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Data Dictionary

You Searched For: CTRD

CTRD is a Confidential Series

MDRM Item	Start Date	End Date	Item Name	Reporting Forms
CTRD9001	2014-09-30	9999-12-31	RSSD ID	FR Y-14Q
CTRD9999	2014-09-30	9999-12-31	REPORTING DATE (CC,YR,MO,DA)	FR Y-14Q
CTRDF735	2014-09-30	9999-12-31	SUBMISSION DATE	FR Y-14Q
CTRDH038	2014-09-30	9999-12-31	EQUITY BY GEOGRAPHY - COUNTRY	FR Y-14Q
CTRDH039	2014-09-30	9999-12-31	EQUITY BY GEOGRAPHY - DELTA	FR Y-14Q
CTRDH040	2014-09-30	9999-12-31	EQUITY BY GEOGRAPHY - GAMMA	FR Y-14Q
CTRDH041	2014-09-30	9999-12-31	EQUITY BY GEOGRAPHY - VEGA	FR Y-14Q
CTRDH042	2014-09-30	9999-12-31	PROFIT/(LOSS) FROM PERCENT CHANGE IN COUNTRY EQUITY PRICES	FR Y-14Q
CTRDH043	2014-09-30	9999-12-31	PERCENT CHANGE IN COUNTRY EQUITY PRICES	FR Y-14Q
CTRDH044	2014-09-30	9999-12-31	EQUITY BY GEOGRAPHY - MATURITY	FR Y-14Q
CTRDH045	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: HOW VOLATILITY CHANGES ARE EXPRESSED	FR Y-14Q
CTRDH046	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: PERCENT CHANGE IN SPOT VALUE	FR Y-14Q
CTRDH047	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: CHANGE IN VOLATILITY	FR Y-14Q
CTRDH048	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: PROFIT/(LOSS) FROM CHANGES IN SPOT/VOL : WORLD-WIDE EQUITIES	FR Y-14Q
CTRDH049	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: VEGA POST VOLATILITY SHOCK (AT 0 SPOT SHOCK)	FR Y-14Q
CTRDH050	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: DELTA POST SPOT SHOCK (AT 0 VOL SHOCK)	FR Y-14Q
CTRDH051	2014-09-30	9999-12-31	EQUITY SPOT-VOL GRID: GAMMA POST SPOT SHOCK	FR Y-14Q
CTRDH052	2014-09-30	9999-12-31	MUNI SIFMA/LIBOR BASIS	FR Y-14Q
CTRDH053	2014-09-30	9999-12-31	OTHER EQUITY: REGION	FR Y-14Q
CTRDH054	2014-09-30	9999-12-31	OTHER EQUITY: MATURITY	FR Y-14Q
CTRDH055	2014-09-30	9999-12-31	PROFIT/(LOSS) FROM A -1% CHANGE IN DIVIDENDS	FR Y-14Q
CTRDH056	2014-09-30	9999-12-31	FX SPOT: CURRENCY 1	FR Y-14Q
CTRDH057	2014-09-30	9999-12-31	FX SPOT: CURRENCY 2	FR Y-14Q
CTRDH058	2014-09-30	9999-12-31	FX SPOT: DELTA	FR Y-14Q
CTRDH059	2014-09-30	9999-12-31	FX SPOT: GAMMA	FR Y-14Q
CTRDH060	2014-09-30	9999-12-31	FX SPOT: PERCENT CHANGE	FR Y-14Q
CTRDH061	2014-09-30	9999-12-31	FX SPOT: PROFIT/(LOSS) FROM % CHANGE IN SPOT PRICE IN CURRENCY1/CURRENCY2	FR Y-14Q
CTRDH062	2014-09-30	9999-12-31	FX VEGA: CURRENCY 1	FR Y-14Q
CTRDH063	2014-09-30	9999-12-31	FX VEGA: CURRENCY 2	FR Y-14Q
CTRDH064	2014-09-30	9999-12-31	FX VEGA: MATURITY	FR Y-14Q
CTRDH065	2014-09-30	9999-12-31	FX VEGA: LOGNORMAL VEGA	FR Y-14Q
CTRDH066	2014-09-30	9999-12-31	RATES DV01: MATURITY	FR Y-14Q
CTRDH067	2014-09-30	9999-12-31	RATES DV01: CHANGE IN RATES BPS	FR Y-14Q
CTRDH068	2014-09-30	9999-12-31	RATES DV01: CATEGORY 1	FR Y-14Q
CTRDH069	2014-09-30	9999-12-31	RATES DV01: CATEGORY 2	FR Y-14Q
CTRDH070	2014-09-30	9999-12-31	RATES DV01: DV01 ($K/ -1BP)	FR Y-14Q
CTRDH071	2014-09-30	9999-12-31	RATES DV01: PROFIT/(LOSS) FROM A PARALLEL MOVE IN RATES (BPS)	FR Y-14Q
