Quarterly Derivatives Report 2016 Q1 Final Report - OCC

Quarterly Derivatives Report 2016 Q1 Final Report - OCC

Quarterly Report on Bank Trading and Derivatives Activities First Quarter 2016 Office of the Comptroller of the Currency Washington, D.C. June 2016 ...

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Quarterly Report on Bank Trading and Derivatives Activities First Quarter 2016

Office of the Comptroller of the Currency Washington, D.C. June 2016

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Contents Executive Summary ......................................................................................................... 3  Revenue ......................................................................................................................... 4  Insured U.S. Commercial Banks and Savings Associations’ Trading Revenue ........... 4  Holding Company Trading Revenue ............................................................................ 4  Bank Trading Revenue as a Percent of Consolidated Holding Company Trading Revenue ...................................................................................................................... 4  Credit Risk ..................................................................................................................... 6  Market Risk .................................................................................................................. 11  Value-at-Risk ............................................................................................................. 11  Level 3 Trading Assets .............................................................................................. 12  Credit Derivatives ...................................................................................................... 13  Notionals .................................................................................................................... 13  Glossary of Terms ....................................................................................................... 16  Index of Tables and Figures ....................................................................................... 18  Appendix A Supplementary Graphs and Tables ...................................................... 19 

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Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Executive Summary     

Insured U.S. commercial banks and savings associations reported trading revenue of $5.8 billion in the first quarter of 2016, $1.5 billion more (35.3 percent) than in the previous quarter and $1.9 billion lower (24.9 percent) than a year earlier (see page 4). Credit exposure from derivatives increased in the first quarter of 2016. Net current credit exposure (NCCE) increased $65.1 billion, or 16.5 percent, to $460.1 billion (see page 8). Trading risk, as measured by value-at-risk (VaR), increased slightly in the first quarter of 2016. Total average VaR across the top five dealer banking companies increased $1.0 million, or 0.3 percent, to $330.0 million (see page 11). Notional derivatives increased $12.0 trillion, or 6.6 percent, to $192.9 trillion (see page 14). Derivative contracts remained concentrated in interest rate products, which represented 76.3 percent of total derivative notional amounts (see page 14).

The Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivative activities is based on call report information provided by all insured U.S. commercial banks (including trust companies) and savings associations (collectively, banks); reports filed by U.S. financial holding companies; and other published data. A total of 1,421 insured U.S. commercial banks and savings associations reported derivative activities at the end of the first quarter of 2016. A small group of large financial institutions continues to dominate derivative activity in the U.S. commercial banking system. During the first quarter of 2016, four large commercial banks represented 91.0 percent of the total banking industry notional amounts and 81.5 percent of industry NCCE. The OCC and other supervisors have examiners on site at the largest banks to evaluate continuously the credit, market, operational, reputation, and compliance risks of bank derivative activities. In addition to the OCC’s on-site supervisory activities, the OCC works with other financial supervisors and major market participants to address infrastructure, clearing, and margining issues in over-the-counter (OTC) derivatives. Activities include development of objectives and milestones for stronger trade processing and improved market transparency across all OTC derivative categories, migration of certain highly liquid products to clearinghouses, and requirements for posting and collecting margin.

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Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Revenue Insured U.S. Commercial Banks and Savings Associations’ Trading Revenue Insured U.S. commercial banks and savings associations reported $5.8 billion in trading revenue in the first quarter of 2016, $1.5 billion more (35.3 percent) than in the previous quarter and $1.9 billion lower (24.9 percent) than a year earlier (see table 1). Relative to the fourth quarter of 2015, the $1.5 billion increase in trading revenue primarily reflects an increase in combined interest rate and foreign exchange (FX) revenue, which increased $921.8 million to $4.5 billion, and credit revenue, which increased $556.0 million to $334.0 million during the quarter. Table 1. Quarterly Bank Trading Revenue, in Millions of Dollars

Interest Rate Foreign Exchange Equity Commodity & Other Credit Total Trading Revenue

2016 Q1 $3,070 $1,407 $674 $271 $334 $5,757

Q/Q Change $2,916 -$1,994 -$50 $74 $556 $1,502

2015 Q4 $155 $3,401 $724 $198 -$222 $4,256

Q/Q % Change 1883.0% -58.6% -6.9% 37.3% 250.6% 35.3%

2015 Q1 $958 $4,703 $797 $587 $624 $7,669

Y/Y Y/Y % Change Change $2,112 220.4% -$3,296 -70.1% -$123 -15.4% -$316 -53.8% -$290 -46.5% -$1,912 -24.9%

Source: Call report, Schedule RI

Holding Company Trading Revenue Consolidated bank holding company (BHC) trading performance provides a more complete picture of trading revenue in the banking system. As shown in table 2, consolidated holding company trading revenue of $11.8 billion in the first quarter of 2016 was $3.9 billion (50.0 percent) higher than in the previous quarter, and $6.9 billion (36.8 percent) lower than a year earlier. A $1.7 billion increase in combined interest rate and FX revenue, as well as a $2.1 billion increase in credit revenue, drove the $3.9 billion increase in trading revenue from the previous quarter. Table 2. Quarterly Holding Company Trading Revenue, in Millions of Dollars

Interest Rate Foreign Exchange Equity Commodity & Other Credit Total HC Trading Revenue

2016 Q1 $3,809 $2,017 $3,441 $738 $1,799 $11,804

Q/Q Change $4,050 -$2,316 -$239 $319 $2,121 $3,935

2015 Q4 -$242 $4,333 $3,680 $419 -$321 $7,869

Q/Q % Change 1676.4% -53.4% -6.5% 76.0% 659.9% 50.0%

2015 Q1 $1,900 $6,329 $6,022 $1,833 $2,603 $18,687

Y/Y Y/Y % Change Change $1,909 100.5% -$4,311 -68.1% -$2,581 -42.9% -$1,095 -59.7% -$804 -30.9% -$6,882 -36.8%

Source: Consolidated Financial Statements for Holding Companies—FR Y-9C, Schedule HI

Bank Trading Revenue as a Percent of Consolidated Holding Company Trading Revenue Before the financial crisis, trading revenue at banks typically ranged from 60 percent to 80 percent of consolidated BHC trading revenue. Since the financial crisis and the adoption of bank charters by the former investment banks, the percentage of bank trading revenue to consolidated company revenue has fallen generally between 30 percent and 50 percent. This decline reflects the significant amount of trading activity by the former investment banks that, -4-

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

while included in BHC results, remains outside the insured commercial banks. More generally, insured U.S. commercial banks and savings associations have more limited legal authorities than their holding companies, particularly in trading commodity and equity products. In the first quarter of 2016, banks generated 48.8 percent of consolidated holding company trading revenue, down from 54.1 percent in the previous quarter (see figure 1). Figure 1. Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue

Source: Consolidated Financial Statements for Holding Companies—FR Y-9C (Schedule HI) and call report (Schedule RI)

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Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Credit Risk Credit risk is a significant risk in bank derivative trading activities. The notional amount of a derivative contract is a reference amount that determines contractual payments, but it is generally not an amount at risk. The credit risk in a derivative contract is a function of a number of variables, such as whether counterparties exchange notional principal, the volatility of the underlying market factors (interest rate, currency, commodity, equity, or corporate reference entity), the maturity and liquidity of the contract, and the creditworthiness of the counterparty. Credit risk in derivatives differs from credit risk in loans because of the more uncertain nature of the potential credit exposure. Because the credit exposure is a function of movements in market factors, banks do not know, and can only estimate, how much the value of the derivative contract might be at various points in the future. The credit exposure is bilateral in most derivative transactions, such as swaps (which make up the bulk of bank derivative contracts). Each party to the contract may (and, if the contract has a long enough tenor, probably will) have a current credit exposure to the other party at various times during the contract’s life. With a funded loan, the amount at risk is the amount advanced to the borrower. The credit risk is unilateral. The bank faces the credit exposure of the borrower. Measuring credit exposure in derivative contracts involves identifying those contracts where a bank would lose value if the counterparty to a contract defaulted. The total of all contracts with positive value (i.e., derivative receivables) to the bank is the gross positive fair value (GPFV) and represents an initial measurement of credit exposure. The total of all contracts with negative value (i.e., derivative payables) to the bank is the gross negative fair value (GNFV) and represents a measurement of the exposure the bank poses to its counterparties. GPFV increased by $0.8 trillion (26.6 percent) in the first quarter of 2016 to $3.8 trillion, driven by a 29.9 percent increase in receivables from interest rate and FX contracts (see table 3). Because interest rate contracts make up 76.2 percent of total notional derivative contracts, changes in interest rates drive credit exposure in derivative portfolios. Declines in interest rates tend to increase exposure. This effect has increased in recent years, as the maturity profile of interest rate derivatives has increased, making credit exposure more sensitive to changes in longer-term rates. Because banks hedge the market risk of their derivative portfolios, a similar increase in GNFVs matched the change in GPFV. Derivative payables increased $0.8 trillion (26.9 percent) to $3.7 trillion during the quarter, driven by increases in payables on interest rate and FX contracts.

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Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Table 3. Gross Positive Fair Values and Gross Negative Fair Values, in Billions of Dollars

Interest Rate Foreign Exchange Equity Commodity & Other Credit Gross Positive Fair Value

2016 Q1 $2,856 $626 $101 $53 $114 $3,750

2015 Q4 $2,146 $535 $97 $62 $123 $2,963

Q/Q Change $710 $90 $4 -$9 -$8 $787

Q/Q % Change 33.1% 16.9% 4.0% -14.4% -6.7% 26.6%

2015 Q1 $3,037 $727 $93 $56 $149 $4,061

Y/Y Y/Y % Change Change -$181 -6.0% -$101 -13.9% $8 8.8% -$3 -4.8% -$34 -23.0% -$311 -7.7%

Interest Rate Foreign Exchange Equity Commodity & Other Credit Gross Negative Fair Value

2016 Q1 $2,781 $637 $96 $57 $112 $3,683

2015 Q4 $2,079 $548 $91 $65 $118 $2,902

Q/Q Change $702 $89 $4 -$8 -$6 $782

Q/Q % Change 33.8% 16.3% 4.6% -12.5% -4.8% 26.9%

2015 Q1 $2,969 $737 $92 $61 $147 $4,006

Y/Y Y/Y % Change Change -$188 -6.3% -$100 -13.5% $3 3.7% -$4 -6.7% -$35 -23.5% -$323 -8.1%

Source: Call report, Schedule RC-L

A legally enforceable netting agreement with a counterparty creates a single legal obligation for all transactions (called a “netting set”) under the agreement. Therefore, when banks have such agreements with their counterparties, contracts with negative values (an amount a bank would pay to its counterparty) can offset contracts with positive values (an amount owed by the counterparty to the bank), leaving an NCCE as shown in table 4. Table 4. Netting Contract Examples Bank A Portfolio With Counterparty B

Number of Contracts

Value of Contracts

Credit Measure/Metric

Contracts With Positive Value to Bank A

6

$500

Gross Positive Fair Value

Contracts With Negative Value to Bank A

4

$350

Gross Negative Fair Value

Total Contracts

10

$150

NCCE to Bank A From Counterparty B

Most, but not necessarily all, derivative transactions that a bank has with an individual counterparty are typically subject to a legally enforceable netting agreement. Some transactions may be subject to the laws of a jurisdiction that does not provide legal certainty of netting agreements, in which case banks must regard such transactions as separate from the netting set. Other transactions may involve nonstandard contractual documentation. Transactions that are not subject to the same legally enforceable netting agreement become unique netting sets that have distinct values that cannot be netted, and for which the appropriate current credit measure is the gross exposure to the bank, if that amount is positive. In some cases, transactions that fall under separate netting sets may be tied together under a separate legally enforceable netting agreement. While banks can net exposures within a netting set under the same netting agreement, they cannot net exposures across netting sets without a separate legally enforceable netting agreement. As a result, a bank’s NCCE to a particular counterparty equals the sum of the credit exposures across all netting sets with that counterparty. A bank’s NCCE across all counterparties equals the sum of its NCCE to each of its counterparties. NCCE is the primary metric used by the OCC to evaluate credit risk in bank derivative activities. NCCE for insured U.S. commercial banks and saving associations increased by $65.1 billion -7-

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

(16.5 percent) to $460.1 billion in the first quarter of 2016 (see table 5).1 Legally enforceable netting agreements allowed banks to reduce GPFV exposures by 87.7 percent ($3.3 trillion) in the first quarter of 2016. Table 5. Net Current Credit Exposure, Quarter-Over-Quarter Comparison, in Billions of Dollars

