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Technical Specifications Guidance

Volcker Rule - Standard
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TECHNICAL GUIDANCE FOR PREPARING AND SUBMITTING QUANTITATIVE MEASUREMENTS ..................4

Metrics Reporting Requirement ...............................................................................................................4

Who Must Report .....................................................................................................................................4

Frequency of Reporting ............................................................................................................................5

Narrative Statement .....................................................................................................................................5

File Naming Convention............................................................................................................................5

XML Technical Specification..........................................................................................................................6

Special Characters.....................................................................................................................................6

XML Reserved Characters.........................................................................................................................6

Reading the Data Dictionary .....................................................................................................................7

Item.......................................................................................................................................................7

Field.......................................................................................................................................................7

Description............................................................................................................................................7

Rqmt......................................................................................................................................................7

Occurs ...................................................................................................................................................7

Data Type ..............................................................................................................................................7

XPath.....................................................................................................................................................8

Valid Value ............................................................................................................................................8

Reporting Nulls..........................................................................................................................................8

XML File Naming Convention....................................................................................................................8

File Compression and Transmission Protocols..........................................................................................9

Volcker Metrics Report Data Dictionary .....................................................................................................10

Administrative Information ....................................................................................................................10

File Description ...................................................................................................................................10

Reporting Firm Identification..............................................................................................................10

Information Schedules............................................................................................................................11

Quantitative Measurements Information Schedules .........................................................................11

Internal Limits Information Schedule .............................................................................................11

Risk Factor Attribution Information Schedule ................................................................................13

Trading Desk Information Schedule....................................................................................................13

Trading Desk Identity ......................................................................................................................14

Trading Activity Information ...........................................................................................................14
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Daily Trading Desk Information ......................................................................................................15

Daily Quantitative Measurements Information Schedules ....................................................................16

A. Risk-Management Measurements ................................................................................................17

Part 1. Internal Limits and Usage ....................................................................................................17

Part 2. Value-at-Risk (VaR)..............................................................................................................19

B. Source-of-Revenue Measurements................................................................................................20

Part 3. Comprehensive Profit and Loss Attribution ........................................................................20

Part 3.A: Comprehensive Profit and Loss Attribution Measurements ......................................20

Part 3.B: Comprehensive Profit and Loss Attribution Measurements by Risk Factor ................22

C. Positions and Transaction Volumes................................................................................................23

Part 4. Positions ..............................................................................................................................23

Part 5. Transaction Volumes...........................................................................................................24

Annex A: Tables of Values from Instructions..............................................................................................27

Table A - Type of Covered Trading Activity.............................................................................................27

Table C – Limit Sources...........................................................................................................................27

Annex B: XML Example ...............................................................................................................................28

Annex C: Volcker XSD..................................................................................................................................84

Annex D: File Compression and Transmission Protocols..........................................................................104
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TECHNICAL GUIDANCE FOR PREPARING AND SUBMITTING 

QUANTITATIVE MEASUREMENTS

Metrics Reporting Requirement

Each banking entity directly supervised by the Commodity Futures Trading Commission that meets 

relevant thresholds specified in § 75.20(d) must furnish quantitative measurements, as applicable, for 

each of its trading desks engaged in covered trading activity.1 The quantitative measurements must 

comply with the Appendix. The Instructions for Preparing and Submitting Quantitative Measurement 

Information (Instructions) provide guidance for the submission of the optional Narrative Statement, the 

Trading Desk Information Schedule, the Quantitative Measurements Identifying Information Schedules, 

and each applicable quantitative measurement to the Commodity Futures Trading Commission.

2

 If a 

banking entity and one or more of its affiliates are required to report quantitative measurements to the 

Commodity Futures Trading Commission pursuant to § 75.20(d), the banking entity and its affiliate(s) 

should prepare one combined submission to the Commodity Futures Trading Commission that follows 

the Appendix, the Instructions, this Technical Specifications Guidance, and the XML Schema.

After consultation with staffs of the Agencies, banking entities that were subject to the metrics reporting 

requirement under the 2013 rule submitted their quantitative measurement data electronically in a 

pipe-delimited flat file format. This specification sets forth an XML Data Standard for reporting Volcker 

Metrics that supersedes the legacy pipe-delimited format.

Who Must Report

Banking entities with significant trading assets and liabilities as defined in § 75.2(ee) are required to 

report metrics for each trading day of the month on a quarterly basis to the Commodity Futures Trading 

Commission. The determination of whether a banking entity has significant trading assets and liabilities 

is made quarterly, based on trading assets and liabilities measured as of the last day of each of the four 

 

1

 A trading desk is a unit of organization that purchases and sells financial instruments for the trading account of 

the banking entity or an affiliate thereof. Generally, a trading desk is the same unit of organization that is 

established for market risk capital calculations. See § 75.3(e)(14)(ii). “Covered trading activity” means trading 

conducted by a trading desk under § 75.4, 75.5, 75.6(a), or 75.6(b). A banking entity may include in its covered 

trading activity trading conducted under § 75.3(d), 75.6(c), 75.6(d), or 75.6(e). § 75, Appendix A II. In addition, a 

banking entity may include exposures in loans, spot commodities, and spot foreign exchange or currency that are 

related to the desk’s covered trading activities in its quantitative measurements. A banking entity should use a 

consistent approach for including or excluding any positions in products that are not securities, commodity futures 

contracts, derivatives, or options on any of these instruments when calculating metrics for a trading desk and may 

explain changes to this approach in its optional Narrative Statement.