CTRDH072	2014-09-30	9999-12-31	RATES VEGA: VEGA CONVENTION BEING USED	FR Y-14Q
CTRDH073	2014-09-30	9999-12-31	RATES VEGA: UNITS IN WHICH VEGA IS EXPRESSED	FR Y-14Q
CTRDH074	2014-09-30	9999-12-31	RATES VEGA: MATURITY	FR Y-14Q
CTRDH075	2014-09-30	9999-12-31	RATES VEGA: EXPIRY	FR Y-14Q
CTRDH076	2014-09-30	9999-12-31	RATES VEGA: CURRENCY	FR Y-14Q
CTRDH077	2014-09-30	9999-12-31	RATES VEGA: INTEREST RATE LOGNORMA/NORMAL VEGAS	FR Y-14Q
CTRDH078	2014-09-30	9999-12-31	RATES VEGA: US MORTGAGE BACKED SECURITIES VEGA	FR Y-14Q
CTRDH079	2014-09-30	9999-12-31	OTHER RATES: CURRENCY	FR Y-14Q
CTRDH080	2014-09-30	9999-12-31	OTHER RATES: MATURITY	FR Y-14Q
CTRDH081	2014-09-30	9999-12-31	OTHER RATES: INFLATION DELTA ($K / +1BP)	FR Y-14Q
CTRDH082	2014-09-30	9999-12-31	OTHER RATES: CROSS-CURRENCY VS. USD BASIS ($K/ +1BP)	FR Y-14Q
CTRDH083	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: CATEGORY 1	FR Y-14Q
CTRDH084	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: CATEGORY 2	FR Y-14Q
CTRDH086	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: SPOT MATURITY	FR Y-14Q
CTRDH087	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: DELTA	FR Y-14Q
CTRDH088	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: GAMMA	FR Y-14Q
CTRDH089	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: VEGA ($MM / +1 VOL PT)	FR Y-14Q
CTRDH090	2014-09-30	9999-12-31	ENERGY, METALS, AGS & SOFTS, AND COMMODITY INDICES: VEGA ($MM / +10% REL)	FR Y-14Q
CTRDH091	2014-09-30	9999-12-31	COMMODITY SPOT-VOL GRIDS: HOW VOLATILITY CHANGES ARE EXPRESSED	FR Y-14Q
CTRDH092	2014-09-30	9999-12-31	COMMODITY SPOT-VOL GRIDS: CHANGE IN VOLATILITY (% OR BPS)	FR Y-14Q
CTRDH093	2014-09-30	9999-12-31	COMMODITY SPOT-VOL GRIDS: PERCENT CHANGE IN SPOT VALUE	FR Y-14Q
CTRDH094	2014-09-30	9999-12-31	COMMODITY SPOT-VOL GRIDS: COMMODITY TYPE	FR Y-14Q
CTRDH095	2014-09-30	9999-12-31	COMMODITY SPOT-VOL GRIDS: PROFIT/(LOSS) FROM CHANGES IN SPOT/VOL	FR Y-14Q
CTRDH096	2014-09-30	9999-12-31	SECURITIZED PRODUCTS: SECURITIZED PRODUCT TYPE	FR Y-14Q
CTRDH097	2014-09-30	9999-12-31	SECURITIZED PRODUCTS: SECURITIZED PRODUCT	FR Y-14Q
CTRDH098	2014-09-30	9999-12-31	SECURITIZED PRODUCTS: GRADE RATING	FR Y-14Q
CTRDH099	2014-09-30	9999-12-31	SECURITIZED PRODUCTS: VINTAGE	FR Y-14Q
CTRDH100	2014-09-30	9999-12-31	SECURITIZED PRODUCTS: MARKET VALUE	FR Y-14Q
CTRDH101	2014-09-30	9999-12-31	SECURITIZED PRODUCTS: NOTIONAL AMOUNT	FR Y-14Q
CTRDH102	2014-09-30	9999-12-31	AGENCIES: PRODUCT CATEGORY	FR Y-14Q
CTRDH103	2014-09-30	9999-12-31	AGENCIES: PRODUCTS	FR Y-14Q
CTRDH104	2014-09-30	9999-12-31	AGENCIES: MARKET VALUE	FR Y-14Q
CTRDH105	2014-09-30	9999-12-31	AGENCIES: DV01 ($K/ -1BP)	FR Y-14Q
CTRDH106	2014-09-30	9999-12-31	AGENCIES: CS01 ($K/+1 BP OAS WIDENING)	FR Y-14Q
CTRDH107	2014-09-30	9999-12-31	AGENCIES: $K / +1% RISE IN PREPAYMENTS	FR Y-14Q
CTRDH108	2014-09-30	9999-12-31	AGENCIES: PROFIT/LOSS IN $K FROM AN ABSOLUTE WIDENING IN OAS (SPREAD)	FR Y-14Q