Gross Positive Fair Value NCCE RC-R Netting Benefit RC-R Netting % RC-R

2016 Q1 $3,750 $460 $3,290 87.7%

2015 Q4 $2,963 $395 $2,568 86.7%

Q/Q Change $787 $65 $722 1.0%

Q/Q % Change 26.6% 16.5% 28.1% 1.2%

Source: Call report, Schedules RC-L and RC-R

NCCE peaked at $804.1 billion at the end of 2008, during the financial crisis, when interest rates had plunged and credit spreads were very high (see figure 2). The significant decline in NCCE since 2008 has largely resulted from declines in the GPFV of interest rate and credit contracts. GPFV from interest rate contracts has fallen from $5.1 trillion at the end of 2008 to $2.9 trillion at the end of the first quarter of 2016. On March 31, 2016, exposure from credit contracts of $114.4 billion was $1.0 trillion lower (89.8 percent) than the $1.1 trillion on December 31, 2008. New regulations and a decrease in client demand have led to the reduction in credit derivative notional amounts. Figure 2. Net Current Credit Exposure, in Billions of Dollars

Source: Call report, Schedule RC-R

The bulk of NCCE in the financial system is concentrated in banks and securities firms (49.7 percent) and corporations and other counterparties (41.4 percent) (see table 6). Relative to the fourth quarter of 2015, the first quarter of 2016 saw a decrease in the percentage of total 1

Banks report NCCE in two different schedules (RC-R and RC-L) of the call report, and the amounts reported are not the same because of differences in the scope of coverage. Neither measure comprehensively captures NCCE. RC-L includes exposure only from OTC derivative transactions; it excludes exchange-traded transactions. RC-R excludes transactions not subject to capital requirements. The recent change to reflect central counterparty exposures in RC-R, however, has led to a convergence in the two schedules. This report, which has used RC-L for NCCE since the second quarter of 2014, now again uses the RC-R measure for NCCE. -8-

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

credit exposure to banks and securities firms (from 53.3 percent to 49.7 percent), and an increase in the percentage of total credit exposure to corporations and other counterparties (from 38.5 percent to 41.4 percent). Exposure to hedge funds, sovereign governments, and monoline financial firms was small (9.0 percent in total). The sheer size of aggregate counterparty exposures, however, results in the potential for major losses, even in sectors where credit exposure is a small percentage of the total. For example, notwithstanding the minimal share of NCCE to monolines, banks suffered material losses on these exposures during the credit crisis. Because banks have taken credit charges (via credit valuation adjustments) to write down their monoline exposures completely, current credit exposures to monolines were virtually 0 percent of total NCCE at the end of the first quarter of 2016. Sovereign credit exposures were also a small component (6.7 percent) of NCCE during the quarter and, like monoline exposures before the financial crisis, are largely unsecured. Table 6. Net Current Credit Exposure by Counterparty Type as a Percentage of Total Net Current Credit Exposure

2016 2015 2015 2014

Q1 Q4 Q1 Q1

Banks & Securities Firms 49.7% 53.3% 51.9% 55.3%

Monoline Financial Firms 0.1% 0.1% 0.1% 0.2%

Corporations & Sovereign All Other Hedge Funds Governments Counterparties 2.2% 6.7% 41.4% 2.1% 6.0% 38.5% 1.6% 6.2% 40.3% 2.6% 7.7% 34.2%

Source: Call report, Schedule RC-L

A more risk-sensitive measure of credit exposure would consider the value of collateral held against counterparty exposures. Commercial banks and savings associations with total assets greater than $10 billion report the fair value of collateral held against various classifications of counterparty exposure. Reporting banks held collateral against 83.7 percent of their total NCCE at the end of the first quarter of 2016, down from 89.7 percent in the fourth quarter of 2015 (see table 7). The reduction in the ratio of collateral held against counterparty exposure was due primarily to weaker collateral coverage of exposures to banks and securities firms, which decreased from 101.7 percent to 94.7 percent. Collateral held against hedge fund exposures decreased in the first quarter, but coverage remains very high at 378.8 percent. Hedge fund exposures have always been secured well, because banks take “initial margin” on transactions with hedge funds, in addition to fully securing any current credit exposure. Collateral coverage of corporate, monoline, and sovereign exposures is much less than coverage of financial institutions and hedge funds, although coverage of corporate exposures has been increasing over the past several years because of increases in the volume of trades cleared at central counterparties.

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Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Table 7. Fair Value Collateral to Net Current Credit Exposure

2016 2015 2015 2014

Q1 Q4 Q1 Q1

FV Banks & FV Monoline Securities Financial Firms Firms 94.7% 0.0% 101.7% 5.2% 97.1% 0.0% 99.1% 3.9%

FV Hedge Funds 378.8% 439.6% 408.2% 323.7%

FV Corporations FV Sovereign & All Other Governments Counterparties FV/NCCE% 20.1% 65.4% 83.7% 15.6% 66.2% 89.7% 12.8% 52.6% 79.0% 12.7% 55.3% 83.1%

Source: Call report, Schedule RC-L

Collateral quality held by banks was very high and liquid during the quarter, with 77.9 percent held in cash (both U.S. dollar and non-dollar) and an additional 6.8 percent held in U.S. Treasuries and government agencies (see table 8). Supervisors assess changes in the quality of collateral held as a key early indicator of potential easing in credit terms. Examiners review the collateral management practices of derivative dealers as a regular part of their ongoing supervision activities. Table 8. Composition of Collateral

2016 2015 2015 2014

Q1 Q4 Q1 Q1

Cash U.S. Dollar 45.7% 43.6% 45.9% 45.6%

Cash Other Currencies 32.2% 31.7% 31.4% 31.4%

U.S. Treasury Securities 4.9% 4.6% 2.6% 2.9%

U.S. Gov't Agency 1.9% 1.6% 3.0% 3.1%

Corporate Bonds 1.2% 1.4% 0.9% 0.8%

Equity All Other Securities Collateral 4.9% 9.0% 5.3% 11.8% 1.5% 14.7% 1.9% 14.2%

Source: Call Report, Schedule RC-L

Credit quality metrics for derivative exposures softened in the first quarter of 2016, as banks reported net charge-offs of $13.3 million, compared to net charge-offs of $6.4 million in the fourth quarter of 2015 (see graph 8 in the appendix). The number of banks reporting charge-offs remained the same at 15 banks. Net charge-offs in the first quarter of 2016 represented 0.003 percent of the NCCE from derivative contracts. For comparison purposes, commercial and industrial (C&I) loan net charge-offs increased $96.0 million, or 5.5 percent, to $1.8 billion during the quarter, and were 0.1 percent of total C&I loans. Charge-offs of derivative exposures typically are associated with problem commercial lending exposures, in which the borrower has an associated swap transaction.

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Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Market Risk Value-at-Risk Banks primarily control market risk in trading operations by establishing limits against potential losses. Banks use VaR to quantify the maximum expected loss over a specified time period and at a certain confidence level in normal markets. VaR is not the maximum potential loss. Since VaR does not measure the maximum potential loss, banks stress test trading portfolios to assess the potential for loss beyond the VaR measure. Banks and supervisors have been working to expand the use of stress testing to complement the VaR risk measurement process that banks typically use to assess a bank’s exposure to market risk. The large trading banks disclose average VaR data in published financial reports. Comparing the VaR numbers over time to equity capital and net income provides perspective on market risk of trading activities. As shown in table 9, market risk reported by the five largest banking companies, as measured by VaR, is small as a percentage of their capital. Table 9. Value-at-Risk at Major Bank Holding Companies, in Millions of Dollars

2016 Q1 VaR 2015 Q4 VaR Q/Q Change Q/Q % Change Equity Capital 2015 Net Income Avg VaR/Equity Avg VaR/Net Income

JPMorgan $54 $47 $7 14.9% $250,157 $61,568 0.0% 0.1%

Citigroup $108 $108 $0 0.0% $227,522 $45,535 0.0% 0.2%

Bank of America $50 $52 -$2 3.8% $262,776 $41,107 0.0% 0.1%

Goldman $72 $72 $0 0.0% $86,837 $18,137 0.1% 0.4%

Morgan Stanley $46 $50 -$4 -8.0% $75,010 $17,941 0.1% 0.3%

Total $330 $329 $1 0.3% $902,302 $184,288 0.0% 0.2%

Source: 10K & 10Q U.S. Securities and Exchange Commission reports

VaR measures are not comparable across firms, because of methodological differences in calculating VaR, as well as differences in the scope of coverage. These differences can result in materially different VaR estimates across firms, even for the same portfolios. When assessing trading risk in the banking system, it is therefore appropriate to review the trend in VaR at individual firms, not in aggregate across firms. Because of methodological differences in calculating VaR, readers are cautioned that a higher VaR figure at a particular bank may not necessarily imply that the bank has more trading risk than another bank with a lower VaR. For example, JPMorgan, Goldman Sachs, and Morgan Stanley calculate VaR using a 95 percent confidence interval. If those firms used a 99 percent confidence interval, as Bank of America and Citigroup do, their VaR estimates would be meaningfully higher. The data series used to measure risk also is an important factor in the calculated risk. VaR for a single portfolio of exposures will differ if the historical period used to measure risk differs. The scope of coverage of the VaR measure is also important when reviewing risks across institutions. Some firms disclose VaR based only on their trading and intermediation activity, while others also include risks from hedging mortgage-servicing assets, fair value option portfolios, and asset and liability management activities. Graph 16 in the appendix illustrates the trend over the past seven years in average VaR at each of the top five large trading companies. - 11 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Figure 3 shows the VIX, a volatility index,2 which measures the market’s expectation of stock market volatility of S&P 500 index options over the next 30-day period. The chart illustrates that there has been an extended period of low volatility since the end of the financial crisis. Figure 3. Volatility Index (VIX)

Source: Bloomberg

Level 3 Trading Assets Another measure used to assess market risk is the volume of and changes in level 3 trading assets. Level 3 trading assets are assets whose fair value cannot be determined by using observable inputs, such as market prices. Since the peak of the financial crisis at the end of 2008, major dealers have reduced the volume of level 3 trading assets. Because banks cannot observe inputs into the models that determine the fair value of these illiquid exposures, banks use their own assumptions in determining their fair values. Level 3 assets peaked at $204.1 billion at the end of 2008 (see figure 4). At the end of the first quarter of 2016, banks held $41.3 billion of level 3 trading assets, down 2.4 percent from the previous quarter, and 30.4 percent lower than a year ago. Level 3 assets are $162.8 billion (79.8 percent) lower than the peak level from 2008. Figure 4. Level 3 Trading Assets, in Billions of Dollars

Source: Call reports, Schedule RC-Q

2

VIX is the trademarked ticker symbol for the Chicago Board Options Exchange SPX Volatility Index. - 12 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Credit Derivatives Notional outstanding of credit derivatives increased $0.4 trillion (6.2 percent) in the first quarter of 2016 to $7.4 trillion. Contracts referencing non-investment-grade firms increased $93.2 billion while contracts referencing investment-grade firms increased $338.1 billion. Credit derivatives outstanding remained well below the peak of $16.4 trillion in the first quarter of 2008. As shown in figure 5, credit default swaps are the dominant product, at $7.0 trillion or 95.0 percent of all credit derivative notionals (see also tables 11 and 12 in the appendix). Contracts referencing investment-grade entities with maturities from one to five years, which increased by $71.7 billion (2.2 percent) in the quarter, represented the largest segment of the market at 45.8 percent of all credit derivative notionals. Contracts of all tenors that reference investment-grade entities are 71.8 percent of the market (see chart on right in figure 5 and graph 14 in the appendix). Figure 5. 2016 Q1 Credit Derivative Composition, in Billions of Dollars By Product Type

By Maturity & Quality of Underlying Reference Entity

Other Credit Derivatives: $49 Credit Options: $196

Total Return Swaps: $125

Credit Default Swaps: $7,047

Source: Call reports, Schedule RC-L

The notional amount for the 54 insured U.S. commercial banks and savings associations that sold credit protection (i.e., assumed credit risk) was $3.6 trillion, up $206.4 billion (6.0 percent) from the fourth quarter of 2015. The notional amount for the 50 banks that purchased credit protection (i.e., hedged credit risk) was $3.8 trillion, $224.9 billion higher (6.3 percent) than in the fourth quarter of 2015 (see table 12 in the appendix). Notionals Changes in notional amounts are generally reasonable reflections of business activity and can provide insight into potential revenue and operational issues. The notional amount of derivative contracts, however, does not provide a useful measure of market or credit risks. The notional amount of derivative contracts held by insured U.S. commercial banks and savings associations in the first quarter increased by $12.0 trillion (6.6 percent) to $192.9 trillion from the previous quarter (see table 10). The increase was driven by an $8.8 trillion increase in interest rate notionals. A $7.4 trillion increase in swaps contracts (6.9 percent) to $114.8 trillion drove the increase in interest rate notionals (see table 11). Swap contracts remained the dominant derivatives product at $114.8 trillion, or 59.5 percent of all notionals. - 13 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Table 10. Derivative Notionals by Underlying Risk Exposure Quarter-Over-Quarter, in Billions of Dollars