2

See § 75, Appendix A III.
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previous calendar quarters. The metrics recordkeeping requirement applies for each quarter when the 

average over the previous four quarters is above the threshold for significant trading assets and 

liabilities. A banking entity that crosses above the threshold must begin recording the metrics as of the 

first day of the new quarter. For a banking entity that crosses below the threshold, the requirement to 

report metrics ceases for the new quarter, but the metrics collected for the past quarter must be 

reported according to the section Frequency of Reporting below.3

Notwithstanding the preceding paragraph, pursuant to § 75.20(d), Commodity Futures Trading 

Commission may notify a banking entity in writing that it must report on a different basis.4 Additionally, 

Commodity Futures Trading Commission may notify a banking entity that does not have significant

trading assets and liabilities in writing that it must satisfy the reporting requirements contained in 

Appendix A.5

Frequency of Reporting

Banking entities subject to the reporting requirement must report these metrics within 30 days of the 

end of each calendar quarter unless Commodity Futures Trading Commission notifies the banking entity 

in writing that it must report on a different basis.6

Narrative Statement

The banking entity may submit in a separate electronic document a Narrative Statement to the 

Commodity Futures Trading Commission with any information the banking entity views as relevant for 

assessing the information reported. The Narrative Statement may include further description of or 

changes to calculation methods, identification of material events, description of and reasons for changes 

in the banking entity’s trading desk structure or trading desk strategies, and when any such changes 

occurred. The banking entity should report the Narrative Statement in Portable Document Format 

(“PDF”).

File Naming Convention

The file naming conventions for the Narrative Statement is 

VVQM_[RSSD ID]_NARRATIVE_[MMDDYY].pdf

1. [RSSD ID], use the RSSD ID assigned to the reporting firm’s top level holding company

2. [MMDDYY], enter the last calendar date of the reporting period

 

3

See § 75.2(ee).

4

See § 75.20(d)(2).

5

See § 75.20(d)(1)(ii). See also § 75.20(g)-(i).

6

See § 75.20(d)(2).
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XML Technical Specification 

Special Characters

Non-printable and special characters are not supported by all systems. They are often translated or 

interpreted erroneously and may cause data processing issues. There are 256 ASCII characters, including 

the extended ASCII character set. To reduce confusion over which characters can be processed in 

Volcker metrics submissions, ASCII characters can be classified in the following groups:

ASCII Character Meaning Status

0-9, 11-12, 14-31 ASCII control characters NOT ALLOWED

10, 13 Control characters for line feed 

(LF) and carriage return (CR), 

respectively

Allowed

32-126 Standard printable characters 

(letters, digits, punctuation 

marks, miscellaneous symbols)

Allowed

127 Control character for DEL 

(delete) 

Allowed

128-255 Extended ASCII (ISO-8859-1) NOT ALLOWED

Many currency denominations and foreign symbols fall under the extended ASCII character set. For this 

reason, any reference to currency denomination should be reported as the three-letter alphabetic ISO 

4217 currency code (e.g., USD, GBP, EUR, JPY) rather than translated currency name or currency symbol 

(e.g., $, £, €, ¥).

XML Reserved Characters

Some characters have special meaning in XML. Characters such as “&” inside an XML data field will 

generate an error because the parser interprets “&” as the start of an entity reference code. For 

example, this sample code will generate an XML error:

<message> John Doe & Associates</message>

To avoid this error, replace the “&” character with its entity reference:

<message> John Doe & Associates</message>

There are five predefined entity references in XML:

Reserved Character Meaning Entity Reference

< less than <

> greater than >

& ampersand &

’ apostrophe '

“ quotation mark "

Replace any reserved character in any data field with the appropriate entity reference.
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Reading the Data Dictionary

The data dictionary is organized into a table with eight columns. Informational section headings and 

general descriptions precede the related XML data sequence.

Item

Each XML component is numbered to facilitate referencing. 

Field

A field name is assigned to each data item. Where applicable, the related Federal Reserve Board’s 

Micro-Data Reference Manual (MDRM) identifier is paired with the data item and grouped under the 

item number.

Description

This column describes the item or its value. In some cases, the item is an XML element name; in others,

it is an XML attribute name. In the Volcker XML Schema Definition (XSD), elements are containers that 

reflect the general segment of the report. All data values are entered under the appropriate attribute. 

The description also contains explanations that are consistent with the Instructions.

Rqmt

This column indicates whether an item is mandatory (M), conditionally required (C), or optional (O). The 

XSD considers the mandatory fields to be required, while the conditionally required or optional fields are 

optional. Validation rules may be subsequently applied to the conditionally required or optional fields.

The XSD also enforces the MDRM values assigned to each item.

Occurs

This column identifies the number of occurrences permitted for the related item. It consists of two 

entries separated by double dots. The pair is read as minimum occurrences-to-maximum occurrences.

Occurs Min Max Explanation

1..1 1 1 Mandatory item, one and only one occurrence

1..n 1 n Mandatory item, one to “n” occurrences

1..* 1 ∞ Mandatory item, one to unlimited occurrences

0..1 0 1 Optional or conditional item, none to one occurrence

0..n 0 n Optional or conditional item, none to “n” occurrences

0..* 0 ∞ Optional or conditional item, none to unlimited occurrences

Data Type

This describes the assigned XML notation or data type along with the maximum or absolute length 

allowed for text or the total and fractional digits allowed for numbers.

XML Data Type Explanation

xs:string The related item represents a textual string with no maximum 

length. It is used for attributes with enumerated values.
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xs:string (100) The related item represents a textual string with a 100-character 

maximum length.

xs:decimal (10,2) The related item represents a decimal number with 10 total 

digits allowed and 2 fractional digits allowed (12345678.09)

xs:integer (5) The related item is a whole number with 5 total digits allowed 

(54321)

xs:nonNegativeInteger 

(24)

An integer containing only non-negative values, including zero

(0,1,2,...) with 24 total digits allowed

xs:boolean The related item represents a whole number and uses the values 

0=false and 1=true

xs:date Date format: YYYY-MM-DD

xs:time Time format: hh:mm:ss[+/-]hh:mm

XPath

This represents the Volcker Metrics Report hierarchical XML element or attribute name.

