severely
Adverse)

Stressed
Marginal
Probability of
Default (PD)
BHC/IHC/SLHC
Scenario

Stressed Loss
Given Default
(LGD) (CVA)
FR Scenario
(Severely
Adverse)

Stressed Loss
Given Default
(LGD) (CVA)
BHC/IHC/SLHC
Scenario

Stressed Loss
Given Default
(LGD) (PD) FR
Scenario (Severely
Adverse)

Stressed Loss
Given Default
(PD)
BHC/IHC/SLHC
Scenario

Stressed
Stressed Discount
Discount
Factor
Factor
FR Scenario
BHC/IHC/SLH
(Severely Adverse)
C Scenario

Sub-schedule L.3.a Credit quality by counterparty: Top consolidated/parent counterparties comprising 95% of firm unstressed CVA, ranked by unstressed CVA
Counterparty and Time Identifiers

Rank

Counterparty Counterparty
Consolidated/P Consolidated/
Market
Sub-netting Counterparty
Counterparty
Counterparty Legal Legal Entity Legal Entity Time period
Netting Set ID
Parent
Counterparty
arent
spread
Set ID
Legal Entity
Legal Entity
External
(years)
Entity Country
Internal
Counterparty Counterparty Legal Entity Name
(bps)
Industry Code
Identifier (LEI)
Rating
Rating
ID
Name

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

Type of Credit Quality Input
Stressed spreads
(bps)
BHC/IHC/SLHC
Scenario

Mapping
approach

Proxy
mapping
approach

Proxy
name

Market
Ticker /
input
identifier
type

Report
date

Source
(Bloomber
Comments
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 Adv
Counterparty and Time Identifiers

Rank

Counterparty
Counterparty
Consolidated/ Consolidate
Sub-netting
Counterparty
Legal Entity
Legal Entity Netting Set
d/Parent
Parent
Set ID
Legal Entity
Industry
Identifier
ID
Counterparty Counterpart
Name
Code
(LEI)
y ID
Name

Counterparty
Legal Entity
Country

Counterparty Counterparty
Market
Legal Entity Legal Entity Time period
spread
External
(years)
Internal
(bps)
Rating
Rating

it quality by verse
c
Scenario Stressed CVA for the CCAR quarter
Data Inputs
Stressed
Spread
Consolidate
spreads
Spread (bps) used
d/Parent
(bps)
adjustme in CVA
Counterpart
FR
nt (bps) calculatio
y ID
Scenario
n
(Severely

Type of Credit Quality Input
Stressed spreads
(bps)
BHC/IHC/SLHC
Scenario

Mapping
approach

Proxy
mapping
approach

Proxy
name

Market
Ticker /
input
identifier
type

Report
date

Source
(Bloomber
Comments
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
<<Cpty name 1>>
<<Cpty name 1 ID>>

+1bp
<<Cpty name 2>>
<<Cpty name 2 ID>>

+300bps

+1bp

+1bp

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

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
<<Cpty name 5>>
<<Cpty name 6>>
<<Cpty name 5 ID>>
<<Cpty name 6 ID>>

+1bp
<<Cpty name 3>>
<<Cpty name 3 ID>>

+1bp
<<Cpty name 4>>
<<Cpty name 4 ID>>

+1bp
<<Cpty name 7>>
<<Cpty name 7 ID>>

+1bp
<<Cpty name 8>>
<<Cpty name 8 ID>>

+1bp
<<Cpty name 9>>
<<Cpty name 9 ID>>

+1bp
<<Cpty name 10>>
<<Cpty name 10 ID>>

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

+1bp

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

All maturities
Other material IR sensitivities
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
FX (%)

-50%

-10%

+1%

+10%

+50%

+100%

+1%
<<Cpty name 1>>
<<Cpty name 1 ID>>

+1%
<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

+1%
<<Cpty name 1>>
<<Cpty name 1 ID>>

+1%
<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

CAD

CHF

EUR

GBP

JPY
Other material FX sensitivities
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
Equity (%)