Interest Rate Foreign Exchange Equity Commodities Credit Total Notional

2016 Q1 $147,218 $34,568 $2,534 $1,210 $7,418 $192,947

2015 Q4 $138,402 $32,100 $2,378 $1,108 $6,986 $180,973

Q/Q Change $8,816 $2,468 $156 $102 $431 $11,974

Q/Q % Change 6.4% 7.7% 6.6% 9.2% 6.2% 6.6%

Y/Y Y/Y % 2015 Q1 Change Change $158,514 -$11,296 -7.1% $32,783 $1,785 5.4% $2,360 $174 7.4% $1,241 -$31 -2.5% $9,017 -$1,599 -17.7% $203,914 -$10,967 -5.4%

Source: Call reports, Schedule RC-L

Table 11. Derivative Notionals by Contract Type Quarter-Over-Quarter, in Billions of Dollars

Futures & Forwards Swaps Options Credit Derivatives Total Notional

2016 Q1 $37,151 $114,814 $33,564 $7,418 $192,947

2015 Q4 $35,685 $107,392 $30,909 $6,986 $180,973

Q/Q Change $1,466 $7,422 $2,655 $431 $11,974

Q/Q % Change 4.1% 6.9% 8.6% 6.2% 6.6%

Y/Y Y/Y % 2015 Q1 Change Change $44,545 -$7,395 -16.6% $117,711 -$2,897 -2.5% $32,641 $923 2.8% $9,017 -$1,599 -17.7% $203,914 -$10,967 -5.4%

Source: Call reports, Schedule RC-L

The four banks with the most derivative activity hold 91.0 percent of all derivatives, while the largest 25 banks account for nearly 100 percent of all contracts (see tables 3 and 5 and graph 4 in the appendices). Interest rate contracts continued to represent the majority of the derivative market at $147.2 trillion or 76.3 percent of total derivatives during the first quarter of 2016 (see table 10). FX and credit derivatives were 17.9 percent and 3.8 percent of total notionals, respectively. Commodity and equity derivatives collectively were only 1.9 percent of total notional derivatives. Although notionals increased in the first quarter 2016, they have generally declined since 2011 due to trade compression efforts, as well as the lower volatility environment, which has led to less need for risk management products. Trade compression continues to be a significant factor in reducing the amount of notional derivatives outstanding. Trade compression aggregates a large number of swap contracts with similar factors, such as risk or cash flows, into fewer trades. Compression removes economic redundancy in a derivative book and reduces operational risks and capital costs for large banks. Trade compression activities declined in the first quarter of 2016, as shown in figure 6.

- 14 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Figure 6. Quarterly Compression Activity, in Trillions of Dollars

Source: LCH.Clearnet

In the first quarter of 2015, banks began reporting their volumes of cleared and non-cleared derivative transactions, as well as risk weights for counterparties in each of these categories. In the first quarter of 2016, 36.5 percent of the derivative market was centrally cleared (see table 12). From a market factor perspective, 45.4 percent of interest rate derivative contracts notionals outstanding were centrally cleared, while virtually none of the FX derivative market was centrally cleared. The credit derivative market remained largely uncleared, as 20.5 percent of investment grade and 16.8 percent of non-investment-grade transactions were centrally cleared. Centrally cleared derivative transactions were heavily concentrated at qualified central counterparties, with 91.3 percent of notionals reflecting the 2 percent risk weight applicable to such counterparties. Table 12. Centrally Cleared Derivative Contracts as Percent of Total Derivative Contracts

2016 2015 2015 2015 2015

Q1 Q4 Q3 Q2 Q1

Interest Rate 45.4% 46.2% 44.7% 43.1% 44.7%

Foreign Exchange 0.5% 0.5% 0.5% 0.3% 0.2%

Equity 21.4% 19.2% 14.2% 13.4% 13.4%

Source: Call reports, Schedule RC-R

- 15 -

Precious Metals 4.4% 3.7% 5.0% 2.6% 1.6%

Credit 19.4% 16.8% 20.4% 19.6% 19.7%

Other 13.6% 14.0% 12.6% 10.9% 16.3%

Total 36.5% 36.9% 36.0% 35.0% 36.5%

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Glossary of Terms Bilateral netting: A legally enforceable arrangement between a bank and a counterparty that creates a single legal obligation covering all included individual contracts. This means that a bank’s receivables or payables, in the event of the default or insolvency of one of the parties, would be the net sum of all positive and negative fair values of contracts included in the bilateral netting arrangement. Centrally cleared derivative contract: A standardized derivative contract that is transacted bilaterally but submitted for clearing to a central counterparty, with the central counterparty becoming the ultimate counterparty to both the buyer and the seller. Credit derivative: A financial contract that allows a party to take, or reduce, credit exposure (generally on a bond, loan, or index). The OCC’s derivatives survey includes OTC credit derivatives, such as credit default swaps, total return swaps, and credit spread options. Derivative: A financial contract whose value is derived from the performance of underlying market factors, such as interest rates, currency exchange rates, commodity, credit, and equity prices. Derivative transactions include a wide assortment of financial contracts such as structured debt obligations and deposits, swaps, futures, options, caps, floors, collars, forwards, and various combinations thereof. Gross negative fair value (GNFV): The sum total of the fair values of contracts where the bank owes money to its counterparties, without taking into account netting. This amount represents the maximum losses the bank’s counterparties would incur if the bank defaults and there is no netting of contracts, and no bank collateral was held by the counterparties. GNFVs associated with credit derivatives are included. Gross positive fair value (GPFV): The sum total of the fair values of contracts when the bank is owed money by its counterparties, without taking into account netting. This amount represents the maximum losses a bank could incur if all its counterparties default and there is no netting of contracts, and the bank holds no counterparty collateral. GPFVs associated with credit derivatives are included. Net current credit exposure (NCCE): For a portfolio of derivative contracts, NCCE is the GPFV of contracts less the dollar amount of netting benefits. On any individual contract, current credit exposure (CCE) is the fair value of the contract if positive, and zero when the fair value is negative or zero. NCCE is also the net amount owed to banks if all contracts were immediately liquidated. Notional amount: The nominal or face amount that is used to calculate payments made on swaps and other risk management products. This amount generally does not change hands and is thus referred to as notional. OTC derivative contracts: Privately negotiated derivative contracts that are transacted off organized exchanges. Potential future exposure (PFE): An estimate of what the CCE could be over time, based on a supervisory formula in the agencies’ risk-based capital rules. PFE is generally determined by multiplying the notional amount of the contract by a credit conversion factor that is based on the underlying market factor (e.g., interest rates, commodity prices, and equity prices) and the contract’s remaining maturity. The risk-based capital rules, however, permit banks to adjust the - 16 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

formulaic PFE measure by the “net-to-gross ratio,” which proxies the risk-reduction benefits attributable to a valid bilateral netting contract. PFE data in this report uses the amounts on which banks hold risk-based capital. Total credit exposure (TCE): The sum total of NCCE and PFE. Total risk-based capital: The sum of tier 1 plus tier 2 capital. Tier 1 capital generally consists of common shareholders’ equity, perpetual preferred shareholders’ equity with noncumulative dividends, retained earnings, and tier 1 capital of consolidated subsidiaries that is not owned by the bank (minority interest) less regulatory adjustments and deductions. Tier 2 capital generally consists of subordinated debt, intermediate-term preferred stock, cumulative and long-term preferred stock, tier 2 capital of consolidated subsidiaries that is not owned by the bank (minority interest), and a portion of a bank’s allowance for loan and lease losses less regulatory adjustments and deductions. Trade compression: A significant factor in reducing the amount of notional derivatives outstanding. Trade compression aggregates a large number of swap contracts with similar factors, such as risk or cash flows, into fewer trades. Compression removes economic redundancy in a derivative book and reduces operational risks and capital costs for large banks. VIX or volatility index: Measures the market’s expectation of stock market volatility of S&P 500 index options over the next 30-day period.

- 17 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Index of Tables and Figures Table 1. Quarterly Bank Trading Revenue, in Millions of Dollars ................................................ 4  Table 2. Quarterly Holding Company Trading Revenue, in Millions of Dollars ........................... 4  Figure 1. Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue ....................................................................................................................... 5  Table 3. Gross Positive Fair Values and Gross Negative Fair Values, in Billions of Dollars ........ 7  Table 4. Netting Contract Examples ............................................................................................... 7  Table 5. Net Current Credit Exposure, Quarter-Over-Quarter Comparison, in Billions of Dollars ................................................................................................................. 8  Figure 2. Net Current Credit Exposure, in Billions of Dollars ....................................................... 8  Table 6. Net Current Credit Exposure by Counterparty Type as a Percentage of Total Net Current Credit Exposure ....................................................................................... 9  Table 7. Fair Value Collateral to Net Current Credit Exposure ................................................... 10  Table 8. Composition of Collateral............................................................................................... 10  Table 9. Value-at-Risk at Major Bank Holding Companies, in Millions of Dollars .................... 11  Figure 3. Volatility Index (VIX) ................................................................................................... 12  Figure 4. Level 3 Trading Assets, in Billions of Dollars .............................................................. 12  Figure 5. 2016 Q1 Credit Derivative Composition, in Billions of Dollars ................................... 13  Table 10. Derivative Notionals by Underlying Risk Exposure Quarter-Over-Quarter, in Billions of Dollars ............................................................................................................... 14  Table 11. Derivative Notionals by Contract Type Quarter-Over-Quarter, in Billions of Dollars ............................................................................................................... 14  Figure 6. Quarterly Compression Activity, in Trillions of Dollars............................................... 15  Table 12. Centrally Cleared Derivative Contracts as Percent of Total Derivative Contracts....... 15 

- 18 -

Quarterly Report on Bank Trading and Derivatives Activities, First Quarter 2016

Appendix A Supplementary Graphs and Tables Graph 1. Derivative Notionals by Type Graph 2. Derivative Contracts by Product Graph 3. Derivative Contracts by Type Graph 4. Four Banks Dominate in Derivatives Graph 5. Credit Exposure to Risk-Based Capital (in Percentage) Graph 6. Netting Benefit: Amount of Gross Credit Exposure Eliminated Through Bilateral Netting Graph 7. Quarterly Charge-Offs/Recoveries From Derivatives Graph 8. Quarterly Charge-Offs Graph 9. Quarterly Trading Revenue (Cash and Derivative Positions) Graph 10. Quarterly Trading Revenue (Cash and Derivative Positions) as a Percentage of Gross Revenue (in Percentage) Graph 11. Notional Amounts of Interest Rate and Foreign Exchange + Gold Contracts by Maturity Graph 12. Notional Amounts of Precious Metal Contracts by Maturity Graph 13. Notional Amounts of Commodity and Equity Contracts by Maturity Graph 14. Notional Amounts of Credit Derivative Contracts by Credit Quality and Maturity Graph 15. Notional Amounts of Over-the-Counter and Centrally Cleared Derivative Contracts Graph 16. Value-at-Risk (VaR) Table 1. Notional Amount of Derivative Contracts Table 2. Notional Amount of Derivative Contracts (holding companies) Table 3. Distribution of Derivative Contracts Table 4. Credit Equivalent Exposures Table 5. Notional Amounts of Derivative Contracts Held for Trading Table 6. Gross Fair Values of Derivative Contracts Table 7. Trading Revenue From Cash Instruments and Derivatives Table 8. Notional Amounts of Derivative Contracts by Contract Type and Maturity (interest rate, FX, gold) Table 9. Notional Amounts of Derivative Contracts by Contract Type and Maturity (precious metals) Table 10. Notional Amounts of Derivative Contracts by Contract Type and Maturity (other, equity) Table 11. Notional Amounts of Derivative Contracts by Contract Type and Maturity (credit) Table 12. Distribution of Credit Derivative Contracts Held for Trading - 19 -

Gr aph1 Der i vat i veNot i onal sbyType I nsur edU. S.Commer i calBanksandSavi ngsAssoci at i ons $250, 000

$200, 000

i nbi l l i ons

$150, 000

$100, 000

$50, 000

$0 2000

2001

2002

2003

2004

2005

Tot al Der i v at i veNot i onal s

2006

2007

2008

Deal er( Tr adi ng)

2009

2010

EndUser( NonTr adi ng)