CTRDH109	2014-09-30	9999-12-31	AGENCIES: WIDENING OF OAS BPS	FR Y-14Q
CTRDH110	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: ASSET CATEGORY	FR Y-14Q
CTRDH111	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: ASSET SUBCATEGORY (GRADE RATING OR INDEX)	FR Y-14Q
CTRDH112	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: MATURITY	FR Y-14Q
CTRDH113	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: % WIDENING IN SPREADS	FR Y-14Q
CTRDH114	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: ABSOLUTE WIDENING IN SPREADS	FR Y-14Q
CTRDH115	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: PROFIT/LOSS IN $K FROM AN RELATIVE WIDENING IN SPREADS	FR Y-14Q
CTRDH116	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: PROFIT/LOSS IN $K FROM AN ABSOLUTE WIDENING IN SPREADS	FR Y-14Q
CTRDH117	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: MARKET VALUE	FR Y-14Q
CTRDH118	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: DV01 ($K/ -1BP)	FR Y-14Q
CTRDH119	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: CS01 ($K/+1 BP OAS WIDENING)	FR Y-14Q
CTRDH120	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: NOTIONAL AMOUNT	FR Y-14Q
CTRDH121	2014-09-30	9999-12-31	MUNIS, ARS, CORPORATE CREDIT - ADVANCED, CORPORATE CREDIT - EM: CURRENCY	FR Y-14Q
CTRDH122	2014-09-30	9999-12-31	SOVEREIGN CREDIT: COUNTRY	FR Y-14Q
CTRDH123	2014-09-30	9999-12-31	SOVEREIGN CREDIT: MARKET VALUE	FR Y-14Q
CTRDH124	2014-09-30	9999-12-31	SOVEREIGN CREDIT: NOTIONAL AMOUNT	FR Y-14Q
CTRDH125	2014-09-30	9999-12-31	SOVEREIGN CREDIT: MARKET VALUE	FR Y-14Q
CTRDH126	2014-09-30	9999-12-31	SOVEREIGN CREDIT: NOTIONAL AMOUNT	FR Y-14Q
CTRDH127	2014-09-30	9999-12-31	SOVEREIGN CREDIT: CS01 ($K/+1 BP SPREAD WIDENING)	FR Y-14Q
CTRDH128	2014-09-30	9999-12-31	SOVEREIGN CREDIT: % WIDENING IN SPREADS	FR Y-14Q
CTRDH129	2014-09-30	9999-12-31	SOVEREIGN CREDIT: ABSOLUTE WIDENING IN SPREADS	FR Y-14Q
CTRDH130	2014-09-30	9999-12-31	SOVEREIGN CREDIT: PROFIT/LOSS IN $K FROM RELATIVE (%) WIDENING IN SPREADS	FR Y-14Q
CTRDH131	2014-09-30	9999-12-31	SOVEREIGN CREDIT: PROFIT/LOSS IN $K FROM ABSOLUTE WIDENING IN SPREADS (BPS)	FR Y-14Q
CTRDH132	2014-09-30	9999-12-31	CREDIT CORRELATION: INDEX	FR Y-14Q
CTRDH133	2014-09-30	9999-12-31	CREDIT CORRELATION: SUBCATEGORY (% OR TRANCH)	FR Y-14Q
CTRDH134	2014-09-30	9999-12-31	CREDIT CORRELATION: BASE CORRELATION SENSITIVITIES ($K / +1% ABSOLUTE SHIFT IN BASE CORRELATION): 3Y	FR Y-14Q
CTRDH140	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: INDEX PRODUCTS ONLY: MARKET VALUE LONGS	FR Y-14Q
CTRDH141	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: INDEX PRODUCTS ONLY: MARKET VALUE SHORTS	FR Y-14Q
CTRDH142	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: INDEX PRODUCTS ONLY: NOTIONAL LONGS	FR Y-14Q
CTRDH143	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: INDEX PRODUCTS ONLY: NOTIONAL SHORTS	FR Y-14Q
CTRDH144	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: BESPOKE PRODUCTS ONLY: MARKET VALUE LONGS	FR Y-14Q