-50%

-10%

+1%

+10%

+50%

+100%

US <<Define>>

Europe <<Define>>

Other <<Define>>

+1%
<<Cpty name 3>>
<<Cpty name 3 ID>>

+1%
<<Cpty name 4>>
<<Cpty name 4 ID>>

+1%
<<Cpty name 5>>
<<Cpty name 5 ID>>

+1%
<<Cpty name 6>>
<<Cpty name 6 ID>>

+1%
<<Cpty name 7>>
<<Cpty name 7 ID>>

+1%
<<Cpty name 8>>
<<Cpty name 8 ID>>

+1%
<<Cpty name 9>>
<<Cpty name 9 ID>>

+1%
<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

+1%
<<Cpty name 3>>
<<Cpty name 3 ID>>

+1%
<<Cpty name 4>>
<<Cpty name 4 ID>>

+1%
<<Cpty name 5>>
<<Cpty name 5 ID>>

+1%
<<Cpty name 6>>
<<Cpty name 6 ID>>

+1%
<<Cpty name 7>>
<<Cpty name 7 ID>>

+1%
<<Cpty name 8>>
<<Cpty name 8 ID>>

+1%
<<Cpty name 9>>
<<Cpty name 9 ID>>

+1%
<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

Other material equity sensitivities
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
<<Insert name/ definition>>
Commodities (%)

-50%

-10%

+1%

+10%

+100%

+300%

+1%
<<Cpty name 1>>
<<Cpty name 1 ID>>

+1%
<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

<<Cpty name 1>>
<<Cpty name 1 ID>>

<<Cpty name 2>>
<<Cpty name 2 ID>>

Oil & Oil Products

Natural Gas

Power

Coal & Freight

Softs & Ags

Precious Metals

Base Metals
Other material commodity sensitivities
<<Insert name/ definition>>
<<Insert name/ definition>>
Other material sensitivities
<<Insert name/ definition/units>>
<<Insert name/ definition/units>>
<<Insert name/ definition/units>>
<<Insert name/ definition/units>>
<<Insert name/ definition/units>>
<<Insert name/ definition/units>>

-50%

-10%

+1%

+10%

+50%

+100%

+1%

+1%

-50%

-10%

+1%

+10%

+50%

+100%

+1%

+1%

+1%
<<Cpty name 3>>
<<Cpty name 3 ID>>

+1%
<<Cpty name 4>>
<<Cpty name 4 ID>>

+1%
<<Cpty name 5>>
<<Cpty name 5 ID>>

+1%
<<Cpty name 6>>
<<Cpty name 6 ID>>

+1%
<<Cpty name 7>>
<<Cpty name 7 ID>>

+1%
<<Cpty name 8>>
<<Cpty name 8 ID>>

+1%
<<Cpty name 9>>
<<Cpty name 9 ID>>

+1%
<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

<<Cpty name 3>>
<<Cpty name 3 ID>>

<<Cpty name 4>>
<<Cpty name 4 ID>>

<<Cpty name 5>>
<<Cpty name 5 ID>>

<<Cpty name 6>>
<<Cpty name 6 ID>>

<<Cpty name 7>>
<<Cpty name 7 ID>>

<<Cpty name 8>>
<<Cpty name 8 ID>>

<<Cpty name 9>>
<<Cpty name 9 ID>>

<<Cpty name 10>>
<<Cpty name 10 ID>>

+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

Consolidated/Parent
Counterparty Name

1 CPName1
1 CPName1
1 CPName1
24 CPName24
24 CPName24
25 CPName25
QCCP Qualifying CCP name
NQCCP Non-Qualifying CCP name
G7 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

Counterparty Legal
Entity Industry Code

Counterparty
Legal Entity
Country

Netting Agreement Details

Counterparty Legal
Entity Internal
Rating

Counterparty Legal Entity
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
Enforceability

Initial Margin

Non-cash
collateral
type

Excess
Variation
Margin (for
CCPs)

Default Fund (for
CCPs)

Threshold CP
(DO NOT
USE)

Threshold
BHC/IHC/SLHC
(DO NOT USE)