2011

2012

2013

2014

2015

2016

Cr edi tDer i v at i v es

I nbi l l i onsofdol l ar s 2012 Q1 Tot alDer i vat i veNot i onal s Deal er( Tr adi ng) EndUser( NonTr adi ng) Cr edi tDer i vat i ves

Q2

2013 Q3

Q4

Q1

Q2

2014 Q3

Q4

Q1

Q2

2015 Q3

Q4

Q1

Q2

2016 Q3

Q4

Q1

$228, 279 $221, 272 $225, 637 $221, 794 $229, 987 $232, 342 $238, 827 $235, 992 $229, 011 $236, 808 $239, 459 $221, 078 $203, 914 $198, 602 $192, 958 $180, 973 $192, 947 209, 383 202, 805 206, 772 204, 044 211, 353 214, 240 221, 425 219, 990 213, 838 222, 078 225, 318 207, 711 191, 266 186, 765 181, 798 171, 193 182, 404 4, 845

4, 843

4, 867

4, 560

4, 733

4, 776

4, 610

4, 812

4, 008

3, 903

3, 732

3, 918

3, 632

3, 349

2, 963

2, 794

3, 125

14, 051

13, 624

13, 998

13, 190

13, 901

13, 327

12, 793

11, 191

11, 165

10, 827

10, 408

9, 449

9, 017

8, 488

8, 198

6, 986

7, 418

Not e:Number smaynott ot alduet or oundi ng.Tot alder i vat i venot i onal sar enow r epor t edi ncl udi ngcr edi tder i vat i ves,f orwhi chr egul at or yr epor t i ngdoesnotdi f f er ent i at ebet weent r adi ngandnont r adi ng. Sour ce:Cal lr epor t s

Gr aph2 Der i vat i veCont r act sbyPr oduct * I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons 2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

$250, 000

$200, 000

i nbi l l i ons

$150, 000

$100, 000

$50, 000

$0

Fut ur es&For war ds

Tot al Opt i ons

Tot al Swaps

Cr edi tDer i v at i v es

I nbi l l i onsofdol l ar s 2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

$11, 406

$11, 370

$12, 057

$14, 882

$18, 867

$22, 529

$29, 652

$35, 539

$37, 469

$41, 621

$40, 027

$43, 380

$35, 685

$37, 151

Tot alOpt i ons

14, 616

17, 754

18, 858

26, 277

27, 727

29, 747

31, 884

32, 078

32, 505

30, 375

32, 305

33, 081

30, 909

33, 564

Tot alSwaps

44, 090

56, 411

64, 712

81, 340

103, 102

143, 111

139, 138

149, 331

146, 266

136, 608

152, 469

135, 169

107, 392

114, 814

Fut ur es&For war ds

Cr edi tDer i vat i ves Tot alDer i vat i veNot i onal s

0

0

0

9, 020

15, 863

16, 029

14, 112

14, 151

14, 759

13, 190

11, 191

9, 449

6, 986

7, 418

70, 112

85, 536

95, 627

131, 519

165, 559

211, 416

214, 786

231, 099

230, 998

221, 794

235, 992

221, 078

180, 973

192, 947

* Not i onalamountoft ot al :f ut ur es,exchanget r adedopt i ons,overt hecount eropt i ons,f or war dsandswaps. Not e:Number smaynotaddduet or oundi ng Sour ce:Cal lr epor t s

Gr aph3 Der i vat i veCont r act sbyType* I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons 2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

$250, 000

$200, 000

i nbi l l i ons

$150, 000

$100, 000

$50, 000

$0

I nt er es tRat e

For ei gnEx c hange

Equi t i es

Commodi t i es

Cr edi tDer i v at i ves

I nbi l l i onsofdol l ar s 2003 I nt er estRat e

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

$61, 876

$75, 533

$84, 530

$107, 435

$129, 491

$175, 895

$181, 454

$193, 399

$187, 866

$177, 650

$193, 084

$174, 687

$138, 402

$147, 218

7, 185

8, 607

9, 289

11, 900

16, 614

16, 224

16, 555

20, 990

25, 436

27, 587

28, 480

33, 183

32, 100

34, 568

Equi t i es

829

1, 112

1, 255

2, 271

2, 524

2, 207

1, 685

1, 364

1, 606

1, 970

2, 028

2, 537

2, 378

2, 534

Commodi t i es

223

284

552

893

1, 067

1, 061

979

1, 195

1, 330

1, 397

1, 209

1, 222

1, 108

1, 210

0

0

0

9, 020

15, 863

16, 029

14, 112

14, 151

14, 759

13, 190

11, 191

9, 449

6, 986

7, 418

70, 112

85, 536

95, 627

131, 519

165, 559

211, 416

214, 786

231, 099

230, 998

221, 794

235, 992

221, 078

180, 973

192, 947

For ei gnExchange

Cr edi tDer i vat i ves Tot alDer i vat i veNot i onal s

* Not i onalamountoft ot al :f ut ur es,exchanget r adedopt i ons,overt hecount eropt i ons,f or war ds,andswaps. Not e:Asof2006Q2equi t i esandcommodi t i est ypesar eshownassepar at ecat egor i es.Theywer epr evi ousl yshownas“Ot herDer i vs. ” Number smaynott ot alduet or oundi ng. Sour ce:Cal lRepor t s

Gr aph4 FourBanksDomi nat ei nDer i vat i ves* I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons

Fut ur es& For war ds

Tot alSwaps

Tot alOpt i ons

Al l Ot herBanks Top4

Cr edi t Der i vat i ves

Tot al Der i vat i ve Not i onal s

0

10, 000 20, 000

30, 000 40, 000

50, 000 60, 000

70, 000 80, 000

I nbi l l i onsofdol l ar s Top4

Al lOt herBanks

Fut ur es&For war ds

$32, 426

$4, 725

$37, 151

Tot alSwaps

104, 645

10, 170

114, 814

31, 422

2, 142

33, 564

7, 168

250

7, 418

175, 661

17, 287

192, 947

Tot alOpt i ons Cr edi tDer i vat i ves Tot alDer i vat i veNot i ona. .

Gr andTot al

* Not i onalamountoft ot al :f ut ur es,exchanget r adedopt i ons,overt hecount eropt i ons,f or war ds,andswaps. Sour ce:Cal lr epor t s

90, 000 100, 000 110, 000 120, 000 130, 000 140, 000 150, 000 160, 000 170, 000 180, 000 190, 000 i nbi l l i onsofdol l ar s

Gr aph5 Cr edi tExposur et oRi skBasedCapi t al( i nPer cent age) Top4I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i onsbyDer i vat i veHol di ngs JPMor ganChaseBankNA 2010

2011

2012

BankofAmer i caNA

2013

2014

2015

20. .

2010

2011

2012

2013

2014

2015

20. .

150 200 100 100 50

0

0 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1Q2Q3Q4 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1

Q1Q2 Q3Q4 Q1Q2Q3 Q4 Q1Q2 Q3Q4 Q1Q2Q3 Q4 Q1Q2 Q3Q4 Q1Q2Q3 Q4 Q1

Ci t i bankNA 2010

2011

2012

Gol dmanSachs

2013

2014

2015

20. .

2010

200

800

150

600

100

400

50

200

0

2011

2012

2013

2014

2015

20. .

0 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1Q2Q3Q4 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1 2010

2011

Q1Q2 Q3Q4 Q1Q2Q3 Q4 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1Q2 Q3Q4 Q1Q2Q3 Q4 Q1

2012

2013

2014

2015

2016

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

JPMor ganChaseBankNA

266

257

267

265

275

274

285

256

250

246

247

229

219

216

205

183

183

189

181

177

229

228

219

209

225

BankofAmer i caNA

164

166

177

174

182

182

187

176

149

141

139

132

129

125

121

117

109

107

107

93

100

95

91

85

81

Ci t i bankNA

180

171

197

182

185

203

195

177

172

171

170

170

165

164

161

148

147

156

190

173

187

184

181

166

180

Gol dmanSachs

666

685

638

628

781

788

801

794

751

738

727

705

703

693

719

741

689

620

539

516

547

563

530

516

482

TOTAL

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

285

287

282

278

304

310

313

297

284

282

281

271

261

258

262

262

248

240

224

211

238

242

232

223

226

Not e:Themet hodol ogyt ocal cul at et hecr edi tr i skexposur et ocapi t alr at i of ort heTop4cat egor yusesawei ght edaver ageoft ot alcur r entcr edi texposur e. Sour ce:Cal lr epor t s

Gr aph6 Net t i ngBenef i t * :AmountofGr ossCr edi tExposur eEl i mi nat edThr oughBi l at er alNet t i ng I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i onsbyDer i vat i veHol di ngs 91. 0

90. 5

90. 0

Net t i ngBenef i ti nper cent age

89. 5

89. 0

88. 5

88. 0

87. 5

87. 0

86. 5 2009Q2

2009Q4

2010Q2

2010Q4

2011Q2

2011Q4

2012Q2

2012Q4

2013Q2

2013Q4

2014Q2

2014Q4

2015Q2

2015Q4

2016Q2

Net t i ngBenef i t( i nper cent age) 2009

2010

2011

2012

2013

2014

2015

2016

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

88. 0

88. 8

88. 5

88. 9

90. 0

90. 3

89. 1

88. 2

88. 6

90. 2

90. 4

89. 9

90. 3

90. 3

90. 2

89. 8

89. 1

89. 7

89. 3

88. 7

88. 9

88. 6

88. 8

87. 6

86. 8

86. 8

86. 7

87. 7

* Thenet t i ngbenef i ti sdef i nedas:$amountofnet t i ngbenef i t s/ gr ossposi t i vef ai rval ue. Sour ce:Cal lr epor t s,begi nni ngt hef i r stquar t erof2015RCR;ot her wi seRCL

Gr aph7

Quar t er l yChar geOf f s/ ( Recover i es)Fr om Der i vat i ves I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i onswi t hDer i vat i ves 0. 005 $1, 500

Char geOf f s( Banks ) Char geOf f sas% NCCE

0. 003

i nmi l l i ons

$1, 000

0. 002 $500

Char geOf f sas% NCCE

0. 004

0. 001

$0

0. 000 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

I nmi l l i onsofdol l ar s 2000 Char geOf f s( Banks)

2001 Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

0. 0

1. 0

1. 0

3. 0

2. 0

1. 0

107. 3

370. 0

75. 8

28. 2

59. 0

73. 7

25. 3

29. 9

32. 3

83. 7

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

46. 7

34. 9

92. 2

5. 4

1. 3

14. 2

23. 0

8. 3

3. 6

7. 0

16. 0

5. 8

3. 1

9. 1

119. 5

30. 7

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

15

120

92

847

217

168

221

162

100

173

313

83

1, 601

72

91

69

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

76. 35

54. 34

26. 12

73. 44

84. 28

60. 72

35. 77

83. 45

12. 78

55. 90

14. 53

7. 91

69. 31

7. 93

10. 49

6. 40

2005

2008 Char geOf f s( Banks)

Q1 13. 30

Not e:Thef i gur esar ef oreachquar t eral one,notyear t odat e. NCCE:Pr e2009Q2( RCR) ;2009Q2-2014Q4( RCL) ;2015Q1onwar d( RCR) Sour ce:Cal lr epor t s

2007

2010

2013

2016 Char geOf f s( Banks)

2006

2009

2012 Char geOf f s( Banks)

2003

Q2

2004 Char geOf f s( Banks)

2002

Q1

2011

2014

2015

Gr aph8

Quar t er l yChar geOf f s I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i onswi t hDer i vat i vesCompar edwi t hHol di ngCompani es

$3, 000

Char geOf f s( Banks)

i nmi l l i ons

Char geOf f s( Hol di ngCompani es)

$2, 000

$1, 000

$0 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

I nmi l l i onsofdol l ar s 2000

2001

2002

2003

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Char geOf f s( Banks)

0. 0

1. 0

1. 0

3. 0

2. 0

1. 0

107. 3

370. 0

75. 8

28. 2

59. 0

73. 7

25. 3

29. 9

32. 3

83. 7

Char geOf f s( Hol di ngCompani es)

0. 1

1. 0

19. 3

7. 0

2. 0

1. 0

107. 3

374. 6

75. 8

21. 2

66. 0

73. 7

25. 3

34. 9

31. 4

127. 8

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Char geOf f s( Banks)

46. 7

34. 9

92. 2

5. 4

1. 3

14. 2

23. 0

8. 3

3. 6

7. 0

16. 0

5. 8

3. 1

9. 1

119. 5

30. 7

Char geOf f s( Hol di ngCompani es)

51. 2

40. 4

94. 2

9. 0

54. 9

3. 6

48. 1

18. 1

35. 4

5. 4

28. 1

7. 2

3. 1

10. 4

119. 4

32. 2

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Char geOf f s( Banks)