XML Pattern Explanation

<abcdeFghij30> An XML element that contains attributes with data values. The 

element represents a specific set of data from the Volcker Rule. 

This is similar to a “panel” or “subpanel” in the legacy format or 

a relational database table.

@abcdeFghij An XML attribute that contains a specific data value. The 

Volcker XSD attributes correspond to the columns of a 

relational database table.

Valid Value

This column contains the list of enumerated valid values accepted by the XSD. It also may contain a 

format pattern for entering dates or times.

Reporting Nulls

Individual XML attributes are always specified with either [1..1] or [0..1] occurrences. Those attributes 

requiring [1..1] occurrences are mandatory. Those requiring [0..1] occurrences are optional or 

conditionally required. All mandatory attributes must be present in the XML element, and an element 

without all required attributes will fail schema validation. Any values that are missing, either because 

they are either not applicable or have not been computed, are reported as attributes with empty values 

(e.g. attribute=””). Do not write out “NA”, “NC”, or “NULL”.

XML File Naming Convention

When submitting Volcker Metrics Report files, follow the file naming convention

VVQM_[RSSD ID]_[MMDDYY]_[Version].xml

1. [RSSD ID], use the RSSD ID assigned to the reporting firm’s top level holding company

2. [MMDDYY], enter the last calendar date of the reporting period
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3. [Version], enter the version number (1,2,3,...) of the submission for the given reporting period; 

enter ‘TEST’ for test submissions.

File Compression and Transmission Protocols

The method of compressing and transmitting the Narrative Statement and XML files is specified in 

Annex D of this document.
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Volcker Metrics Report Data Dictionary

The following fields comprise the values that banking entities must use to comply with the Volcker Rule reporting requirement for the Trading Desk Information, the Quantitative Measurements Identifying 

Information, and applicable quantitative measurements. This Data Dictionary sets forth an XML element hierarchy with data attributes used to report the Volcker Rule metrics data values. The order of items in 

the Data Dictionary follows the order prescribed by the XSD. 

Administrative Information

The banking entity must submit the following information:

File Description

Item Field Description Rqmt Occurs Data Type XPath Valid Value

1. Volcker metrics 

report element

Volcker Metrics Report root XML element. M 1..1 [OPEN ELEMENT] volckerMetricsReport

2. File description 

element

Element containing the file description 

information.

M 1..1 [EMPTY ELEMENT] volckerMetricsReport/fileDescription

3. Version number Report the file version number, which is a 

sequential number assigned to each file 

submission for a particular submission period, 

starting with 1 and increasing by one for each 

resubmission (e.g., the first submission should 

be “1,” a resubmission amending the first 

submission should be “2,” a second 

resubmission should be “3,” etc.).

M 1..1 xs:integer (2) volckerMetricsReport/fileDescription@fileVersion

C 0..1 xs:string (8) volckerMetricsReport/fileDescription@fileVersionMdrm VVQMR656

4. Create date Provide the calendar date when the report is 

created, based on the file creation date 

automatically generated by the banking entity’s 

operating system. 

M 1..1 xs:date volckerMetricsReport/fileDescription@createDate Date format: YYYY-MM-DD

C 0..1 xs:string (8) volckerMetricsReport/fileDescription@createDateMdrm VVQMF841

5. Create time Provide the time of day when the report is 

created using Coordinated Universal Time 

(UTC), based on the file creation time 

automatically generated by the banking entity’s

operating system. 

M 1..1 xs:time volckerMetricsReport/fileDescription@createTime Time Format: hh:mm:ssZ

C 0..1 xs:string (8) volckerMetricsReport/fileDescription@createTimeMdrm VVQMF842

6. Submission period

end date

Enter the information cut-off date. M 1..1 xs:date volckerMetricsReport/fileDescription@asOfDate Date format: YYYY-MM-DD

C 0..1 xs:string (8) volckerMetricsReport/fileDescription@asOfDateMdrm VVQM9999

Reporting Firm Identification

Item Field Description Rqmt Occurs Data Type XPath Valid Value

7. Reporting firm 

element

Element containing the reporting firm 

information.

M 1..1 [EMPTY ELEMENT] volckerMetricsReport/reportingFirm
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8. Firm identifier Provide the RSSD ID assigned to the banking 

entity by the FRB.

M 1..1 xs:string (10) volckerMetricsReport/reportingFirm@firmIdentifier

C 0..1 xs:string (8) volckerMetricsReport/reportingFirm@firmIdMdrm VVQM9001

9. Firm name Provide the banking entity’s full legal name. M 1..1 xs:string (100) volckerMetricsReport/reportingFirm@firmName

C 0..1 xs:string (8) volckerMetricsReport/reportingFirm@firmNameMdrm VVQM9017

Information Schedules

Quantitative Measurements Information Schedules

With each submission of quantitative measurements, the banking entity must provide an Internal Limits Information Schedule and a Risk Factor Attribution Information Schedule.7 Each banking entity must 

provide the required information for the entire banking entity’s covered trading activity. A banking entity should not prepare multiple versions of the same schedule for each trading desk engaged in covered 

trading activity.

Internal Limits Information Schedule

Internal Limits are constraints that define the amount of risk that a trading desk is permitted to take at a point in time, as defined by the banking entity for a specific trading desk.8 Internal Limits are often 

expressed in terms of risk measures, such as Value-at-Risk (VaR) and risk factor sensitivities, but may also be expressed in terms of other observable criteria, such as net open positions or inventory aging. 