Netting Agreement Details

Minimum
Minimum
Transfer
Transfer
Amount
Amount CP (DO
BHC/IHC/SLHC
NOT USE)
(DO NOT USE)

Margining
frequency

CSA contractual
features (nonvanilla)

Current Exposure

WWR position

None
None
None
None
None
Specific
General

Total Net
Current
Exposure

Total Stressed
Stressed Net
Net Current Total Stressed
Current
Exposure
Net Current
Net Current Exposure SFTs
FR Scenario
Exposure
Exposure SFTs FR scenario
(Severely
BHC or IHC or
(Severely
Adverse)
SLHC Scenario
Adverse)

Position Mark-to-Market Values

Stressed Net
Current
Exposure SFTs
BHC or IHC or
SLHC Scenario

Net Current
Exposure
Derivatives

Stressed Net
Stressed Net
Current
Current Exposure
Unstressed Mark- Unstressed Mark-toExposure
Derivatives
to-Market
Market Posted
Derivatives
FR scenario
(Derivatives)
(SFTs)
BHC or IHC or
(Severely Adverse)
SLHC Scenario

Unstressed
Mark-toMarket
Received
(SFTs)

Stressed Mark-toMarket
(Derivatives)
FR scenario
(Severely Adverse)

Stressed Mark-toMarket
(Derivatives)
BHC or IHC or SLHC
Scenario

Stressed MarkStressed Markto-Market
to-Market
Posted (SFTs)
Posted (SFTs)
FR scenario
BHC or IHC or
(Severely
SLHC Scenario
Adverse)

Position Mark-to-Market Values

Stressed Mark-toStressed Mark-toMarket
Market
Received (SFTs)
Received (SFTs)
FR scenario (Severely BHC or IHC or SLHC
Adverse)
Scenario

Total Unstressed
Mark-to-Market
Collateral
(Derivatives)

Unstressed Mark-to-Market Cash Collateral (Derivatives)

USD

EUR

GBP

JPY

Other

Stressed Mark-to-Market Cash Coll
FR scenario (Severely A

USD

EUR

GBP

ateral (Derivatives)
dverse)

JPY

Other

Credit Quality and CDS Hedges

Stressed Mark-to-Market Cash Collateral (Derivatives)
BHC or IHC or SLHC Scenario

USD

EUR

GBP

JPY

Other

Total
Total Stressed
Stressed
Mark-toMark-toCDS
5Y CDS
Market
Market
Reference
Wrong
Spread
Collateral
Collateral Entity Type
Way Risk
(Derivatives)
(bp) (DO
(Derivatives) (DO NOT
hedge?
FR scenario
NOT USE)
BHC or IHC
USE)
(Severely
or SLHC
Adverse)
Scenario

CDS Hedge
Notional

Stressed CVA
FR scenario
(Severely
Adverse)

Stressed CVA
BHC or IHC or
SLHC Scenario

Sub-schedule L.5.2 - SFT assets posted and received by counterparty legal entity and netting set/agreement and asset category
Unstressed Mark-to-Market (Posted) by Asset

Counterparty identifiers

Rank
Methodology

Rank

Consolidated/Parent
Counterparty Name

Consolidated / Parent
Entity Counterparty ID

Counterparty Legal Entity Name

Counterparty Legal Entity
Identifier (LEI)

Cen
Mark-to-M

Netting Set ID

United States

NA
NA
QCCP
NQCCP
NQCCP
NA

1 CPName1
1 CPName1
QCCP CPName2
NQCCP CPName3
NQCCP CPName3
2 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

Ratings Category

Internal rating

External
rating

Exposure Data

Net Current Exposure

Stressed Net Current
Exposure
FR scenario (Severely
Adverse)

Stressed Net Current Exposure
BHC scenario

US Treasury & Agency

Indemnified Securities
Lent (Notional Balance)

Indemnified Cash
Collateral
Reinvestment
(Notional Balance)

Posted

Received

t category

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

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

Central Debt
Mark-to-Market (Posted)

Equity
Mark-to-Market (Posted)

ntral Debt
Market (Posted)