15

120

92

847

217

168

221

162

100

173

313

83

1, 601

72

91

69

Char geOf f s( Hol di ngCompani es)

15

120

93

1, 192

1, 570

549

334

1, 931

122

288

218

3, 598

1, 617

68

100

73

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Char geOf f s( Banks)

76. 35

54. 34

26. 12

73. 44

84. 28

60. 72

35. 77

83. 45

12. 78

55. 90

14. 53

7. 91

69. 31

7. 93

10. 49

6. 40

13. 30

Char geOf f s( Hol di ngCompani es)

84. 57

64. 02

34. 88

85. 37

87. 16

62. 58

44. 58

83. 38

13. 55

55. 61

17. 18

9. 11

69. 05

10. 23

12. 85

24. 54

12. 81

2004

2005

2008

2009

2012

Not e:Thef i gur esar ef oreachquar t eral one,notyear t odat e. Sour ce:Cal lr epor t sandY9

2006

2007

2010

2013

2011

2014

2015

2016

Gr aph9

Quar t er l yTr adi ngRevenue( CashandDer i vat i vePosi t i ons) * I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons 8, 000

i n$mi l l i ons

6, 000

4, 000

2, 000

0

2, 000

4, 000 2011Q1

2011Q3

2012Q1

2012Q3

2013Q1

2013Q3

2014Q1

2014Q3

2015Q1

2015Q3

2016Q1

I nmi l l i onsofdol l ar s

I nt er estRat e For ei gnExc hange

2016Q1

Equi t y

Aver age Past8 Past8 Past8 Si nce Past12 Quar t er Quar t er Quar t er 2000 Q1' s Aver age Hi gh Low Aver age

Max Si nce 2000

Mi n Si nce 2000

Commodi t y&Ot her

I nt er estRat e

3, 070

2, 982

1, 657

3, 406

5, 282

1, 645

9, 291

819

Cr edi t

For ei gnExchange

1, 407

2, 287

2, 688

4, 830

1, 069

1, 769

4, 830

855

Equi t y

674

877

610

797

1, 059

542

1, 830

56

Commodi t y&Ot her

271

354

366

672

307

223

789

129

Cr edi t

334

61

371

756

10, 237

218

2, 727

222

5, 757

6, 440

5, 692

7, 669

10, 580

3, 962

10, 217

4, 256

Tot al Tr adi ngRev enue

Tot alTr adi ngRevenue I nmi l l i onsofdol l ar s 2011 I nt er estRat e

2012

2013

2014

2015

2016

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

4, 855

3, 611

2, 093

257

5, 627

2, 870

4, 457

4, 521

2, 243

2, 268

3, 002

360

2, 015

2, 883

819

664

958

3, 406

2, 578

155

3, 070

35

491

2, 595

2, 235

1, 505

1, 990

1, 020

753

3, 185

3, 303

588

1, 550

2, 137

2, 026

4, 830

2, 902

4, 703

855

1, 931

3, 401

1, 407

Equi t y

762

808

1, 442

111

260

1, 140

508

187

838

924

233

491

612

726

654

650

797

598

56

724

674

Commodi t y&Ot her

319

307

558

259

412

390

350

30

364

292

481

265

672

293

411

335

587

129

402

198

271

1, 699

1, 406

1, 764

671 Tot alTr adi ngReven. . 7,

6, 624

8, 451

For ei gnExchange

Cr edi t

102 1, 444 4, 243 1, 242 2, 539

6, 359

2, 147

5, 093

713

890

339

222

245

756

500

535

79

624

530

357

222

334

4, 778

7, 520

7, 125

4, 527

2, 911

6, 192

6, 428

5, 612

4, 471

7, 669

5, 519

5, 323

4, 256

5, 757

* Thet r adi ngr evenuef i gur esar ef orcashandder i vat i veact i vi t i es.Revenuef i gur esar ef oreachquar t eral one,notyear t odat e. Not e:Number smaynott ot alduet or oundi ng. Sour ce:Cal lr epor t s

Gr aph10

Quar t er l yTr adi ngRevenue( CashandDer i vat i vePosi t i ons)asaPer cent ageofGr ossRevenue( i nPer cent age) Top4I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i onsbyDer i vat i veHol di ngs JPMor ganChaseBankNA 2011

2012

BankofAmer i caNA

2013

2014

2015

20. .

2010 Tr adi ngRevenuet oGr ossRevenue

Tr adi ngRevenuet oGr ossRevenue

2010

15

10

5

0 Q1Q2Q3Q4

Q2

Q4 Q1Q2Q3Q4 Q1Q2Q3Q4

Q2

Q4 Q1Q2Q3Q4 Q1

2011

2012

2012

2014

2015

20. .

10

5

0 Q2

2. .

0

5

Gol dmanSachs

2013

15

Q1Q2Q3Q4

2015

Q1Q2Q3Q4 Q1Q2 Q3Q4 Q1Q2Q3Q4 Q1Q2Q3Q4 Q1Q2 Q3Q4 Q1Q2Q3Q4Q1

Q4 Q1Q2Q3Q4 Q1Q2Q3Q4

Q2

Tr adi ngRev enuet oGr os sRev en. .

Tr adi ngRev enuet oGr os sRev en. .

2011

2014

5

Ci t i bankNA 2010

2013

10

2010

2011

2012

2013

2014

2015

2. .

60

40

20 0

Q4 Q1Q2Q3Q4 Q1

Q2

Q4 Q1Q2Q3Q4

Q2

Q4

Q2

Q4 Q1Q2Q3Q4

Q2

Q4Q1

Tr adi ngRevenuet oGr ossRevenue( i nper cent age) * 2010

2011

2012

2013

2014

2015

2016

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

57 JPMor ganChaseBankNA 15. 5. 97 BankofAmer i caNA 12. 00 Ci t i bankNA 71. 25 Gol dmanSachs

11. 74 4. 44 14. 82 59. 50

5. 39 5. 76 4. 84 52. 60

6. 35 1. 82 2. 15 7. 04

15. 64 6. 34 9. 44 54. 26

10. 84 5. 60 11. 11 57. 61

14. 82 9. 48 14. 79 56. 57

4. 33 0. 07 1. 18 30. 93

10. 24 0. 67 10. 95 65. 27

1. 48 4. 16 5. 36 12. 48

13. 79 1. 28 5. 74 33. 26

10. 50 1. 35 3. 94 17. 68

18. 65 3. 39 7. 45 32. 65

18. 73 5. 97 11. 71 37. 30

10. 67 2. 14 6. 39 11. 54

1. 24 1. 58 7. 20 24. 45

12. 63 7. 80 8. 51 23. 67

13. 31 9. 11 7. 43 22. 21

13. 47 5. 11 5. 48 13. 74

6. 97 3. 68 4. 78 13. 06

17. 73 6. 78 9. 17 15. 85

13. 25 0. 49 8. 41 17. 32

12. 65 5. 19 6. 54 13. 32

7. 03 1. 72 6. 30 6. 16

12. 26 3. 90 7. 19 33. 42

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

TOTAL

12. 80 11. 38 6. 25 3. 66 11. 67 10. 32 14. 16 2. 36 8. 70 2. 78 7. 86 5. 72 10. 42 9. 56 6. 72 2. 77 10. 06 10. 45 8. 53 5. 35 11. 68 7. 62 8. 41 5. 03 8. 65

* Thet r adi ngr evenuef i gur es ar ef orcashandder i vat i veact i vi t i es.Revenuef i gur esar equar t er l y,notyear t odat enumber s. Not e:Gr ossr evenueequal si nt er esti ncomepl usnoni nt er esti ncome. Sour ce:Cal lr epor t s

Gr aph11

Not i onalAmount sofI nt er estRat eandFor ei gnExchange+Gol d Cont r act sbyMat ur i t y I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons I nt er estRat e 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

i nbi l l i ons

$150, 000

$100, 000

$50, 000

$0

I R:<1y r

I R:15y r

I R:>5yr s

FX&Gol d 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

2014

2015

2016

i nbi l l i ons

$30, 000

$20, 000

$10, 000

$0

FX&GOLD:<1yr

FX&GOLD:15yr

FX&GOLD:>5y r s

I nbi l l i onsofdol l ar s 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

I R:<1yr

$9, 708

$10, 379

$12, 982

$13, 581

$15, 921

$18, 483

$29, 552

$39, 085

$58, 618

$81, 236

$90, 843

$87, 812

$82, 948

$77, 758

$71, 808

$55, 066

$65, 650

I R:15yr

9, 925

11, 709

14, 328

20, 404

25, 893

27, 683

31, 386

37, 222

47, 456

33, 970

33, 497

32, 750

30, 191

44, 157

33, 727

49, 407

50, 715

I R:>5yr s

5, 843

7, 451

9, 735

13, 117

16, 492

19, 825

23, 273

27, 724

36, 868

26, 374

24, 307

24, 168

21, 175

24, 630

22, 214

32, 981

34, 846

FX&GOLD:<1yr

4, 397

3, 816

4, 078

4, 510

5, 384

5, 728

7, 730

11, 660

10, 640

10, 490

14, 629

17, 632

18, 386

18, 372

22, 145

24, 129

26, 231

FX&GOLD:15yr

626

686

857

1, 146

1, 317

1, 381

1, 452

1, 639

2, 195

2, 473

2, 462

3, 117

2, 910

2, 341

2, 587

3, 986

4, 082

FX&GOLD:>5yr s

361

499

439

582

762

689

594

622

1, 082

1, 347

1, 290

1, 503

1, 480

1, 029

969

1, 648

1, 819

Not e:Fi gur esaboveexcl udeFXcont r act swi t hanor i gi nalmat ur i t yof14daysorl ess,wr i t t enopt i ons,basi sswaps,andanyot hercont r act snotsubj ectt or i skbasedcapi t alr equi r ement s. Ef f ect i veQ12015,t her epor t i ngf or m andcal lr epor ti nst r uct i onschanged.Schedul eRCRnow r equi r esbankst or epor tgol dandFXnot i onal si naggr egat e,r at hert hansepar at el y. Sour ce:Cal lr epor t s

Gr aph12

Not i onalAmount sofPr eci ousMet alCont r act sbyMat ur i t y I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons Pr eci ousMet al s 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

2014

2015

$35

$30

i nbi l l i ons

$25

$20

$15

$10

$5

$0

Pr eci ousMet al s :<1y r

Pr ec i ousMet al s:15y r

Pr ec i ousMet al s :>5yr s

I nbi l l i onsofdol l ar s 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

Pr eci ousMet al s:<1yr

2. 51

2. 44

2. 72

3. 87

4. 04

8. 59

10. 35

10. 72

7. 55

11. 55

17. 47

21. 12

27. 68

21. 41

19. 29

23. 51

24. 88

Pr eci ousMet al s:15yr

0. 25

0. 23

0. 46

0. 33

0. 51

1. 29

1. 75

2. 10

1. 51

1. 24

1. 89

4. 74

5. 82

3. 80

2. 84

3. 92

3. 53

Pr eci ousMet al s:>5yr s

0. 16

0. 00

0. 00

0. 00

0. 00

0. 06

0. 33

0. 01

0. 00

0. 00

0. 03

0. 10

0. 03

0. 00

0. 29

0. 07

0. 01

Not e:Fi gur esexcl udeFXcont r act swi t hanor i gi nalmat ur i t yof14daysorl ess,wr i t t enopt i ons,basi sswaps,andanyot hercont r act snotsubj ectt or i skbasedcapi t alr equi r ement s. Sour ce:Cal lr epor t s

Gr aph13

Not i onalAmount sofCommodi t yandEqui t yCont r act sbyMat ur i t y I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons Commodi t y 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

i nbi l l i ons

$1, 000

$500

$0

Commodi t y :<1y r

Commodi t y :15y r

Commodi t y :>5y r s

Equi t y 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

2014

2015

2016

i nbi l l i ons

$2, 000

$1, 000

$0

Equi t y :<1y r

Equi t y :15y r

Equi t y :>5yr s

I nbi l l i onsofdol l ar s 2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q4

Q1

Commodi t y:<1yr

$36

$31

$55

$43

$64

$133

$185

$206

$179

$176

$203

$261

$261

$235

$257

$668

$773

Commodi t y:15yr

27

25

35

103

205

707

235

297

233

198

209

209

208

144

164

197

166

Commodi t y:>5yr s

11

2

9

14

40

175

20

25

43

33

25

46

28

6

20

22

17

Equi t y:<1yr

162

121

127

197

273

321

341

473

409

312

296

427

627

645

996

1, 735

1, 841

Equi t y:15yr

180

209

249

674

736

1, 428

221

297

256

228

191

210

262

291

352

628

675

Equi t y:>5yr s

38

18

25

84

140

383

45

70

72

82

85

94

82

136

101

130

129

Not e:Fi gur esaboveexcl udef or ei gnexchangecont r act swi t hanor i gi nalmat ur i t yof14daysorl ess,wr i t t enopt i ons,basi sswaps,andanyot hercont r act snotsubj ectt or i skbasedcapi t alr equi r ement s. Dat aSour ce:Cal lRepor t s

