0 = No 1 = Yes Custom datatype, large decimal totalDig 24,FracDig 2. Custom datatype, large decimal totalDig 24,FracDig 4. Custom datatype, large decimal totalDig 24,FracDig 8. Custom datatype, large integer totalDig 24. Custom datatype, large, non-negative integer totalDig 24. Attributes describing the submission file For this asOfDate, what version of the the metrics does this file represent? Start with fileVersion 1 and increment by integers for any revisions. Report creation date. Use ISO8601 format (YYYY-MM-DD). Report creation time. Use ISO8601 time-zone offset format (hh:mm:ssZ). The last date of the reporting period. Use ISO8601 format (YYYY-MM-DD). Attributes describing the Reporting Firm Federal Reserve RSSD identifier assigned to top-level holding company. Financial firm name. Attributes describing the Internal Limit Reference Schedule A character string to be used as the permanent unique identifier for the limit. The limit identifier is permanent in the sense that it has the same meaning in all future quantitative measurements submissions, even if the set of trading desks to which the limit applies changes. The name of the limit. A description of the limit. The unit in which the limit is measured, e.g., basis points, USD, etc. Identify which of the following categories best describes the limit. a. VaR b. Position limit c. Sensitivity limit d. Stress scenario e. Inventory aging f. Other If limit category is “Other”, provide a description of the limit category. If the category of the limit is Risk Factor Sensitivity/"SENS" and there is a corresponding profit and loss attribution category to the same risk factor, report that risk factor attribution's unique identifier from the Risk Factor Attribution Reference Schedule. Attributes describing the Risk Attribution Factor Reference Schedule A character string to be used as the permanent unique identifier for the risk factor or other factor attribution. The Risk Factor Attribution identifier is permanent in the sense that it has the same meaning in all future quantitative measurements submissions, even if the set of trading desks for which the attribution is reported changes. The name of the risk factor or other factor. A description of the risk factor or other factor. Report the type of units of the risk factor or other factor change that the entity has identified that impact the portfolio value (for example, for a DV01, the unit is in basis points, while for Equity Delta, the unit is a dollar change in equity prices or percentage change in equity prices). Attributes describing the Trading Desk Provide the name of the trading desk used internally by the banking entity. Provide a unique character string to identify the trading desk. This identifier should generally remain constant for every quantitative measurements submission. Provide a brief description of the general strategy of the trading desk. Specify the currency used by the trading desk. For the Commodity Futures Trading Commission, indicate with a “1” for yes or a “0” for no whether the desk is reported to this agency. For the Federal Deposit Insurance Commission, indicate with a “1” for yes or a “0” for no whether the desk is reported to this agency. For the Federal Reserve Board, indicate with a “1” for yes or a “0” for no whether the desk is reported to this agency. For the Office of the Comptroller of the Currency, indicate with a “1” for yes or a “0” for no whether the desk is reported to this agency. For the Securities and Exchange Commission, indicate with a “1” for yes or a “0” for no whether the desk is reported to this agency. Attributes describing the Day of the Month Provide the calendar date of the month. Use the format YYYY-MM-DD. For each calendar day of the month, indicate with a “1” for yes or a “0” for no whether the calendar day is a trading day or not a trading day for the desk. Attributes describing the Profit-and-Loss Risk Factor metrics Report the Risk Factor Attribution identifier listed in the Risk Factor Attribution Information Schedule. Report the amount of profit or loss due to the risk factor or other factor change. Attributes describing the motivation/sources of analysis by which the limit value was set Identify the sources of analysis by which management determine this limit. Risk Appetite = Limits informed by the firm's risk appetite Reg Cap = Limits informed by the firm's regulatory capital requirements RENTD = For desks claiming the underwriting or market-making exemption under § __.4, limits informed by an analysis of reasonably expected near-term demand Risk Reducing = For desks claiming the Risk-mitigating hedging exemption under § __.5, limits that ensure a set of positions is risk-reducing Other = Any other source of motivation for management-set limits Volcker Metrics Report Report submission information. Financial institurtion identifying information. Internal Limits are existing constraints that define the amount of risk that a trading desk is permitted to take at a point in time, as defined by the banking entity for a specific trading desk. The banking entity must report the profit and loss due to changes in the specific risk factors and other factors that are monitored