United Kingdom &
France

Other Eurozone

Japan

Other

US

CAD

UK

Eurozone

Corpora
Advanced
Mark-to-M

Other Economies
(specify)

IG

Repo and Reverse Repo - Gross Value of Instruments on Reporting Date
Agency MBS

Posted

Received

Corporate Bonds

Equities

Posted

Received

Posted

Received

Non-Agency (ABS, RMBS)

Posted

Received

Sovereigns

Posted

Received

ate Bonds d Economies
arket (Posted)

Sub-IG

Oth

Posted

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

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

IG

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

Sub-IG

Equity

Fixed Income

Unstressed Mar

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

Pass-Throughs

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

Other (specify)

IG

M

USD

Sub-IG

EUR

Securities Len
her

Cash (+/-)

Received

Posted

Received

US Treasury & Agency

Posted

Received

Agency MBS

Posted

Received

Equities

Posted

Received

Corpora

Posted

rk-to-Market (Posted) by Asset Category

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

Cash
Mark-to-Market (Posted)

GBP

Unstressed Mark-to-Market (Received) by As

Central Debt
Mark-to-Market (Received)

Other Mark-to-Market (Posted)

JPY

Other (specify)

Inflationindexed
securities

Commercial paper

Municipal Bonds

Other (specify)

Germany

United States

nding and Borrowing - Gross Value of Instruments on Reporting Date
ate Bonds

Received

Sovereigns

Non-Agency (ABS, RMBS)

Posted

Received

Posted

Received

Other

Posted

Cash

Received

Posted

Received

United
Kingdom &
France

Other
Eurozone

sset category

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)

PassThroughs

Other
(specify)

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

IG

Sub-IG

Cash
Mark-to-Market (Received)

USD

EUR

GBP

JPY

Other Commerci
Municipal Bonds Other (specify)
(specify) al paper

Other
Mark-to-Market (Received)

Inflationindexe
d
securities

Commerci
al paper

Municipal
Bonds

Other
(specify)

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

United States

United
Germany Kingdom
& France

Other
Eurozone

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

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

Japan

Other

US

CAD

UK

Eurozone

Other
Economies
(specify)

IG

Sub-IG

Corporate
Other Ec
Stressed
Market (
FR Scenario
Adve

IG

e Bonds onomies
Mark-to(Posted)
o (Severely
erse)

Sub-IG

Exchange-Traded Funds
Stressed Mark-to-Market
(Posted)
FR Scenario (Severely
Adverse)

Equity

Fixed Income

Stressed Mark-to-Market (Posted) by Asset category - FR Scenario (Severely Adverse)
Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS
Cash
Stressed Mark-toStressed Mark-toMarket (Posted)
Stressed Mark-to-Market (Posted)
Market (Posted)
FR Scenario (Severely Adverse)
FR Scenario (Severely
FR Scenario (Severely
Adverse)
Adverse)

PassThroughs

Other
(specify)

IG

Sub-IG

USD

EUR

GBP

JPY

Other
Stressed Mark-to-Market (Po
FR Scenario (Severely Adve

Other

InflationCommerci Municipal
indexed
al paper
Bonds
securities

Stressed Mark-to-Market (Received) by Asset category - FR Scenario (Severely Adverse)
Central Debt
Stressed Mark-to-Market (Received)
FR Scenario (Severely Adverse)

osted)
erse)

Other
(specify)

United
States

United
Germany Kingdom &
France

Other
Eurozone

Japan

Equity
Stressed Mark-to-Market (Received)
FR Scenario (Severely Adverse)

Other

US

CAD

UK

Other
Eurozone Economies
(specify)

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

IG

Sub-IG

Corporate
Other Eco
Stressed M
Market (Re
FR Scen
(Severely A

IG

Bonds onomies
Mark-toeceived)
nario
Adverse)

Sub-IG

ETF Exchange-Traded
Funds
Stressed Mark-toMarket (Received)
FR Scenario (Severely
Adverse)