Gr aph14

Not i onalAmount sofCr edi tDer i vat i veCont r act sbyCr edi tQual i t yandMat ur i t y I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons 2010

2011

2012

2013

2014

2015

2016

$16, 000

$14, 000

$12, 000

i nbi l l i ons

$10, 000

$8, 000

$6, 000

$4, 000

$2, 000 $0 Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

I nves t ment Gr ade:<1y r

I nv es t ment Gr ade:>5y r s

SubI nv es t ment Gr ade:15yr s

I nves t ment Gr ade:15yr s

SubI nv es t ment Gr ade:<1y r

SubI nv es t ment Gr ade:>5yr s

Q3

Q4

Q1

Q2

Q3

Q4

Q1

I nbi l l i onsofdol l ar s 2011 Q1

Q2

2012 Q3

Q4

Q1

Q2

2013 Q3

Q4

Q1

Q2

2014 Q3

Q4

Q1

Q2

2015 Q3

Q4

Q1

Q2

2016 Q3

Q4

Q1

I nvest ment Gr ade:<1yr

$905 $1, 002 $1, 119 $1, 559 $1, 607 $1, 921 $1, 943 $1, 757 $1, 790 $1, 550 $1, 548 $1, 384 $1, 414 $1, 707 $1, 478 $1, 375 $1, 256 $1, 292 $1, 270 $1, 380 $1, 471

I nvest ment Gr ade:15yr s

5, 928 6, 564 6, 508 5, 963 5, 519 5, 567 5, 580 5, 832 6, 168 6, 536 6, 127 5, 661 6, 227 5, 909 5, 722 5, 007 4, 649 4, 450 4, 108 3, 328 3, 400

I nvest ment Gr ade:>5yr s

1, 614 1, 586 1, 699 1, 220 1, 386 1, 104 1, 200

Tot alI nvest mentGr ade

948

455

552

409

577

448

433

382

508

359

520

281

457

$8, 447 $9, 151 $9, 326 $8, 742 $8, 513 $8, 592 $8, 723 $8, 326 $8, 906 $8, 541 $8, 228 $7, 455 $8, 218 $8, 064 $7, 633 $6, 764 $6, 413 $6, 101 $5, 898 $4, 990 $5, 328

Q1 SubI nvest ment Gr ade:<1yr

736

833

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

939 1, 024 1, 335 1, 290 1, 353 1, 303 1, 040 1, 090

Q2

Q3

Q4

Q1

Q2

Q3

Q4

933

879

765

619

642

671

658

596

562

569

607

622

217 4, 056 4, 131 3, 797 3, 413 3, 139 3, 349 3, 473 3, 491 3, 656 3, 424 2, 792 2, 127 1, 960 1, 948 1, 887 1, 813 1, 673 1, 518 1, 271 1, 313 SubI nvest ment Gr ade:15yr s 4, 403 1, 083 1, 180 SubI nvest ment Gr ade:>5yr s 1, Tot alSubI nvest mentGr ade

885

835

541

623

352

414

197

262

179

200

160

157

140

194

152

213

119

155

$6, 453 $6, 078 $6, 336 $6, 017 $5, 538 $5, 032 $5, 275 $4, 865 $4, 995 $4, 786 $4, 565 $3, 736 $2, 946 $2, 763 $2, 775 $2, 685 $2, 604 $2, 387 $2, 299 $1, 997 $2, 090

Not e:Fi gur esexcl udeFXcont r act swi t hanor i gi nalmat ur i t yof14daysorl ess,wr i t t enopt i ons,basi sswaps,andanyot hercont r act snotsubj ectt or i skbasedcapi t alr equi r ement s. Sour ce:Cal lr epor t s

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$20, 000

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Cr edi t Ot her NonI nv est ment Gr ade Ov er t he- Cent r al l y Over t he- Cent r al l y Ov er t heCount er Cl ear ed Count er Cl ear ed Count er 1, 724 147 729 62 656 1, 531 80 432 53 77 668 122 485 0 22 96 0 66 0 10 32 9 42 0 0 2 2 16 14 23 1 0 3 0 0 4, 053 360 1, 774 130 790

I nv es t mentGr ade Cent r al l y Over t he- Cent r al l y Ov er t he- Cent r al l y Ov er t he- Cent r al l y Ov er t he- Cent r al l y Cl ear ed Count er Cl ear ed Count er Cl ear ed Count er Cl ear ed Count er Cl ear ed JPM 21, 722 27, 668 30 10, 747 475 1, 268 0 16 522 C 17, 833 17, 026 63 9, 419 23 332 1 6 157 BAC 13, 647 5, 385 52 5, 355 40 284 0 0 364 GS 8, 778 29, 240 0 813 0 68 0 0 0 HSBC 1, 591 993 0 1, 125 0 40 0 5 5 WFC 4, 014 1, 028 0 389 27 47 0 1 0 MS 0 0 2 1, 894 0 0 0 0 0 Gr andTot al 67, 586 81, 341 147 29, 743 565 2, 040 1 27 1, 048 BankName

Tot al Ov er Tot al Cent r al l y t heNot i onal Cl ear ed Count er 22, 958 42, 808 65, 766 18, 211 28, 822 47, 033 14, 224 12, 200 26, 424 8, 778 30, 294 39, 072 1, 605 2, 238 3, 843 2 1, 899 1, 901 4, 058 1, 506 5, 564 69, 836 119, 767 189, 603

ALLOTHER 1, 037

1, 247

2

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8

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82, 588

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31, 984

565

2, 079

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27

1, 048

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360

1, 780

130

827

1, 040

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Cent r al l y Over t he- Cent r al l y Over t he- Cent r al l y Ov er t he- Cent r al l y Ov er t he- Cent r al l y Over t he- Cent r al l y Ov er t he- Cent r al l y Over t heCl ear ed Count er Cl ear ed Count er Cl ear ed Count er Cl ear ed Count er Cl ear ed Count er Cl ear ed Count er Cl ear ed Count er 44% 51% 72% 23% 62% 80% 0%

56% 49% 28% 77% 38% 20% 100%

Sour ce:Cal lr epor t s,Schedul eRCR.

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100% 82%

0% 0%

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9% 41% 0% 0% 0% 38%

91% 59% 100% 100% 100% 62%

70, 876 123, 346 194, 222 Tot al Tot al Cent r al l y Ov er t heCl ear ed Count er asa% of asa% of Tot al Tot al Not i onal Not i onal 35% 39% 54% 22% 42% 0% 73%

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Val ueat Ri sk( VaR) I nsur edU. S.Commer ci alBanksandSavi ngsAssoci at i ons $300

$250

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$150

$100

$50

$0 2009Q1

2009Q3

2010Q1

2010Q3

2011Q1

BankOfAmer i c a

2011Q3

2012Q1

Ci t i gr oup

2012Q3

Gol dman

2013Q1

2013Q3

J PMor gan

2014Q1

2014Q3

2015Q1

2015Q3

2016Q1

Mor ganSt anl ey

I nmi l l i onsofdol l ar s 2010 Q1

Q2

2011 Q3

Q4

Q1

Q2

2012

2013

2015

2016

Q3

Q4

Q1

Q2

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

BankOfAmer i ca $276 $189 $185 $155 $184 $229 $164

$90

$84

$63

$55 $100

$91

$69

$54

$91

$84

$59

$56

$61

$71

$61

$60

$52

$50

Ci t i gr oup

180

172

194

202

179

168

207

202

178

149

129

137

110

120

117

139

156

135

121

120

131

113

116

108

108

Gol dman

161

136

121

118

113

101

102

136

95

92

81

76

76

81

84

79

82

77

68

61

81

77

74

72

72

JPMor gan

98

93

109

96

88

94

108

114

170

201

115

122

73

45

47

43

42

55

36

39

43

42

54

47

54

Mor ganSt anl ey

143

139

142

132

121

145

130

120

84

76

63

78

72

61

52

51

50

48

42

48

47

54

53

50

46

Tot al

858

729

751

703

685

737

711

662

611

581

443

513

422

376

354

403

414

374

323

329

373

347

357

329

330

Dat aSour ce:10Q,10kU. S. Secur i t i esandExchangeCommi ssi onRepor t s

Q3

2014

TABLE 1 NOTIONAL AMOUNT OF DERIVATIVE CONTRACTS TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA WELLS FARGO BANK NA HSBC NA MORGAN STANLEY BANK NA STATE STREET BANK & TRUST CO BANK OF NEW YORK MELLON PNC BANK NATIONAL ASSN SUNTRUST BANK NORTHERN TRUST CO U.S. BANK NATIONAL ASSN TD BANK NATIONAL ASSN MUFG UNION BANK NA REGIONS BANK CAPITAL ONE NATIONAL ASSN KEYBANK NATIONAL ASSN FIFTH THIRD BANK BRANCH BANKING & TRUST CO CITIZENS BANK NATIONAL ASSN BOKF NATIONAL ASSN COMPASS BANK HUNTINGTON NATIONAL BANK CAPITAL ONE BANK USA NA

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

STATE OH SD NY NC SD VA UT MA NY DE GA IL OH DE CA AL VA OH OH NC RI OK AL OH VA

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947 1,667,785 198,798 136,966 239,278 299,816 350,643 189,908 117,434 423,204 253,738 120,033 124,637 271,188 96,390 139,966 206,875 109,313 31,211 87,629 72,469 99,552

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286 5,995,075 4,203,729 2,237,218 1,334,726 1,014,883 370,609 263,627 259,352 234,024 179,787 127,972 83,056 74,425 68,688 66,967 58,295 53,409 41,070 34,597 31,922 30,091

TOTAL FUTURES (EXCH TR) $1,072,240 1,460,180 2,369,614 2,312,470 163,487 67,491 27,941 13,166 32,469 37,661 24,540 0 4,243 0 3,344 2,727 65 6,938 322 309 0 123 330 49 0

$10,392,544 4,365,326 14,757,870

$192,424,262 522,989 192,947,250

$7,599,709 6,093 7,605,802

TOTAL OPTIONS (EXCH TR) $1,231,228 1,500,086 3,032,943 168,558 170,801 12,716 3,662 0 155 18,000 16,034 0 3,955 0 0 95 0 0 79 0 0 402 0 0 0

TOTAL FORWARDS (OTC) $9,076,408 6,010,525 3,892,352 6,231,946 819,646 539,508 539,461 1,291,731 554,175 19,536 20,149 243,574 63,972 9,512 50,975 18,310 1,638 6,129 6,744 9,618 9,924 35,329 1,687 2,670 8,012

TOTAL SWAPS (OTC) $29,661,994 32,510,230 28,456,295 14,016,372 4,148,796 3,039,283 1,098,874 5,057 372,149 262,978 137,344 14,640 134,497 168,771 64,248 55,539 70,570 49,454 43,594 41,042 36,225 2,747 24,740 27,009 22,079

TOTAL OPTIONS (OTC) $8,747,069 8,345,110 6,518,114 1,879,245 662,318 360,115 563,172 24,771 55,530 26,586 60,590 1,089 22,576 736 9,396 4,403 90 5,735 13,724 7,326 4,952 2,469 7,840 1,043 0

TOTAL CREDIT DERIVATIVES (OTC) $3,122,495 2,226,504 165,067 1,653,695 30,027 184,616 4,108 0 405 5,848 4,969 49 4,781 767 10 1,982 2,062 432 2,503 0 2,308 0 0 1,151 0

SPOT FX $751,937 918,122 14,627 625,328 7,003 29,173 49,287 65,603 71,360 1,089 153 20,706 2,979 8 753 17 25 621 333 32 98 9 45 4 72

$6,158,715 1,689 6,160,404

$29,463,531 81,227 29,544,758

$114,464,529 349,913 114,814,442

$27,323,999 80,013 27,404,012

$7,413,779 4,054 7,417,833

$2,559,382 1,730 2,561,112

Note: Credit derivatives have been included in the sum of total derivatives. Credit derivatives have been included as an "over the counter" category, although the Call report does not differentiate by market currently. Note: Before the first quarter of 1995 total derivatives included spot FX. Beginning in that quarter, spot FX has been reported separately. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-L

TABLE 2 NOTIONAL AMOUNT OF DERIVATIVE CONTRACTS (HOLDING COMPANIES) TOP 25 HOLDING COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

HOLDING COMPANY CITIGROUP INC. JPMORGAN CHASE & CO. GOLDMAN SACHS GROUP, INC., THE BANK OF AMERICA CORPORATION MORGAN STANLEY HSBC NORTH AMERICA HOLDINGS INC. WELLS FARGO & COMPANY STATE STREET CORPORATION BANK OF NEW YORK MELLON CORPORATION, THE RBC USA HOLDCO CORPORATION PNC FINANCIAL SERVICES GROUP, INC., THE SUNTRUST BANKS, INC. NORTHERN TRUST CORPORATION U.S. BANCORP GE CAPITAL GLOBAL HOLDINGS, LLC TD GROUP US HOLDINGS LLC MUFG AMERICAS HOLDINGS CORPORATION CAPITAL ONE FINANCIAL CORPORATION REGIONS FINANCIAL CORPORATION KEYCORP BB&T CORPORATION FIFTH THIRD BANCORP CITIZENS FINANCIAL GROUP, INC. SANTANDER HOLDINGS USA, INC. ALLY FINANCIAL INC.