On the Internal Limits Information Schedule, the banking entity must provide identifying and descriptive information for each limit that is reported in the Internal Limits and Usage metric. Provide the following 

information: 9

Item Field Description Rqmt Occurs Data Type XPath Valid Value

10. Internal limit 

reference 

element

Element containing the internal limit reference 

information.

M 1..* [EMPTY ELEMENT] volckerMetricsReport/internalLimitReference

11. Limit identifier A character string to be used as the permanent 

unique identifier for the limit. The limit identifier is 

permanent in the sense that it has the same 

meaning in all future quantitative measurements 

submissions, even if the set of trading desks to 

which the limit applies changes. 

M 1..1 xs:string (100) volckerMetricsReport/internalLimitReference@limitIdentifier

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@limitIdentifierMdrm VVQTY382

12. Limit name The name of the limit. M 1..1 xs:string (100) volckerMetricsReport/internalLimitReference@limitName

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@limitNameMdrm VVQMW892

 

7

See § 75, Appendix A III.c.

8

See § 75, Appendix A IV.a.1.i.

9

See § 75, Appendix A III.c.1.
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Item Field Description Rqmt Occurs Data Type XPath Valid Value

13. Limit 

description

A description of the limit. M 1..1 xs:string (250) volckerMetricsReport/internalLimitReference@limitDescription

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@limitDescriptionMdrm VVQMW893

14. Unit of 

measurement

The unit in which the limit is measured, e.g., basis 

points, USD, etc.

M 1..1 xs:string (50) volckerMetricsReport/internalLimitReference@limitUnit

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@limitUnitMdrm VVQMY391

15. Type of limit Identify which of the following categories best 

describes the limit.

a. VaR

b. Position limit

c. Sensitivity limit

d. Stress scenario

e. Inventory aging

f. Other 

M 1..1 xs:string volckerMetricsReport/internalLimitReference@limitCategory VAR

POS

SENS

SCENARIO

AGING

OTHER

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@limitCategoryMdrm VVQMW896

16. Other category 

description

Enter description of the “Other” category identified 

in [Type of limit].

C 0..1 xs:string (250) volckerMetricsReport/internalLimitReference@limitOtherDescription

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@limitOtherDescriptionMdrm VVQMW894

17. Limit motivation

element

Element containing the sources of analysis by which 

the limit value was set for this desk

C 0...5 [OPEN ELEMENT] volckerMetricsReport/internalLimitReference/limitMotivation

18. Source of limit Identify which of the following source of analysis 

determines the limit.10

a. Risk Appetite

b. Regulatory Capital

c. Reasonably Expected Near Term Demand (RENTD)

d. Risk Reducing or Risk Mitigating

e. Other

M 1...1 volckerMetricsReport/internalLimitReference/limitMotivation@limitSource Risk App

Reg Cap

RENTD

Risk Reducing

Other

C 0...1 Xs:string (8) volckerMetricsReport/internalLimitReference/limitMotivation@limitSourceMdrm VVQMKY40

19. Attribution 

Identifier

If the category of the limit is Sensitivity limit/SENS 

and there is a corresponding profit and loss 

attribution category to the same risk factor, report 

the attribution categories unique identifier from the 

Risk Factor Attribution Regerence Schedule

C 0..1 xs:string (100) volckerMetricsReport/internalLimitReference@riskFactorAttributionIdentifier

C 0..1 xs:string (8) volckerMetricsReport/internalLimitReference@riskFactorAttributionidentifierMdrm VVQXT090

 

10 If a banking entity establishes distinct limits on the same measure (e.g. VaR) based on separate sources of analysis (e.g. distinct limits based on risk appetite and RENTD) then these should be identified as different limits. For a 

trading desk where multiple limits are applied to the same measure, the Daily Quantitative Measurements Schedule should include entries for each limit identifier with identical values of usage but potentially differing limit sizes. 

Alternatively, if a banking entity establishes a single limit that is informed by more than one source of analysis, this should be represented with a single limit identifier with multiple sources indicated.
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Risk Factor Attribution Information Schedule

The banking entity must report the profit and loss due to changes in the specific risk factors and other factors that are monitored and managed as part of the trading desk’s overall risk management policies and 

procedures.11

On the Risk Factor Attribution Information Schedule, the banking entity must provide identifying and descriptive information for each risk factor attribution reported in Part 3.B. of the Comprehensive Profit and 

Loss Attribution metric. Provide the following information: 12

Item Field Description Rqmt Occurs Data Type XPath Valid Value

20. Risk factor 

attribution 

reference element

Element containing the risk factor attribution 

reference information.

M 1..* [EMPTY ELEMENT] volckerMetricsReport/riskAttributionFactorReference

21. Risk factor 

attribution 

identifier

A character string to be used as the permanent 

unique identifier for the risk factor or other 

factor attribution. The Risk Factor Attribution 

identifier is permanent in the sense that it has 

the same meaning in all future quantitative 

measurements submissions, even if the set of 

trading desks for which the attribution is 

reported changes.

M 1..1 xs:string (100) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionIdentifier

C 0..1 xs:string (8) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionIdentifierMdrm VVQTT090

22. Risk factor name The name of the risk factor or other factor. M 1..1 xs:string (100) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionName

C 0..1 xs:string (8) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionNameMdrm VVQMW898

23. Risk factor 

description

A description of the risk factor or other factor. M 1..1 xs:string (250) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionDescription

C 0..1 xs:string (8) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionDescriptionMdrm VVQMW899

24. Risk factor change 

units

Report the type of units of the risk factor or 

other factor change that the entity has 

identified that impact the portfolio value (for 

example, for a DV01, the unit is in basis points, 

while for Equity Delta, the unit is a dollar 

change in equity prices or percentage change in 

equity prices).