Equity

Fixed
Income

Stressed Mark-to-Market (Received) by Asset category - FR Scenario (Severely Adverse)
Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS
Stressed Mark-toCash
Stressed Mark-to-Market
Market (Received)
Stressed Mark-to-Market (Received)
(Received)
FR Scenario (Severely
FR Scenario (Severely Adverse)
FR Scenario (Severely
Adverse)
Adverse)

PassThroughs

Other
(specify)

IG

Sub-IG

USD

EUR

GBP

JPY

Other
(specify)

Other
Stressed Mark-to-Market (Rec
FR Scenario (Severely Adve

InflationCommerci Municipal
indexed
al paper
Bonds
securities

Stressed Mark-to-Market (Posted) by Asset category - BHC Scenario

Central Debt
Stressed Mark-to-Market (Posted)
BHC Scenario

ceived)
erse)

Other
(specify)

United
States

United
Other
Germany Kingdom
Eurozone
& France

Japan

Equity
Stressed Mark-to-Market (Posted)
BHC Scenario

Other

US

CAD

UK

Other
Eurozone Economies
(specify)

Corporate
Corporate Bonds Other Eco
Advanced Economies
Stressed Mark-to-Market Stressed Mar
(Pos
(Posted)
BHC Sc
BHC Scenario

IG

Sub-IG

IG

Stressed Mark-to-Market (Posted) by Asset category - BHC Scenario
e Bonds onomies
rk-to-Market
ted)
enario

Sub-IG

Exchange-Traded Funds
Stressed Mark-to-Market
(Posted)
BHC Scenario

Equity

Fixed Income

Non-Agency
US Agency MBS/CMBS
RMBS/ABS/CMBS
Stressed Mark-toStressed Mark-to-Market
Market (Posted)
(Posted)
BHC Scenario
BHC Scenario

PassThroughs

Other
(specify)

IG

Sub-IG

Cash
Stressed Mark-to-Market (Posted)
BHC Scenario

USD

EUR

GBP

JPY

Other
Stressed Mark-to-Market (Po
BHC Scenario

Other

InflationCommerci Municipal
indexed
al paper
Bonds
securities

Stressed Mark-to-Market (Received) by Asset category - BHC Scenario

Central Debt
Stressed Mark-to-Market (Received)
BHC Scenario

osted)

Other
(specify)

United
States

United
Other
Germany Kingdom
Eurozone
& France

Japan

Equity
Stressed Mark-to-Market (Received)
BHC Scenario

Other

US

CAD

UK

Other
Eurozone Economie
s (specify)

Corporate Bonds Corporate
Advanced Economies
Other Eco
Stressed Mark-to-Market Stressed Mar
(Received)
(Rece
BHC Scenario
BHC Sc

IG

Sub-IG

IG

Stressed Mark-to-Market (Received) by Asset category - BHC Scenario
e Bonds ETF Exchange-Traded
Non-Agency
US Agency MBS/CMBS
onomies
Funds
RMBS/ABS/CMBS
Stressed Mark-to-Market
rk-to-Market Stressed Mark-to-Market
Stressed Mark-to-Market
(Received)
ived)
(Received)
(Received)
BHC Scenario
enario
BHC Scenario
BHC Scenario

Sub-IG

Equity

Fixed
Income

PassThroughs

Other
(specify)

IG

Sub-IG

Cash
Stressed Mark-to-Market (Received)
BHC Scenario

USD

EUR

GBP

JPY

Other
(specify)

Other
Stressed Mark-to-Market (Received)
BHC Scenario

InflationCommerci 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

Vanilla Interest Rate
Derivatives
Unstressed Exposure
Mark-to-Market

…
G7
G7
QCCP
NQCCP
NA
NA

Vanilla FX
Derivatives
Unstressed
Exposure Mark-toMarket

Unstressed Mark-to-Market by Asset category

Vanilla Commodity
(Cash) Derivatives
Vanilla Credit Derivatives
Unstressed
Unstressed Exposure Mark-toExposure Mark-toMarket
Market

Vanilla Equity Derivatives
Unstressed Exposure Mark-toMarket

Flow Exotic and
Structured Interest Rate
Structured FX
Derivatives
Derivatives
Unstressed Exposure Mark-toUnstressed
Market
Exposure Markto-Market