TOP 25 HOLDING COMPANIES WITH DERIVATIVES

STATE NY NY NY NC NY NY CA MA NY NY PA GA IL MN CT DE NY VA AL OH NC OH RI MA MI

TOTAL ASSETS $1,800,967 2,423,808 878,102 2,188,633 807,497 289,057 1,849,182 243,685 372,870 139,892 361,187 194,253 117,799 428,638 287,622 274,387 120,915 330,489 125,747 98,571 212,405 142,430 140,409 131,099 156,505

TOTAL DERIVATIVES $55,624,082 52,352,138 52,257,748 42,998,807 28,281,106 7,611,043 5,908,234 1,341,462 1,032,454 519,330 367,407 261,880 258,602 237,624 228,717 192,482 127,972 113,875 81,871 72,275 70,642 68,672 62,598 58,780 53,036

FUTURES (EXCH TR) $1,884,016 1,090,094 2,567,873 2,834,901 1,373,670 277,881 172,589 13,322 33,586 250,559 37,719 24,624 0 4,243 0 0 3,344 65 2,727 6,938 309 322 0 0 1,875

OPTIONS (EXCH TR) $5,906,406 1,315,119 4,007,288 782,199 1,451,197 469,273 186,709 1 2,865 126,811 18,000 16,034 0 3,955 0 0 0 0 95 0 0 79 0 0 0

FORWARDS (OTC) $7,163,613 9,361,009 6,465,262 9,646,090 2,646,237 539,561 848,733 1,291,827 587,434 112,655 19,562 20,149 243,574 65,166 129,045 13,710 50,975 9,711 18,310 6,129 15,806 6,744 9,934 1,219 406

SWAPS (OTC) $30,518,526 29,019,815 28,818,811 23,890,121 15,899,169 5,773,336 4,012,949 11,505 352,635 28,154 256,470 136,344 13,890 137,303 94,094 177,268 64,248 101,948 54,354 52,157 47,201 45,299 44,408 37,082 15,677

OPTIONS (OTC) $8,069,626 8,429,113 8,418,704 3,880,583 5,498,511 366,374 658,047 24,771 55,529 431 29,809 59,590 1,089 22,576 2,889 736 9,396 90 4,403 6,620 7,326 13,724 5,500 20,467 35,078

CREDIT DERIVATIVES (OTC) $2,081,895 3,136,988 1,979,810 1,964,913 1,412,322 184,616 29,207 37 405 720 5,848 5,139 49 4,381 2,689 767 10 2,062 1,982 432 0 2,503 2,755 13 0

SPOT FX $912,248 738,023 254,651 520,950 50,846 29,173 7,002 65,603 71,356 92 1,089 153 20,706 2,979 3,779 8 753 97 17 621 32 333 98 86 0

$14,116,151

$250,182,837

$10,580,657

$14,286,031

$39,272,860

$139,602,766

$35,620,982

$10,819,542

$2,680,694

Note: Currently, the Y-9 report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives. Note: Before to the first quarter of 2005, total derivatives included spot FX. Beginning in that quarter, spot FX has been reported separately. Note: Numbers may not total due to rounding. Source: Consolidated Financial Statements for Bank Holding Companies, FR Y- 9, Schedule HC-L

TABLE 3 DISTRIBUTION OF DERIVATIVE CONTRACTS TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK

BANK NAME

STATE

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA WELLS FARGO BANK NA HSBC NA MORGAN STANLEY BANK NA STATE STREET BANK & TRUST CO BANK OF NEW YORK MELLON PNC BANK NATIONAL ASSN SUNTRUST BANK NORTHERN TRUST CO U.S. BANK NATIONAL ASSN TD BANK NATIONAL ASSN MUFG UNION BANK NA REGIONS BANK CAPITAL ONE NATIONAL ASSN KEYBANK NATIONAL ASSN FIFTH THIRD BANK BRANCH BANKING & TRUST CO CITIZENS BANK NATIONAL ASSN BOKF NATIONAL ASSN COMPASS BANK HUNTINGTON NATIONAL BANK CAPITAL ONE BANK USA NA

OH SD NY NC SD VA UT MA NY DE GA IL OH DE CA AL VA OH OH NC RI OK AL OH VA

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

$52,911,434 52,052,635 44,434,385 26,262,286 5,995,075 4,203,729 2,237,218 1,334,726 1,014,883 370,609 263,627 259,352 234,024 179,787 127,972 83,056 74,425 68,688 66,967 58,295 53,409 41,070 34,597 31,922 30,091

PERCENT EXCH TRADED CONTRACTS (%) 4.4 5.7 12.2 9.4 5.6 1.9 1.4 1.0 3.2 15.0 15.4 0.0 3.5 0.0 2.6 3.4 0.1 10.1 0.6 0.5 0.0 1.3 1.0 0.2 0.0

PERCENT OTC CONTRACTS (%) 95.6 94.3 87.8 90.6 94.4 98.1 98.6 99.0 96.8 85.0 84.6 100.0 96.5 100.0 97.4 96.6 99.9 89.9 99.4 99.5 100.0 98.7 99.0 99.8 100.0

PERCENT INT RATE CONTRACTS (%) 71.2 73.2 94.3 71.9 89.6 65.3 1.3 1.2 49.1 93.9 76.0 4.9 73.8 91.5 89.9 94.9 95.2 89.5 68.2 99.2 79.2 93.0 92.4 87.9 73.4

PERCENT FOREIGN EXCH CONTRACTS (%) 18.9 21.0 5.1 20.5 6.7 28.1 98.5 97.0 50.7 3.8 3.4 95.0 23.9 8.1 4.9 1.5 0.7 9.4 22.2 0.8 16.5 3.3 2.5 5.8 26.6

PERCENT OTHER CONTRACTS (%) 4.0 1.6 0.2 1.3 3.2 2.2 0.0 1.9 0.1 0.7 18.7 0.0 0.3 0.0 5.2 1.2 1.4 0.4 5.9 0.0 0.0 3.7 5.1 2.7 0.0

PERCENT CREDIT DERIVATIVES (%) 5.9 4.3 0.4 6.3 0.5 4.4 0.2 0.0 0.0 1.6 1.9 0.0 2.0 0.4 0.0 2.4 2.8 0.6 3.7 0.0 4.3 0.0 0.0 3.6 0.0

$192,424,262 522,989 192,947,250

$13,758,423 7,782 13,766,205

$178,665,838 515,207 179,181,045

$146,741,971 476,182 147,218,152

$34,534,894 32,676 34,567,570

$60 1,659 1,718

$7,413,779 4,054 7,417,833

(%) 99.7 0.3 100.0

(%) 7.1 0.0 7.1

(%) 92.6 0.3 92.9

(%) 76.1 0.2 76.3

(%) 17.9 0.0 17.9

(%) 0.0 0.0 0.0

(%) 3.8 0.0 3.8

TOTAL ASSETS

TOTAL DERIVATIVES

$2,015,718 1,342,643 143,403 1,653,947 1,667,785 198,798 136,966 239,278 299,816 350,643 189,908 117,434 423,204 253,738 120,033 124,637 271,188 96,390 139,966 206,875 109,313 31,211 87,629 72,469 99,552 $10,392,544 4,365,326 14,757,870

TOP 25 COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL FOR COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVAT

Note: Currently, the call report does not differentiate credit derivatives by over the counter or exchange traded. Credit derivatives have been included in the "over the counter" category as well as in the sum of total derivatives here. Note: "FX" does not include spot FX. Note: "Other" is defined as the sum of commodity and equity contracts. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-L

TABLE 4 CREDIT EQUIVALENT EXPOSURES TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA WELLS FARGO BANK NA HSBC NA MORGAN STANLEY BANK NA STATE STREET BANK & TRUST CO BANK OF NEW YORK MELLON PNC BANK NATIONAL ASSN SUNTRUST BANK NORTHERN TRUST CO U.S. BANK NATIONAL ASSN TD BANK NATIONAL ASSN MUFG UNION BANK NA REGIONS BANK CAPITAL ONE NATIONAL ASSN KEYBANK NATIONAL ASSN FIFTH THIRD BANK BRANCH BANKING & TRUST CO CITIZENS BANK NATIONAL ASSN BOKF NATIONAL ASSN COMPASS BANK HUNTINGTON NATIONAL BANK CAPITAL ONE BANK USA NA

STATE OH SD NY NC SD VA UT MA NY DE GA IL OH DE CA AL VA OH OH NC RI OK AL OH VA

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

TOTAL TOTAL ASSETS DERIVATIVES $2,015,718 $52,911,434 1,342,643 52,052,635 143,403 44,434,385 1,653,947 26,262,286 1,667,785 5,995,075 198,798 4,203,729 136,966 2,237,218 239,278 1,334,726 299,816 1,014,883 350,643 370,609 189,908 263,627 117,434 259,352 423,204 234,024 253,738 179,787 120,033 127,972 124,637 83,056 271,188 74,425 96,390 68,688 139,966 66,967 206,875 58,295 109,313 53,409 31,211 41,070 87,629 34,597 72,469 31,922 99,552 30,091 $10,392,544 4,365,326 14,757,870

$192,424,262 522,989 192,947,250

BILATERALLY TOTAL NETTED CURRENT RISK-BASED CREDIT CAPITAL EXPOSURE $178,517 $166,984 151,413 94,831 25,757 67,976 164,043 45,312 150,612 25,581 26,888 11,159 15,670 2,537 16,347 8,411 17,713 6,079 36,224 3,936 20,160 2,045 9,130 2,601 42,855 1,553 21,726 4,162 14,091 1,577 14,347 805 23,569 1,320 10,451 1,136 16,278 1,310 21,994 1,282 13,259 1,005 2,712 384 9,063 681 6,791 410 13,245 280 $1,022,856 469,120 1,491,975

$453,357 6,699 460,055

POTENTIAL FUTURE EXPOSURE $235,493 177,045 56,139 87,495 19,950 16,710 5,735 8,351 5,304 421 2,847 2,094 5,639 1,491 343 535 748 166 879 682 450 128 289 242 34 $629,209 4,135 633,345

TOTAL CREDIT (%) EXPOSURE TOTAL CREDIT FROM ALL EXPOSURE CONTRACTS TO CAPITAL $402,477 225 271,876 180 124,115 482 132,807 81 45,531 30 27,868 104 8,272 53 16,762 103 11,383 64 4,356 12 4,892 24 4,695 51 7,192 17 5,653 26 1,921 14 1,340 9 2,068 9 1,302 12 2,189 13 1,964 9 1,455 11 512 19 970 11 652 10 314 2 $1,082,566 10,834 1,093,400

Note: Total credit exposure is defined as the credit equivalent amount from derivative contracts (RC-R column B lines 20 and 21), which is the sum of netted current credit exposure and PFE. Note: The total credit exposure to capital ratio is calculated using risk based capital (tier 1 plus tier 2 capital). Note: Currently, the Call report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives here. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-R.