CTRDH145	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: BESPOKE PRODUCTS ONLY: MARKET VALUE SHORTS	FR Y-14Q
CTRDH146	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: BESPOKE PRODUCTS ONLY: NOTIONAL LONGS	FR Y-14Q
CTRDH147	2014-09-30	9999-12-31	CREDIT CORRELATION: POSITIONS: BESPOKE PRODUCTS ONLY: NOTIONAL SHORTS	FR Y-14Q
CTRDH148	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: PRODUCT CATEGORY	FR Y-14Q
CTRDH149	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: SUBCATEGORY	FR Y-14Q
CTRDH150	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: PRODUCT (RATING OR INDEX)	FR Y-14Q
CTRDH151	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: MARKET VALUE - LONGS	FR Y-14Q
CTRDH152	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: MARKET VALUE - SHORTS	FR Y-14Q
CTRDH153	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: MARKET VALUE - NET	FR Y-14Q
CTRDH154	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: NOTIONAL - LONGS	FR Y-14Q
CTRDH155	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: NOTIONAL - SHORTS	FR Y-14Q
CTRDH156	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK- CORPORATE CREDIT: NOTIONAL - NET	FR Y-14Q
CTRDH157	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: NET LONG OR SHORT	FR Y-14Q
CTRDH158	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: ISSUER NAME	FR Y-14Q
CTRDH159	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: COUNTRY	FR Y-14Q
CTRDH160	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: INDUSTRY	FR Y-14Q
CTRDH161	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: RATING	FR Y-14Q
CTRDH162	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: RECOVERY DATE	FR Y-14Q
CTRDH163	2014-09-30	9999-12-31	INCREMENTAL DEFAULT RISK - JUMP TO DEFAULT: JUMP TO DEFAULT	FR Y-14Q
CTRDH164	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: GICS CODE	FR Y-14Q
CTRDH165	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: SECTORY	FR Y-14Q
CTRDH166	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: INDUSTRY GROUP	FR Y-14Q
CTRDH167	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: REGION	FR Y-14Q
CTRDH168	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: CARRY VALUE	FR Y-14Q
CTRDH169	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: FAIR VALUE EQUITY	FR Y-14Q
CTRDH170	2014-09-30	9999-12-31	PRIVATE EQUITY, OTHER FAIR VALUE ASSETS: FAIR VALUE DEBT	FR Y-14Q
CTRDH346	2014-09-30	9999-12-31	SUBMISSION TYPE	FR Y-14Q
CTRDH347	2014-09-30	9999-12-31	WORKSHEET	FR Y-14Q
CTRDH410	2014-09-30	9999-12-31	GRADE RATING	FR Y-14Q
CTRDH411	2014-09-30	9999-12-31	VEGA POST VOL SHOCK	FR Y-14Q
CTRDH412	2014-09-30	9999-12-31	MATURITY	FR Y-14Q
CTRDLE99	2020-03-31	9999-12-31	Investments Reported at FAIR VALUE	FR Y-14Q
CTRDLF00	2020-03-31	9999-12-31	Investments NOT Reported at FAIR VALUE	FR Y-14Q
CTRDLF64	2021-06-30	9999-12-31	Index Category	FR Y-14Q