Structured
Other Cash +
Other (single
Physical
(Multiname) Credit
Hybrids
name) Credit
Exotic Equity
Commodity
Derivatives
Unstressed
Derivatives
Derivatives Derivatives Unstressed
Unstressed
Exposure
Unstressed
Exposure Mark-toUnstressed
Mark-toExposure
Exposure
Market
Exposure
Mark-toMarket
Mark-toMark-toMarket
Market
Market

Structured
Products (MBS,
ABS) Unstressed
Exposure Markto-Market

Stressed Mark-to-Market by Asset category - FR Scenario (Severely Ad

Other Cash +
Vanilla Interest
Vanilla FX
Vanilla Credit
Vanilla Equity
Structured
Other (single
Flow Exotic
Vanilla
Physical
Derivatives
Derivatives
Interest Rate and Structured
Rate Derivatives
Derivatives
name) Credit
Commodity (Cash)
Other
Commodity
Stressed
Stressed
Derivatives FX Derivatives
Stressed
Stressed
Derivatives
Derivatives
Unstressed
Derivatives
Exposure Mark- Exposure MarkStressed
Exposure Mark- Exposure MarkStressed
Stressed
Stressed Exposure
Exposure MarkStressed
to-Market
to-Market
Exposure Mark- Exposure MarkExposure Markto-Market
to-Market
Mark-to-Market
to-Market
Exposure MarkFR Scenario
FR Scenario
FR Scenario
FR Scenario
to-Market
to-Market
to-Market
(provide details,
FR Scenario
to-Market
(Severely
(Severely
(Severely
(Severely
FR Scenario
FR Scenario
FR Scenario
(Severely
Adverse)
breakdown)
FR Scenario
Adverse)
Adverse)
Adverse)
Adverse)
(Severely
(Severely
(Severely
(Severely
Adverse)
Adverse)
Adverse)
Adverse)

dverse)

Structured
Structured
(Multi-name)
Other
Products (MBS,
Credit
Exotic Equity
Vanilla FX
Stressed Exposure Vanilla Interest Rate
Vanilla Commodity
Hybrids Stressed
ABS)
Derivatives
Derivatives
Derivatives
(Cash) Derivatives
Mark-to-Market
Derivatives
Exposure Mark-toStressed
Stressed
Stressed Exposure
Stressed
Stressed Exposure
Market
Exposure Mark- (provide details,
Stressed Exposure
Exposure MarkExposure Mark- Mark-to-Market
Mark-to-Market
to-Market
breakdown)
Mark-to-Market
FR Scenario
to-Market
to-Market
FR Scenario
BHC Scenario
(Severely Adverse) FR Scenario
FR Scenario
BHC Scenario
FR Scenario
BHC Scenario
(Severely Adverse)
(Severely
(Severely Adverse)
(Severely
Adverse)
Adverse)

Vanilla Credit
Derivatives
Stressed Exposure
Mark-to-Market
BHC Scenario

Structured
Vanilla Equity
Interest Rate
Derivatives
Derivatives
Stressed
Stressed
Exposure MarkExposure Markto-Market
to-Market
BHC Scenario
BHC Scenario

Stressed Mark-to-Market by Asset category - BHC Scenario

Flow Exotic and
Structured FX
Derivatives
Stressed Exposure
Mark-to-Market
BHC Scenario

Other Cash +
Structured (MultiOther (single name)
Exotic Equity
Physical Commodity
name) Credit
Credit Derivatives
Derivatives Stressed
Derivatives Stressed
Derivatives Stressed
Stressed Exposure
Exposure Mark-toExposure Mark-toExposure Mark-toMark-to-Market
Market
Market
Market
BHC Scenario
BHC Scenario
BHC Scenario
BHC Scenario

Hybrids Stressed
Exposure Mark-toMarket
BHC Scenario

Structured Products
(MBS, ABS)
Stressed Exposure
Mark-to-Market
BHC Scenario

Other
Stressed Exposure
Mark-to-Market
(provide details,
breakdown)
BHC Scenario