M 1..1 xs:string (50) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionUnit

C 0..1 xs:string (8) volckerMetricsReport/riskAttributionFactorReference@riskFactorAttributionUnitMdrm VVQTY394

Trading Desk Information Schedule

With each submission of quantitative measurements, the banking entity must provide the following information for each trading desk engaged in covered trading activities:13

 

11 See § 75, Appendix A IV.b.1.i.

12 See § 75, Appendix A III.c.2.
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Trading Desk Identity

Item Field Description Rqmt Occurs Data Type XPath Valid Value

25. Trading desk 

information 

element

Element containing the trading desk 

information.

M 1..* [OPEN ELEMENT] volckerMetricsReport/tradingDesk

26. Trading desk 

name

Provide the name of the trading desk used 

internally by the banking entity.

M 1..1 xs:string (100) volckerMetricsReport/tradingDesk@deskName

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@deskNameMdrm VVQMY384

27. Trading desk 

identifier

Provide a unique character string to identify the 

trading desk. This identifier should generally 

remain constant for every quantitative 

measurements submission.14

M 1..1 xs:string (100) volckerMetricsReport/tradingDesk@deskIdentifier

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@deskIDMdrm VVQMY383

28. Trading desk 

description

Provide a brief description of the general 

strategy of the trading desk.

M 1..1 xs:string (500) volckerMetricsReport/tradingDesk@deskDescription

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@deskDescriptionMdrm VVQMW891

29. Currency reported Specify the currency used by the trading desk. M 1..1 xs:string (3) volckerMetricsReport/tradingDesk@currency Use the ISO 4217 currency code 

(alphabetic code) (USD, GBP, 

EUR, JPY, etc.)

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@currencyMdrm VVQMY385

Trading Activity Information

Item Field Description Rqmt Occurs Data Type XPath Valid Value

30. Trading activity 

information 

element

Element containing the trading activity 

information for a trading desk.

M 1..* [EMPTY ELEMENT] volckerMetricsReport/tradingDesk/coveredActivity

 

14 If a banking entity restructures its operations and merges two or more trading desks, the banking entity should assign a new trading desk identifier to the merged desk (i.e., the merged desk’s identifier should not replicate a 

trading desk identifier assigned to a previously unmerged trading desk) and permanently retire the unmerged desks’ identifiers. If a banking entity splits the operations of an existing trading desk into two or more new desks, the 

banking entity should assign new trading desk identifiers to the new desks and permanently retire the original desk’s identifier. 
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Item Field Description Rqmt Occurs Data Type XPath Valid Value

31. Type of covered 

trading activity

Identify each covered trading activity in which 

the trading desk is engaged. Choose from the 

activity types listed in Table A of Annex A to 

identify the relevant exemptions or exclusions, 

and provide the associated code for each type 

of covered trading activity selected.

M 1..24 xs:string volckerMetricsReport/tradingDesk/coveredActivity@tradingActivity UW

MM

Hedging

US Gov

Foreign Gov

Fiduciary

RP

Insurance

TOTUS

Repo

Sec Lending

Liquidity Mgmt

DCO/CA

Clearing Member

Delivery

Judicial

Agent

Employee

DPC

Purchase Error

Matched Swap

MSR Hedge

NTAL

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/coveredActivity@activityMdrm VVQMW890

32. Reported to CFTC Indicate with a “1” for yes or a “0” for no 

whether the desk is reported to the Commodity 

Futures Trading Commission

M 1..1 xs:boolean volckerMetricsReport/tradingDesk@reportedCFTC 0=False/No

1=True/Yes

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@reportedCFTCMdrm VVQMKY41

33. Reported to FDIC Indicate with a “1” for yes or a “0” for no 

whether the desk is reported to the Federal 

Deposit Insurance Corporation

M 1..1 xs:boolean volckerMetricsReport/tradingDesk@reportedFDIC 0=False/No

1=True/Yes

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@reportedFDICMdrm VVQMKY42

34. Reported to FRB Indicate with a “1” for yes or a “0” for no 

whether the desk is reported to the Federal 

Reserve Board

M 1..1 xs:boolean volckerMetricsReport/tradingDesk@reportedFRB 0=False/No

1=True/Yes

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@reportedFRBMdrm VVQMKY43

35. Reported to OCC Indicate with a “1” for yes or a “0” for no 

whether the desk is reported to the Office of 

the Comptroller of the Currency

M 1..1 xs:boolean volckerMetricsReport/tradingDesk@reportedOCC 0=False/No

1=True/Yes

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@reportedOCCMdrm VVQMKY44

36. Reported to SEC Indicate with a “1” for yes or a “0” for no 

whether the desk is reported to the Securities 

and Exchange Commission

M 1..1 xs:boolean volckerMetricsReport/tradingDesk@reportedSEC 0=False/No

1=True/Yes

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk@reportedSECMdrm VVQMKY45

Daily Trading Desk Information

Item Field Description Rqmt Occurs Data Type XPath Valid Value

37. Daily trading desk 

element

Element containing the daily trading desk 

information.

M 90..92 [OPEN ELEMENT] volckerMetricsReport/tradingDesk/dailyDeskInfo
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November 16, 2020 Page 16 of 104

Item Field Description Rqmt Occurs Data Type XPath Valid Value

38. Date Provide the calendar date of the month. Use the 

format YYYY-MM-DD.