CTRDLF65	2021-06-30	9999-12-31	Index Subcategory	FR Y-14Q
CTRDLF66	2021-06-30	9999-12-31	In Index Products?	FR Y-14Q
CTRDLF69	2021-06-30	9999-12-31	Number of Bespoke Products: Long	FR Y-14Q
CTRDLF70	2021-06-30	9999-12-31	Issuer ticker	FR Y-14Q
CTRDLF71	2021-06-30	9999-12-31	Long - # of obligors	FR Y-14Q
CTRDLF72	2021-06-30	9999-12-31	Tranche Type	FR Y-14Q
CTRDLF74	2021-06-30	9999-12-31	MV	FR Y-14Q
CTRDLF75	2021-06-30	9999-12-31	Notional	FR Y-14Q
CTRDLF76	2021-06-30	9999-12-31	Average Obligor Credit Spread: Long	FR Y-14Q
CTRDLF77	2021-06-30	9999-12-31	Average number of obligors per product: Long	FR Y-14Q
CTRDLF78	2021-06-30	9999-12-31	Number of Bespoke Products: Short	FR Y-14Q
CTRDLF79	2021-06-30	9999-12-31	Average Obligor Credit Spread: Short	FR Y-14Q
CTRDLF80	2021-06-30	9999-12-31	Average Number of Obligors per Product: Short	FR Y-14Q
CTRDLF81	2021-06-30	9999-12-31	Index Products by Series: Market Value (MV)	FR Y-14Q
CTRDLF82	2021-06-30	9999-12-31	Index Products by Series: Notional Amount	FR Y-14Q
CTRDLF83	2021-06-30	9999-12-31	Summary of Bespoke Positions: Index Category	FR Y-14Q
CTRDLF86	2021-06-30	9999-12-31	Rating	FR Y-14Q
CTRDLF89	2021-06-30	9999-12-31	RED Code (if available)	FR Y-14Q
CTRDLF90	2021-06-30	9999-12-31	Series	FR Y-14Q
CTRDLF91	2021-06-30	9999-12-31	Short - # of obligors	FR Y-14Q
CTRDLF92	2021-06-30	9999-12-31	Subcategory	FR Y-14Q
CTRDP006	2014-09-30	9999-12-31	STRESS TEST SCENARIO	FR Y-14Q
CTRDP009	2014-09-30	9999-12-31	PROJECTION PERIOD	FR Y-14Q
CTRDT097	2014-09-30	9999-12-31	FVLOAN HEDGE: CS01 REPORTING CONVENTION	FR Y-14Q
CTRDT098	2014-09-30	9999-12-31	UTILIZED LOAN BALANCE ($M)	FR Y-14Q
CTRDT099	2014-09-30	9999-12-31	FVLOAN HEDGE: CATEGORY	FR Y-14Q
CTRDT100	2014-09-30	9999-12-31	FAIR VALUE OPTION LOAN MARK TO MARKET NOTIONAL ($M)	FR Y-14Q
CTRDT101	2014-09-30	9999-12-31	FAIR VALUE OPTION LOAN MARK TO MARKET PROFIT AND LOSS ($M)	FR Y-14Q
CTRDT102	2014-09-30	9999-12-31	FAIR VALUE OPTION LOAN JUMP TO DEFAULT PROFIT AND LOSS ($M)	FR Y-14Q
CTRDT103	2014-09-30	9999-12-31	FAIR VALUE OPTION LOAN CS01 PROFIT AND LOSS ($K/BP)	FR Y-14Q
CTRDT104	2014-09-30	9999-12-31	HEDGE MARK TO MARKET NOTIONAL ($M)	FR Y-14Q
CTRDT105	2014-09-30	9999-12-31	HEDGE MARK TO MARKET PROFIT AND LOSS ($M)	FR Y-14Q
CTRDT106	2014-09-30	9999-12-31	INCREMENTAL JUMP TO DEFAULT HEDGE PROFIT AND LOSS ($M)	FR Y-14Q

Glossary File:

This sub-schedule should be used to list and define the variables included in the BHC baseline and BHC stress scenarios, as well as, any additional BHC scenarios reported.
- The sub-schedule provides space for the supervisory baseline scenario, supervisory adverse scenario, supervisory severely adverse scenario, BHC baseline scenario, and BHC stress scenario, as well as, space for an additional scenario. The sections for the BHC baseline and BHC stress scenarios must be completed. If no additional scenarios are provided, then this section of the sub-schedule may be left blank. If one or more additional scenarios are provided, then a section should be created for each additional scenario and labeled accordingly (Additional Scenario #1; Additional Scenario #2; etc.)
