Supplemental Quarterly Schedule To Focus Report Derivatives And Other Off-Balance Sheet Items (Page 2 of 6) in pdf

Supplemental Quarterly Schedule To Focus Report Derivatives And Other Off-Balance Sheet Items Page 2

2. Variable Interest Entities (VIEs)

A. Unconsolidated VIEs

Report the gross amounts of assets and liabilities of unconsolidated VIEs in which the firm holds

an interest.

B. Maximum exposure to loss relating to unconsolidated VIEs

The maximum exposure to loss assumes all assets in the unconsolidated VIEs are worthless and

includes potential losses associated with off-balance sheet commitments such as unfunded

liquidity commitments and other contractual arrangements.

Memo item: Investment in unconsolidated VIEs

Report any investment(s) that has been included on the balance sheet for any entity(ies) that is

not consolidated in the audited consolidated financial statements and whose assets and

liabilities are included on item 2A of this schedule.

C. Maximum exposure to loss relating to consolidated VIEs

Report the maximum exposure to loss in consolidated VIEs including retained interests and

other exposures (e.g., derivatives and liquidity commitments).

3. Off-Balance Sheet Financing Transaction

A. Reverse Repos and Repos offset pursuant to ASC 210-20-45-11

Report the gross contract value that was netted pursuant to ASC 210-20-45-11.

Note: Include the gross contract value of Buy/Sell-backs and Sell/Buy-backs that were netted

pursuant to ASC 210-20-45-11.

B. Transactions offset pursuant to ASC 210-20-45-1

Report the gross contract value of transactions that have been netted pursuant to ASC 210- 20-

45-1.

C. Reverse Repos/Repos to maturity pursuant to ASC 860-10-40-5

Report the gross contract value of Reverse Repo or Bonds Borrowed contracts (as a debit) and

the gross contract value of Repos or Bonds Loaned contracts (as a credit) that were de-

recognized from the balance sheet pursuant to ASC 860-10-40-5.

D. Securities Borrowed vs. Pledge agreements

Report the gross collateral market value of Non-Cash Securities Borrowed and Non-Cash

Securities Loans agreements not included on the balance sheet pursuant to ASC 860.

E. Reverse Repo vs. Pledge agreements

Report the gross collateral market value of Non-Cash Reverse Repo and Repurchase agreements

not included on the balance sheet pursuant to ASC 860.

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Supplemental Quarterly Schedule To Focus Report Derivatives And Other Off-Balance Sheet Items Page 2