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Form FR Y-14Q FR Y-14Q Quarterly Trading Form
ICR 201707-7100-005 · OMB 7100-0341 · Object 75673801.
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FR Y-14Q: Trading, PE and Other Fair Value Assets Schedules Institution Name: Firm Name Effective Date: Date of Data Submission: Version # CCAR 2015 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% % CHANGE IN VOL CTRDH047 -40% -35% CTRDH046 -30% -20% 0% 15% 30% 60% 0% $0 Delta post spot shock (at 0 vol shock) ($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 -200 bps Total -100 bps -50 bps 0 bps +50 bps CTRDH066 0 0 0 0 0 0 0 0 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 0.00 0 0.00 0.00 0.00 0.00 0.00 0.00 CAD Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 0 0 0 0 0 0 0 0 0 0 CAD Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 CHF Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 0 0 0 0 0 0 0 0 0 0 0 CHF Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 DKK Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 DKK Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0 0 0 0 0 +150 bps +200 bps +300 bps +400 bps +500 bps CTRDH067 AUD Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0 +100 bps 0 0 0 0 0 0 0.00 0.00 0.00 0.00 0.00 0.00 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 Trading, PE & Other Fair Value Assets Schedule Rates DV01 Firm Name Effective Date: Submission Date: MATURITY DV01 ($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 0 6M 0 9M 0 1Y 0 2Y 0 3Y 0 5Y 0 $MM P/(L) from a Parallel Move in Rates (bps) CTRDH071 7Y 0 10Y 0 15Y 0 20Y 0 30Y 0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0 EUR Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 GBP Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 0 0 0 0 0 0 0 0 0 0 0 GBP Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 JPY Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 JPY Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m TIBOR Basis 3m TIBOR Basis 6m TIBOR Basis 12m TIBOR Basis 1m LIBOR Basis 3m LIBOR Basis 6m LIBOR Basis 12m LIBOR Basis Other Basis 0 0 0 0 0 0 0 0 0 0 0 -200 bps Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -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 0 6M 0 9M 0 1Y 0 2Y 0 3Y 0 5Y 0 $MM P/(L) from a Parallel Move in Rates (bps) CTRDH071 7Y 0 10Y 0 15Y 0 20Y 0 30Y 0 0.00 0.00 0.00 0.00 0.00 0.00 0 NOK Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 NZD Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 0 0 0 0 0 0 0 0 0 0 0 NZD Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 SEK Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 0 0 0 0 0 0 0 0 0 0 0 SEK Basis Risks (Do not include the swap/discounting curve specified above) OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 USD Directional Risks Governments Agencies Municipals Swaps / Discounting Curve Instruments shocked by MV** Other Total Directional 0.00 0.00 0.00 0.00 0.00 0.00 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -200 bps Total USD Basis Risks (Do not include the swap/discounting curve specified above) Prime Basis CP Basis OIS Basis 1m Basis 3m Basis 6m Basis 12m Basis Other Basis 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 CTRDH052 Muni SIFMA/Libor Basis ($K per 1% abs increase in Muni SIFMA / Libor Ratio) 0.00 -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 Directional Risks: Middle East/North Africa ILS TRY Other Middle East/Africa Total Middle East/N. Africa 1M 3M 6M 9M 1Y 2Y 3Y 5Y $MM P/(L) from a Parallel Move in Rates (bps) CTRDH071 7Y 10Y 15Y 20Y 30Y -200 bps Total -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 0.00 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 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 GLOBAL TOTAL DIRECTIONAL 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 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 Trading, PE & Other Fair Value Assets Schedule Firm Name Effective Date: Submission Date: Rates Vega Interest Rate Normal Vegas ($MM / +10 bps shift) Select the vega convention being used: CTRDH072 Specify the units in which vega is expressed: CTRDH073 Normal $MM / +10 bps shift CTRDH077 Expiry CTRDH075 Currency CTRDH076 1M 3M 6M 9M 1Y 2Y EXPIRY 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 CTRDH074 AUD 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total MATURITY 5Y 3Y 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EXPIRY EUR 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EXPIRY GBP 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Trading, PE & Other Fair Value Assets Schedule Firm Name Effective Date: Submission Date: Rates Vega Interest Rate Normal Vegas ($MM / +10 bps shift) Select the vega convention being used: CTRDH072 Specify the units in which vega is expressed: CTRDH073 Normal $MM / +10 bps shift CTRDH077 1M EXPIRY JPY 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 3M 0.00 6M 0.00 9M 0.00 1Y 0.00 2Y 0.00 MATURITY 5Y 3Y 0.00 0.00 7Y 0.00 10Y 0.00 15Y 0.00 20Y 0.00 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EXPIRY USD 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total US MBS Vega 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 CTRDH078 EXPIRY Other Advanced