- For each scenario, list the variables included in the scenario in the column titled "Variable Name."
- Variable definitions should be provided in the column titled "Variable Definition." Variable definitions should include a description of the variable and the denomination and/or frequency of the variable (e.g., "Billions of 2005 dollars" or "in percent, average of monthly values").
- The forecasts and historical data for all the scenario variables are constructed on the same basis. Thus, if a variable is, over history, constructed as an average, its forecast should be interpreted as an average as well. For reference, below are the definitions (i.e. period-average or period-end) of the financial market variables in the scenario:
o U.S. 3-month Treasury yield: Quarterly average of 3-month Treasury bill secondary market rate discount basis.
o U.S. 10-year Treasury yield: Quarterly average of the yield on 10-year U.S. Treasury bonds.
o U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate bonds.
o U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data.
o U.S. Dow Jones Total Stock Market Index: End of quarter value, Dow Jones.
o U.S. Market Volatility Index (VIX): Chicago Board Options Exchange converted to quarterly by using the maximum value in any quarter.
- For convenience, the sub-schedule provides space for 10 variables per scenario, but any number of variables may be reported, depending on the variables actually used in the scenario. Extra lines may be created as needed. The same variables do not necessarily have to be included in each scenario.
- Firms should include all economic and financial market variables that were important in projecting results, including those that affect only a subset of portfolios or positions. For example, if asset prices had a meaningful impact, the assumed level of the equity market and interest rates should be included, or if bankruptcy filings affect credit card loss estimates, then the assumed levels of these should be reported.
- For additional variables generated for the supervisory adverse scenario or supervisory severely adverse scenario, BHCs should set the paths to be as consistent as possible with the paths of the variables already specified in the scenario.
- Firms should also include any variables capturing regional or local economic or asset value conditions, such as regional unemployment rates or housing prices, if these were used in the projections.
- Firms should include historical data, as well as projections, for any macroeconomic, regional, local, or financial market variables that are not generally available. Historical data for these variables can be included in a separate sub-schedule.

CLCO - Obligor
CLCG - Guarantor
CLCE - Entity

Last update: Apr 23, 2024