and managed as part of the trading desk’s overall risk management policies and procedures. With each submission of quantitative measurements, the banking entity must provide the following information for each trading desk engaged in covered trading activities. Element containing the trading activity information for a trading desk. Identify each covered trading activity in which the trading desk is engaged. Choose from the activity types listed in Table A of Annex A to identify the relevant exemptions or exclusions, and provide the associated code for each type of covered trading activity selected. UW = Underwriting activity exempted under § __.4(a) MM = Market making-related activity exempted under § __.4(b Hedging = Risk-mitigating hedging activity exempted under § __.5 with respect to financial instruments US Gov = Trading in domestic government obligations exempted under § __.6(a) Foreign Gov = Trading in foreign government obligations exempted under § __.6(b) Fiduciary = Fiduciary transactions exempted under § __.6(c)(1) RP = Riskless principal transactions exempted under § __.6(c)(2) Insurance = Trading by an insurance company or its affiliate exempted under § __.6(d) TOTUS = Trading by a foreign banking entity exempted under § __.6(e) Repo = Activity excluded under § __.3(d)(1) Sec Lending = Activity excluded under § __.3(d)(2) Liquidity Mgmt = Activity excluded under § __.3(d)(3) DCO/CA = Activity excluded under § __.3(d)(4) Clearing Member = Activity excluded under § __.3(d)(5) Delivery = Activity excluded under § __.3(d)(6)(i) Judicial = Activity excluded under § __.3(d)(6)(ii) Agent = Activity excluded under § __.3(d)(7) Employee = Activity excluded under § __.3(d)(8) DPC = Activity excluded under § __.3(d)(9) Purchase Error = Activity excluded under § __.3(d)(10) Matched Swap = Activity excluded under § __.3(d)(11) MSR Hedge = Activity excluded under § __.3(d)(12) NTAL = Activity excluded under § __.3(d)(13) Element containing the daily trading desk information. Provide an internalLimitsAndUsage element for each limit that was applied on this desk. Provide a limitDailySchedule for each trading date from the reporting period when this limit applied on this desk. Use the format YYYY-MM-DD. A limit might impose an upper bound, a lower bound, or both. If this limit imposes an upper bound then provide upperLimitSize and upperLimitSizeMdrm attributes. If this limit only applies a lower bound constraint then do not include these attributes in this element. A limit might impose an upper bound, a lower bound, or both. If this limit imposes an upper bound then provide upperLimitSize and upperLimitSizeMdrm attributes. If this limit only applies a lower bound constraint then do not include these attributes in this element. A limit might impose an upper bound, a lower bound, or both. If this limit imposes a lower bound then provide lowerLimitSize and lowerLimitSizeMdrm attributes. If this limit only applies an upper bound constraint then do not include these attributes in this element. A limit might impose an upper bound, a lower bound, or both. If this limit imposes a lower bound then provide lowerLimitSize and lowerLimitSizeMdrm attributes. If this limit only applies an upper bound constraint then do not include these attributes in this element. Report the value of the trading desk’s risk or positions that are accounted for by the daily activity of the desk. For limits accounted for at the end of the day, report the value of usage as of the end of the day. For limits accounted for during the day (intraday), report the maximum value of usage. Report the actual value of the risk or positions, not the percentage of the upper or lower limit utilized. Report the limit ID listed in the Internal Limits Information Schedule. A banking entity is required to report the VaR quantitative measurement for all trading desks engaged in covered trading activities. Provide the calendar date of the month. Use the format YYYY-MM-DD. Report the measurement of the risk of future financial loss in the value of the trading desk’s aggregated positions at the 99% confidence level over a 1-day holding period, based on current market conditions. Banking entities may calibrate to a 1-day holding period using appropriate scaling of a VaR measure made for a different holding period. A banking entity is required to report the Comprehensive Profit and Loss Attribution quantitative measurement for all trading desks engaged in covered trading activities. Comprehensive Profit and Loss Attribution is an analysis that attributes the daily fluctuation in the value of a trading desk’s positions to various sources. Report the risk factors and other factors that comprise Part 4.A, Item 85, Profit and Loss Due to Change in Risk Factors and Other Factors. Banking entities must include enough risk factors to explain the preponderance of the profit or loss changes due to risk factor changes. Provide the calendar date of the month. Use the format YYYY-MM-DD. Report the trading desk’s comprehensive profit and loss, which is determined by adding profit and loss on new and existing positions, as well as residual profit and loss that cannot be specifically attributed to