Economies 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Trading, PE & Other Fair Value Assets Schedule Firm Name Effective Date: Submission Date: Rates Vega Interest Rate Normal Vegas ($MM / +10 bps shift) Select the vega convention being used: CTRDH072 Specify the units in which vega is expressed: CTRDH073 Normal $MM / +10 bps shift CTRDH077 EXPIRY Total Emerging Europe 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 1M 0.00 3M 0.00 6M 0.00 9M 0.00 1Y 0.00 2Y 0.00 MATURITY 5Y 3Y 0.00 0.00 7Y 0.00 10Y 0.00 15Y 0.00 20Y 0.00 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EXPIRY Total Latam & Caribbean 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EXPIRY Total Asia Ex-Japan 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Trading, PE & Other Fair Value Assets Schedule Firm Name Effective Date: Submission Date: Rates Vega Interest Rate Normal Vegas ($MM / +10 bps shift) Select the vega convention being used: CTRDH072 Specify the units in which vega is expressed: CTRDH073 Normal $MM / +10 bps shift CTRDH077 EXPIRY Total ME/N. Africa 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 1M 0.00 3M 0.00 6M 0.00 9M 0.00 1Y 0.00 2Y 0.00 MATURITY 5Y 3Y 0.00 0.00 7Y 0.00 10Y 0.00 15Y 0.00 20Y 0.00 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 EXPIRY Total Sub-Saharan Africa 1M 3M 6M 9M 1Y 2Y 3Y 5Y 7Y 10Y 15Y 20Y 30Y Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Trading, PE & Other Fair Value Assets Schedule Other Rates Firm Name Effective Date: Submission Date: Inflation Delta ($K / +1 bp) CTRDH081 Currency CTRDH079 AUD EUR GBP JPY USD Other Total 1M 0 3M 0 6M 0 9M 0 1Y 0 2Y 0 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 ($K / +1 bp) (+1 bp parallel move in curve relative to base curve) CTRDH082 Currency 1M 3M 6M CTRDH079 AUD EUR GBP JPY Other Total 0 0 0 9M 0 1Y 0 2Y 0 MATURITY 3Y 5Y CTRDH080 0 0 0 0 0 0 Trading, PE & Other Fair Value Assets Schedule Energy Firm Name CRUDE OIL Delta ($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 $0 Trading, PE & Other Fair Value Assets Schedule Metals Firm Name PRECIOUS METALS CTRDH083 Delta ($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 BASE METALS CTRDH083 Aluminum (Primary) Aluminum (Alloy) Copper Iron Lead $0 $0 $0 Nickel Tin Uranium Zinc Other Base Total Base Metals Metals $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 CTRDH083 Other / Unspecified Metals Total Metals CTRDH084 CTRDH084 CTRDH084 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 CTRDH088 Total Gamma Vega ($MM / +1 vol pt) Vega ($MM / +10% Rel) Silver Other Precious Metals Effective Date: Submission Date: 0 0 0 0 0 0 CTRDH089 CTRDH090 Trading, PE & Other Fair Value Assets Schedule Ags & Softs Firm Name Effective Date: Submission Date: CTRDH083 Delta ($MM) Cocoa CTRDH087 Coffee Corn Cotton Cattle Lean Hogs Livestock Lumber CTRDH086 $0 Total Vega Soybeans Soymeal Soybean Oil Sugar Wheat Total $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 CTRDH088 Total Gamma Vega ($MM / +1 vol pt) Vega ($MM / +10% Rel) Rapeseed CTRDH084 Spot Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Month 7 Month 8 Month 9 Month 10 Month 11 Month 12 Month 13 Month 14 Month 15 Month 16 Month 17 Month 18 Month 19 Month 20 Month 21 Month 22 Month 23 Month 24 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10-14 Year 15-19 Year 20+ Total Delta Gamma ($MM / +1%) Palm Oil Other / Unspecified Ags/Softs 0 CTRDH089 CTRDH090 0 Trading, PE & Other Fair Value Assets Schedule Diversified Commodity Indices Firm Name Effective Date: Submission Date: CTRDH083 Delta ($MM) S&P GSCI Index CTRDH087 $0 Total Vega Diversified Total $0 $0 Long/Short Commodity Indices Grand Total CTRDH084 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 CTRDH088 Total Gamma Vega ($MM / +1 vol pt) Vega ($MM / +10% Rel) TR/J CRB Index CTRDH084 CTRDH086 Spot Maturity Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Month 7 Month 8 Month 9 Month 10 Month 11 Month 12 Month 13 Month 14 Month 15 Month 16 Month 17 Month 18 Month 19 Month 20 Month 21 Month 22 Month 23 Month 24 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10-14 Year 15-19 Year 20+ Total Delta Gamma ($MM / +1%) DJ-UBS Index 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 $0.00 25% 50% 75% Trading, PE & Other Fair Value Assets Schedule Securitized Products Firm Name RMBS CTRDH096 Grand Total Non-Agency Prime Sub-prime Option ARMS Other AltA Unspec Non-Prime HELOC RMBS CDO RMBS CDS MV* ($MM) CTRDH100 Rating CTRDH098 Vintage CTRDH099 Credit Basket PrimeX ABX / TABX Prime Whole Loans Non-Prime Whole Loans European RMBS Other / Unspecified RMBS SubTotal CTRDH097 AAA Total Pre 2006 2006 2007 Post 2007 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 Pre 2006 2006 2007 Post 2007 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 Pre 2006 2006 2007 Post 2007 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 Pre 2006 2006 2007 Post 2007 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 Pre 2006 2006 2007 Post 2007 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 Pre 2006 2006 2007 Post 2007 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
File Type application/pdf File Title Form FR Y-14Q FR Y-14Q Quarterly Trading Form File Modified 0000-00-00 File Created 0000-00-00