M 1..1 xs:date volckerMetricsReport/tradingDesk/dailyDeskInfo@calendarDate Date format: YYYY-MM-DD

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/dailyDeskInfo@calendarDateMdrm VVQMY899

39. Trading day 

indicator

For each calendar day of the submission period, 

indicate with a “1” for yes or a “0” for no 

whether the calendar day is a trading day or not 

a trading day for the desk.

15

M 1..1 xs:boolean volckerMetricsReport/tradingDesk/dailyDeskInfo@isTradingDay 0=False/No

1=True/Yes

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/dailyDeskInfo@isTradingDayMdrm VVQMY380

40. Currency 

conversion rate

Specify the conversion rate for the specified 

currency to U.S. dollars for each trading day. If 

values for a trading desk are reported in a 

currency other than U.S. dollars, specify the 

multiplier conversion rate (not divisor) for the 

specified currency to U.S. dollars for the trading 

desk. For U.S. dollars, report 1.

M 1..1 xs:decimal (24,8) volckerMetricsReport/tradingDesk/dailyDeskInfo@currencyConversionRate Positive values permitted

Zero and negative values not 

permitted

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/dailyDeskInfo@currencyConversionRateMdrm VVQMY386

Daily Quantitative Measurements Information Schedules

Provide the following quantitative measurements, as applicable, for each trading day and for each trading desk engaged in covered trading activity.16 Report the actual amounts in the currency utilized by a 

particular trading desk. Do not report amounts in abbreviated form, such as thousands. A banking entity may explain its inability to provide any quantitative measurement in the entity’s Narrative Statement. 

The appropriate approach to calculating quantitative measurements for a trading desk engaged in underwriting activity will depend on the banking entity’s role in the distribution, as well as the particular facts 

and circumstances of the distribution. A banking entity that is a member of the underwriting syndicate should account for the banking entity’s portion of any position attributable to the distribution, based on 

the number, amount, or percentage of securities the banking entity has purchased under the relevant underwriting agreement. In addition, to the extent the banking entity has responsibility for managing 

 

15 As a general matter, a trading desk is not considered to be open for trading on a weekend. However, if a trading desk books positions into a banking entity on a calendar day that is not a business day (e.g., a day that falls on a 

weekend), then the desk is considered open for trading on that day. In addition, a trading desk may be open for trading on a national holiday. For example, if a trading desk spans a U.S. legal entity and a foreign legal entity and a 

national holiday occurs on a business day in the United States but a national holiday does not occur on the same day in the foreign jurisdiction, the date is a trading day because the trading desk is open to conduct trading in the 

foreign jurisdiction. 

16 See § 75, Appendix A IV.
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November 16, 2020 Page 17 of 104

positions that are credited to the accounts of syndicate members collectively, the banking entity should account for those positions when calculating metrics for the relevant underwriting desk until the 

securities are disbursed to syndicate members.17

A. Risk-Management Measurements

Part 1. Internal Limits and Usage

A banking entity is required to report the Internal Limits and Usage quantitative measurement for all trading desks engaged in covered trading activities.18 

For a trading desk engaged in market making-related activities or risk-mitigating hedging, the limits required under these exemptions must include appropriate metrics for the trading desk limits including, at a 

minimum, VaR, except to the extent the VaR metric is demonstrably ineffective in measuring and monitoring the risks of a trading desk based on the types of positions traded by, and risk exposures of, that 

desk.19 Internal Limits should be reported in the format used by the banking entity for the purposes of risk management of each trading desk.

Multiple trading desks may have limits that are established using the same method and apply to quantities or measures defined the same way. For example, multiple desks may have limits on the same risk 

factor sensitivity that are based on similar RENTD analyses. So that limits can be compared across trading desks, use the same identifier for limits that are established using the same method and apply to 

quantities or measures defined the same way. Give the name and description of each limit along with an identifier and other information in the Internal Limits Information Schedule.

For each trading desk, provide the following information for each limit that is applied to the desk for every trading day the limit was applied in the submission period.

20

 Each type of limit may be reported on 

one or more trading desks. If a limit is introduced or discontinued during a reporting period, report the following information for each trading day that the trading desk used the limit during the period.

Item Field Description Rqmt Occurs Data Type XPath Valid Value

41. Internal limit 

and usage 

element

Element containing the internal limit and 

usage metric information.

C 0..* [OPEN 

ELEMENT]

volckerMetricsReport/tradingDesk/internalLimitsAndUsage

 

17 For example, assume a lead manager manages an unsold allotment arising from the distribution for a period of time and then disburses any remaining securities proportionally to other syndicate members. For the period of time 

in which a banking entity that is the lead manager manages the unsold allotment, such unsold allotment should be accounted for in the metrics of that banking entity’s underwriting desk. However, once the unsold allotment is 

disbursed to other syndicate members, a banking entity receiving the disbursement should begin to account for its position in the metrics of its underwriting desk and the lead manager need only account for its own positions and 

any remaining syndicate positions in its metrics.

18 See § 75, Appendix A IV.a.1.

19 See id.

20 See id.
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Item Field Description Rqmt Occurs Data Type XPath Valid Value

42. Limit identifier Report the limit ID listed in the Internal

Limits Information Schedule.

M 1..1 xs:string(100) volckerMetricsReport/tradingDesk/internalLimitsAndUsage@limitIdentifier

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/internalLimitsAndUsage@limitIdentifierMdrm VVQMY382

43. Daily limit 

element

Element containing the daily position 

limit and usage metrics.

M 1..92 [EMPTY 

ELEMENT]

volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule

44. Trade date Provide the calendar date of the month. 

Use the format YYYY-MM-DD.