106 2 73

TABLE 5 NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS HELD FOR TRADING TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

STATE OH SD NY NC

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $49,788,939 49,826,131 44,269,318 24,608,591

TOTAL HELD FOR TRADING & MTM $49,335,608 49,755,682 44,206,934 23,535,270

$5,155,711 9,602,159 14,757,870

$168,492,979 17,036,438 185,529,417

$166,833,494 15,570,612 182,404,106

% HELD FOR TRADING & MTM 99.1 99.9 99.9 95.6 99.0 91.4 98.3

TOTAL % NOT FOR NOT FOR TRADING TRADING MTM MTM $453,331 0.9 70,449 0.1 62,384 0.1 1,073,321 4.4 $1,659,485 1,465,827 3,125,312

Note: Currently, the call report does not differentiate between traded and not-traded credit derivatives. Credit derivatives have been excluded from the sum of total derivatives here. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-L

1.0 8.6 1.7

TABLE 6 GROSS FAIR VALUES OF DERIVATIVE CONTRACTS TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

STATE OH SD NY NC

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286

$5,155,711 9,602,159 14,757,870

$175,660,740 17,286,510 192,947,250

TRADING GROSS GROSS POSITIVE NEGATIVE FAIR VALUE* FAIR VALUE** $1,162,654 $1,135,638 759,711 756,145 984,907 956,746 378,712 375,263 $3,285,984 281,236 3,567,220

$3,223,792 279,800 3,503,592

NOT FOR TRADING GROSS GROSS POSITIVE NEGATIVE FAIR VALUE* FAIR VALUE** $3,449 $5,752 926 1,453 942 189 36,981 41,752 $42,298 26,119 68,417

$49,146 18,223 67,369

CREDIT DERIVATIVES GROSS GROSS POSITIVE NEGATIVE FAIR VALUE* FAIR VALUE** $48,191 $47,840 35,288 34,907 3,293 2,651 23,331 23,142 $110,103 4,247 114,350

Note: Currently, the call report does not differentiate between traded and non-traded credit derivatives. Credit derivatives have been included in the sum of total derivatives here. Numbers may not sum due to rounding. *Market value of contracts that have a positive fair value as of the end of the quarter. **Market value of contracts that have a negative fair value as of the end of the quarter. Source: Call reports, Schedule RC-L

$108,540 3,875 112,415

TABLE 7 TRADING REVENUES FROM CASH INSTRUMENTS AND DERIVATIVES TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS NOTE: REVENUE FIGURES ARE FOR THE QUARTER (NOT YEAR-TO-DATE)

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

STATE OH SD NY NC

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286

$5,155,711 9,602,159 14,757,870

$175,660,740 17,286,510 192,947,250

TOTAL TRADING REV FROM CASH & OFF BAL SHEET POSITIONS $2,427 1,064 371 635 $4,497 1,260 5,757

TRADING REV FROM INT RATE POSITIONS $792 512 1,376 135 $2,815 255 3,070

TRADING REV FROM FOREIGN EXCH POSITIONS $657 469 (1,014) 284 $396 1,011 1,407

TRADING REV FROM EQUITY POSITIONS $651 (11) (31) 135

TRADING REV FROM COMMOD & OTH POSITIONS $152 58 0 27

$744 (70) 674

Note: Effective in the first quarter of 2007, trading revenues from credit exposures are reported separately, along with the four other types of exposures. The total derivatives column includes credit exposures. Note: Trading revenue is defined here as "trading revenue from cash instruments and off balance sheet derivative instruments." Note: Numbers may not sum due to rounding. Source: Call reports, Schedule RI

$237 34 271

TRADING REV FROM CREDIT POSITIONS $175 36 40 54 $305 29 334

TABLE 8 NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

STATE OH SD NY NC

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES Note:

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286

INT RATE MATURITY < 1 YR $22,218,443 16,236,443 14,769,398 9,487,987

INT RATE MATURITY 1 - 5 YRS $16,400,461 11,526,157 12,939,760 5,958,501

INT RATE MATURITY > 5 YRS $10,770,458 7,096,631 10,309,246 3,585,624

INT RATE ALL MATURITIES $49,389,362 34,859,231 38,018,404 19,032,112

FX and GOLD MATURITY < 1 YR $7,962,135 8,060,719 469,441 4,548,386

FX and GOLD MATURITY 1 - 5 YRS $1,890,701 1,012,586 190,736 644,802

FX and GOLD MATURITY > 5 YRS $924,312 408,276 153,023 213,590

FX and GOLD ALL MATURITIES $10,777,148 9,481,581 813,200 5,406,778

$5,155,711 9,602,159 14,757,870

$175,660,740 17,286,510 192,947,250

$62,712,271 2,938,212 65,650,483

$46,824,879 3,889,806 50,714,685

$31,761,959 3,084,067 34,846,026

$141,299,109 9,912,084 151,211,193

$21,040,681 5,190,756 26,231,437

$3,738,825 342,770 4,081,595

$1,699,201 120,159 1,819,360

$26,478,707 5,653,685 32,132,392

Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table. Note: Numbers may not add due to rounding. Note: Effective 2015 Q1, the reporting form and call report instructions changed.  Schedule RC-R now requires banks to report FX (FX) and gold notionals in aggregate, rather than separately. Source: Call reports, Schedule RC-R

TABLE 9 NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE & MATURITY TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

STATE OH SD NY NC

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

Note:

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286

PREC METALS MATURITY < 1 YR $13,969 6,018 0 0

PREC METALS MATURITY 1 - 5 YRS $2,008 817 0 0

PREC METALS MATURITY > 5 YRS $12 0 0 0

PREC METALS ALL MATURITIES $15,989 6,835 0 0

$5,155,711 9,602,159 14,757,870

$175,660,740 17,286,510 192,947,250

$19,987 4,894 24,881

$2,825 709 3,534

$12 2 14

$22,824 5,604 28,428

Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.

Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-R

TABLE 10 NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

STATE OH SD NY NC

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286

OTHER COMM MATURITY < 1 YR $634,406 83,521 8,926 17,232

OTHER COMM MATURITY 1 - 5 YRS $73,450 41,458 1,403 5,031

$5,155,711 9,602,159 14,757,870

$175,660,740 17,286,510 192,947,250

$744,085 29,040 773,125

$121,342 45,116 166,458

OTHER COMM MATURITY > 5 YRS $10,971 4,950 0 159 $16,080 1,243 17,323

OTHER COMM ALL MATURITIES $718,827 129,929 10,329 22,422

EQUITY MATURITY < 1 YR $1,203,358 243,398 48,560 259,360

EQUITY MATURITY 1 - 5 YRS $446,033 98,333 10,809 62,783

EQUITY MATURITY > 5 YRS $94,149 13,775 8,483 1,668

EQUITY ALL MATURITIES $1,743,540 355,506 67,852 323,811

$881,507 75,399 956,906

$1,754,676 86,393 1,841,069

$617,958 56,752 674,710

$118,075 11,001 129,076

$2,490,709 154,146 2,644,855

Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-R

TABLE 11 NOTIONAL AMOUNTS OF CREDIT DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA

STATE OH SD NY NC

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947

TOTAL DERIVATIVES $52,911,434 52,052,635 44,434,385 26,262,286

TOTAL CREDIT DERIVATIVES $3,122,495 2,226,504 165,067 1,653,695

MATURITY < 1 YR $621,066 475,232 28,761 321,017

$5,155,711 9,602,159 14,757,870

$175,660,740 17,286,510 192,947,250

$7,167,761 250,072 7,417,833

$1,446,076 24,709 1,470,785

CREDIT DERIVATIVES INVESTMENT GRADE MATURITY MATURITY 1 - 5 YRS > 5 YRS $1,484,509 $216,666 155,480 1,076,856 53,904 13,119 715,100 62,519 $3,330,369 69,573 3,399,942

$447,784 9,494 457,278

ALL MATURITIES $2,322,241 1,707,568 95,784 1,098,636

MATURITY < 1 YR $232,386 128,811 24,711 201,504

$5,224,229 103,776 5,328,005

$587,412 34,879 622,291

Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as FX contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps. Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-L and RC-R

CREDIT DERIVATIVES SUB-INVESTMENT GRADE MATURITY MATURITY 1 - 5 YRS > 5 YRS $516,116 $51,752 343,102 47,023 33,922 10,650 324,237 29,318 $1,217,377 95,597 1,312,974

$138,743 15,821 154,564

ALL MATURITIES $800,254 518,936 69,283 555,059 $1,943,532 146,296 2,089,828

TABLE 12 DISTRIBUTION OF CREDIT DERIVATIVE CONTRACTS HELD FOR TRADING TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES MARCH 31, 2016, MILLIONS OF DOLLARS

RANK 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

BANK NAME JPMORGAN CHASE BANK NA CITIBANK NATIONAL ASSN GOLDMAN SACHS BANK USA BANK OF AMERICA NA WELLS FARGO BANK NA HSBC NA MORGAN STANLEY BANK NA STATE STREET BANK & TRUST CO BANK OF NEW YORK MELLON PNC BANK NATIONAL ASSN SUNTRUST BANK NORTHERN TRUST CO U.S. BANK NATIONAL ASSN TD BANK NATIONAL ASSN MUFG UNION BANK NA REGIONS BANK CAPITAL ONE NATIONAL ASSN KEYBANK NATIONAL ASSN FIFTH THIRD BANK BRANCH BANKING & TRUST CO CITIZENS BANK NATIONAL ASSN BOKF NATIONAL ASSN COMPASS BANK HUNTINGTON NATIONAL BANK CAPITAL ONE BANK USA NA

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

STATE OH SD NY NC SD VA UT MA NY DE GA IL OH DE CA AL VA OH OH NC RI OK AL OH VA

BOUGHT TOTAL RETURN CREDIT SWAPS OPTIONS $15,409 $27,339 37,525 49,407 2,512 957 10,761 14,852 0 0 7,854 0 0 969 0 0 0 0 0 0 2,242 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

TOTAL DERIVATIVES $49,788,939 49,826,131 44,269,318 24,608,591 5,965,048 4,019,113 2,233,110 1,334,726 1,014,478 364,761 258,658 259,303 229,243 179,020 127,962 81,074 72,363 68,256 64,463 58,295 51,101 41,070 34,597 30,771 30,091

TOTAL CREDIT DERVATIVES $3,122,495 2,226,504 165,067 1,653,695 30,027 184,616 4,108 0 405 5,848 4,969 49 4,781 767 10 1,982 2,062 432 2,503 0 2,308 0 0 1,151 0

BOUGHT $1,586,854 1,140,991 92,149 819,393 20,036 95,188 4,108 0 405 2,618 2,717 49 1,441 762 10 315 752 330 160 0 0 0 0 795 0

SOLD $1,535,641 1,085,513 72,918 834,302 9,991 89,429 0 0 0 3,230 2,252 0 3,340 5 0 1,667 1,310 102 2,344 0 2,308 0 0 356 0

CREDIT DEFAULT SWAPS $1,539,324 1,054,059 88,602 793,780 5,109 87,334 3,139 0 405 72 470 49 435 762 10 0 0 330 0 0 0 0 0 0 0

$10,392,544 4,365,326 14,757,870

$185,010,483 518,935 185,529,417

$7,413,779 4,054 7,417,833

$3,769,072 1,516 3,770,589

$3,644,707 2,537 3,647,244

$3,573,879 122 3,574,001

$76,302 78 76,380

(%) 99.9 0.1 100.0

(%) 50.8 0.0 50.8

(%) 49.1 0.0 49.2

(%) 48.2 0.0 48.2

(%) 1.0 0.0 1.0

TOP 25 COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES

Note: Credit derivatives have been excluded from the sum of total derivatives here. Note: Numbers may not total due to rounding. Source: Call reports, Schedule RC-L

TOTAL CREDIT DERIVATIVES

TOTAL ASSETS $2,015,718 1,342,643 143,403 1,653,947 1,667,785 198,798 136,966 239,278 299,816 350,643 189,908 117,434 423,204 253,738 120,033 124,637 271,188 96,390 139,966 206,875 109,313 31,211 87,629 72,469 99,552

OTHER CREDIT DERIVATIVES $4,782 0 78 0 14,927 0 0 0 0 2,546 6 0 1,006 0 0 315 752 0 160 0 0 0 0 795 0

CREDIT DEFAULT SWAPS $1,504,061 1,023,407 70,391 784,510 4,270 85,997 0 0 0 0 0 0 400 5 0 0 0 9 0 0 0 0 0 0 0

TOTAL RETURN SWAPS $1,439 21,083 2,444 18,313 20 3,432 0 0 0 0 2,242 0 0 0 0 0 0 93 0 0 0 0 0 0 0

$93,524 0 93,524

$25,367 1,317 26,684

$3,473,050 174 3,473,224

(%) 1.3 0.0 1.3

(%) 0.3 0.0 0.4

(%) 46.8 0.0 46.8

SOLD CREDIT OPTIONS $29,965 41,023 83 31,479 23 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

OTHER CREDIT DERIVATIVES $176 0 0 0 5,678 0 0 0 0 3,230 10 0 2,940 0 0 1,667 1,310 0 2,344 0 2,308 0 0 356 0

$49,065 2 49,067

$102,573 0 102,573

$20,018 2,361 22,380

(%) 0.7 0.0 0.7

(%) 1.4 0.0 1.4

(%) 0.3 0.0 0.3