existing or new positions. “New positions” are positions resulting from the current day’s trading activity. Report the profit and loss attributable to a trading desk’s existing positions. The comprehensive profit and loss associated with existing positions must reflect changes in the value of these positions on the applicable day. Report the profit and loss attributable to new positions. The comprehensive profit and loss attributed to new positions must reflect commissions and fee income or expenses and market gains or losses associated with transactions executed on the applicable day. New positions include purchases and sales of financial instruments and other assets/liabilities and negotiated amendments to existing positions. The comprehensive profit and loss from new positions may be reported in the aggregate and does not need to be further attributed to specific sources. The new position attribution is computed by calculating the difference between the value of the instruments when bought and/or sold and the value at which those instruments are marked to market at the close of business on that day. Any fees, commissions, or other payments received (paid) that are associated with transactions executed on that day are added (subtracted) from such difference. These factors should be measured consistently over time to facilitate historical comparisons. Report the profit and loss attributed to changes in the specific risk factors and other factors that are monitored and managed as part of the trading desk’s overall risk management policies and procedures. Report any portion of the daily profit and loss produced by revaluing the positions held at the end of the previous day using the market data at the end of the current day that is not specifically attributed to changes in risk factors monitored and managed as part of the trading desk’s overall risk management policies and procedures. Report the profit and loss due to actual cash flows, if not included elsewhere. Report the profit and loss due to changes in carry. Report the profit and loss due to changes in reserves or valuation adjustments. Report the profit and loss due to changes emanating from the correction, cancellation, or exercise of a trade. Material amendments to the economic terms of existing financial instrument contracts (other than corrections, cancellations or excercises) are considered new trades . Report all other attributable elements to profit and loss on existing positions that are not included elsewhere. A banking entity is required to report the Positions quantitative measurement for trading desks that rely on § __.4(a) or § __.4(b) to conduct underwriting activity or market making-related activity, respectively. Provide the calendar date. Use the format YYYY-MM-DD. Market value of all long securities positions. Market value of all short securities positions. Market value of all derivatives receivables. Market value of all derivatives payables. A banking entity must report the value and number of security and derivative transactions conducted by the trading desk with: (i) customers, excluding internal transactions; (ii) non-customers, excluding internal transactions; (iii) trading desks and other organizational units where the transaction is booked in the same banking entity or an affiliated banking entity. Provide the calendar date of the month. Use the format YYYY-MM-DD. Gross market value of all securities transactions conducted with customers. Number of all securities transactions conducted with customers. Gross notional value of all derivatives transactions conducted with customers. Number of all derivatives transactions conducted with customers. Gross market value of all securities transactions conducted with non-customers. Number of all securities transactions conducted with non-customers. Gross notional value of all derivatives transactions conducted with non-customers. Number of all derivatives transactions conducted with non-customers. Gross market value of all securities transactions where the transaction is booked in either the same banking entity or an affiliated banking entity. Number of all securities transactions where the transaction is booked in either the same banking entity or an affiliated banking entity. Gross notional value of all derivatives transactions where the transaction is booked in either the same banking entity or an affiliated banking entity. Number of all derivatives transactions where the transaction is booked in either the same banking entity or an affiliated banking entity. The motivation for the limit, or the source(s) of analysis by which the limit was set The individual sources or motivations for the limit imposed on one or more desks. Profit and Loss attribution by individual factor. Attributes describing the Profit-and-Loss Factor metrics Specify the conversion rate for the specified currency to U.S. dollars for each trading day. If values for a trading desk are reported in a currency other than U.S. dollars, specify the multiplier conversion rate (not divisor) for the specified currency to U.S. dollars for the trading desk. For U.S. dollars, report 1. Quantitative metrics as identified under the Volcker Rule