M 1..1 xs:date volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@limitDate Date format: YYYY-MM-DD

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@limitDateMdrm VVQ1Y899

45. Limit size—

upper limit

If the limit represents an upper bound on 

the measure (i.e. a constraint that the 

value of the measure should remain 

lower than the value of the limit) then 

report the upper limit set by the banking 

entity that represents the amount of risk 

the trading desk is permitted to take at a 

point in time.21 If the limit only applies a 

lower bound constraint, then do not 

report an upper limit. 

C 0..1 xs:decimal

(24,4)

volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@upperLimitSize

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@upperLimitSizeMdrm VVQMFC41

46. Limit size—

lower limit

If the limit represents a lower bound on 

the measure (i.e. a constraint that the 

value of the measure should remain 

higher than the value of the limit) then 

report the lower limit set by the banking 

entity that represents the amount of risk 

the trading desk is permitted to take at a 

point in time. Report negative lower 

limits as negative values. If the limit only 

applies an upper bound constraint, then 

do not report a lower limit.

C 0..1 xs:decimal

(24,4)

volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@lowerLimitSize

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@lowerLimitSizeMdrm VVQMFC42

47. Value usage Report the value of the trading desk’s risk 

or positions that are accounted for by the 

daily activity of the desk. For limits 

accounted for at the end of the day, 

report the value of usage as of the end of 

M 1..1 xs: decimal

(24,4)

volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@usage

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/internalLimitsAndUsage/limitDailySchedule@usageMdrm VVQMY390

 

21 A single limit may apply both an upper and a lower constraint, in which case both items 2.a and 2.b should be reported. Upper and lower limit sizes may be positive or negative, and they may or may not be symmetrical. A limit 

that applies to the absolute value of a quantity should be represented as symmetric (positive) upper limit size and (negative) lower limit sizes with the signed value of usage reported for the measure being limited.
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 19 of 104

Item Field Description Rqmt Occurs Data Type XPath Valid Value

the day. For limits accounted for during 

the day (intraday), report the maximum 

value of usage. Report the actual value of 

the risk or positions, not the percentage 

of the upper or lower limit utilized.

Part 2. Value-at-Risk (VaR) 

A banking entity is required to report the VaR quantitative measurement for all trading desks engaged in covered trading activities.22 

When reporting the VaR measurement, report the risk of future financial loss in the value of the trading desk’s aggregated positions at the 99% confidence level over a 1-day holding period, based on current 

market conditions.

23

 Banking entities should compute and report VaR consistently with federal capital requirements for market risk.

24

 If a trading desk does not have a standalone VaR calculation under 

regulatory capital requirements for market risk, but is part of a larger aggregation of positions for which a VaR calculation is performed, then a VaR calculation that includes only the trading desk’s holdings 

should be performed consistently with the VaR model and methodology used for the larger aggregation of positions. 

For purposes of the VaR quantitative measurements, values representing a loss should be reported as a positive value.

For each applicable trading desk,25 provide the following information for every trading day.26

Item Field Description Rqmt Occurs Data Type XPath Valid Value

48. VaR element Element containing the value at risk 

information C 0..92 [EMPTY ELEMENT]

volckerMetricsReport/tradingDesk/valueAtRisk

49. Trade date Provide the calendar date of the month. 

Use the format YYYY-MM-DD. M 1..1 xs:date

volckerMetricsReport/tradingDesk/valueAtRisk@varDate Date format: YYYY-MM-DD

 

22 See § 75, Appendix A IV.a.2.

23 See id.

24 Computation of VaR is described under Section 205 of the Market Risk Rule (12 CFR 3.205 (OCC)). 

25 See § 75, Appendix A IV.a.2.iv.

26 See § 75, Appendix A IV.a.2.
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November 16, 2020 Page 20 of 104

Item Field Description Rqmt Occurs Data Type XPath Valid Value

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/valueAtRisk@varDateMdrm VVQ2Y899

50. VaR Report the measurement of the risk of 

future financial loss in the value of the 

trading desk’s aggregated positions at 

the 99% confidence level over a 1-day 

holding period, based on current market 

conditions. Banking entities may 

calibrate to a 1-day holding period using 

appropriate scaling of a VaR measure 

made for a different holding period.27

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/valueAtRisk@var

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/valueAtRisk@varMdrm VVQMY396

B. Source-of-Revenue Measurements

Part 3. Comprehensive Profit and Loss Attribution

A banking entity is required to report the Comprehensive Profit and Loss Attribution quantitative measurement for all trading desks engaged in covered trading activities. Comprehensive Profit and Loss 

Attribution is an analysis that attributes the daily fluctuation in the value of a trading desk’s positions to various sources.28 First, the sources of profit and loss are divided into two categories: (i) profit and loss 

attributable to a trading desk’s existing positions that were held by the trading desk as of the end of the prior day (“existing positions”); and (ii) profit and loss attributable to new positions resulting from the

current day’s trading activity (“new positions”).29 

The profit and loss from new positions is reported in the aggregate and does not need to be further attributed to specific sources. The profit and loss from existing positions must be further attributed, as 

applicable, to (i) changes in the specific risk factors and other factors that are monitored and managed as part of the trading desk's overall risk management policies and procedures, (ii) any other applicable 

elements, such as cash flows, carry, changes in reserves, and the correction, cancellation, or exercise of a trade, and (iii) other unattributed profit and loss from existing positions.

Report in Part 3.A Item 4 the daily profit and loss due to existing positions that is attributed to changes in specific risk factors. Report in Part 3.B the daily profit or loss attributed to each individual risk factor.

30

Part 3.A: Comprehensive Profit and Loss Attribution Measurements

For each trading desk, provide the following information for every trading day.31

 

27 In cases where a banking entity does not have a regulatory VaR, the banking entity should use a VaR consistent with the banking agencies’ regulatory capital requirements. Banking entities may scale their VaR to arrive at a 99th

percentile confidence level over a 1-day time horizon, either by scaling the percentile, time horizon, or both. 

28 See § 75, Appendix A IV.b.1.

29 These two categories are mutually exclusive. Profit and loss should be attributed first to Profit and Loss Due to New Positions and then to Profit and Loss Due to Existing Positions.

30 See id.

31 See id.
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November 16, 2020 Page 21 of 104

Item Field Description Rqmt Occurs Data Type XPath Valid Value

51. Profit and loss 

attribution 

element

Element containing the profit and loss attribution information. C 0..92 [EMPTY 

ELEMENT]

volckerMetricsReport/tradingDesk/profitAndLossAttribution

52. Trade date Provide the calendar date of the month. Use the format YYYY-MM-DD. M 1..1 xs:date volckerMetricsReport/tradingDesk/profitAndLossAttribution@plDate Date format: 

YYYY-MM-DD

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@plDateMdrm VVQ3Y899

53. Comprehensive 

profit and loss

Report the trading desk’s desk’s daily actual profit and loss from all sources. M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@comprehensive

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@comprehensiveMdrm VVQMY398

54. Profit and loss 

due to existing 

positions

Report the profit and loss attributable to the positions held by the trading desk as of the end of 

the prior day. The profit and loss associated with existing positions must reflect changes in the 

value of these positions on the applicable day. The comprehensive profit and loss from existing 

positions must be further attributed, as applicable, to changes in (i) the specific risk factors that 

are monitored and managed as part of the trading desk’s overall risk management policies and 

procedures (Item 56), plus any other attributable profit and loss due to revaluing the positions 

held at the end of the previous day using the market data at the end of the current day that is not

attributed to specific risk factors (Item 57); and (ii) any other applicable elements, such as cash 

flows (Item 58), carry (Item 59), changes in reserves or valuation adjustments (Item 60), the 

correction, cancellation, or exercise of a trade (Item 61), and (iii) any other unattributed profit 

and loss on existing positions that are not included in Item or Item 56 through Item 61 (Item 62).

32

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@existingPositions

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@existingPositionsMdrm VVQMY399

55. Profit and loss 

due to new 

positions

Report the profit and loss attributable to new positions resulting from the current day’s trading 

activity. The comprehensive profit and loss attributed to new positions must reflect commissions 

and fee income or expenses and market gains or losses associated with transactions executed on 

the applicable day. New positions include purchases and sales of financial instruments and other 

assets/liabilities and negotiated amendments to existing positions. Profit and loss due to new 

positions may be reported in the aggregate and does not need to be further attributed to specific 

sources. Any fees, commissions, or other payments received (paid) that are associated with 

transactions executed on the applicable day are added to (subtracted from) from Profit and Loss 

Due to New Positions. These factors should be measured consistently over time to facilitate 

historical comparisons.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@newPositions

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@newPositionsMdrm VVQMY400

56. Profit and loss 

attributed to 

changes in risk 

factors

Report the profit and loss due to changes in the specific risk factors that are monitored and 

managed as part of the trading desk’s overall risk management policies and procedures. The sum 

of Item 56 and Item 57 should equal the daily profit and loss produced by revaluing the positions 

held at the end of the previous day using the market data at the end of the current day.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@riskChange

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@riskChangeMdrm VVQMY402

57. Other 

attributable

profit and loss

Report any portion of the daily profit and loss produced by revaluing the positions held at the 

end of the previous day using the market data at the end of the current day that is not specifically 

attributed to changes in risk factors monitored and managed as part of the trading desk’s overall 

risk management policies and procedures.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@otherAttributable

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@otherAttributableMdrm VVQMY401

58. Report the profit and loss due to actual cash flows, if not included elsewhere. M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@cashFlow

 

32 The sum of Items 56 through 62 must equal Item 54. Profit and loss are uniquely attributed to each of these items (i.e., do not duplicate attributions in more than one item). 
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 22 of 104

Item Field Description Rqmt Occurs Data Type XPath Valid Value

Profit and loss 

due to actual 

cash flows

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@cashFlowMdrm VVQMY403

59. Profit and loss 

due to carry

Report the profit and loss due to changes in carry. Generally this item includes funding costs. 

Note that Item 59 does not include items otherwise included in Items 56 or 57.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@carry

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@carryMdrm VVQMY404

60. Profit and loss 

due to reserve or 

valuation 

adjustment 

changes

Report the profit and loss due to changes in reserves or valuation adjustments. Note that Item 60

does not include items otherwise included in Items 56 or 57.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@valuation

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@valuationMdrm VVQMY405

61. Profit and loss 

due to trade 

changes

Report the profit and loss due to changes emanating from the correction, cancellation, or 

exercise of a trade. Material amendments to the economic terms of existing financial instrument 

contracts (other than corrections, cancellations or excercises) are considered new trades.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@tradeChanges

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@tradeChangesMdrm VVQMY406

62. Other

unattributed

Profit and Loss

Report any other profit and loss on existing positions that is not reported in items 56 through 61. M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution@otherUnattributed

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution@otherUnattributedMdrm VVQMY407

Part 3.B: Comprehensive Profit and Loss Attribution Measurements by Risk Factor

Report the risk factors that comprise Part 3.A, Item 56, Profit and Loss Attributed to Changes in Risk Factors. Banking entities must include enough risk factors to explain the preponderance of the profit or loss 

changes due to risk factor changes. The methods used by a banking entity to calculate attribution to a common factor shared by multiple trading desks, such as an equity price factor, should be applied 

consistently across its trading desks so that the attributions can be compared from one trading desk to another. Give the name and description of each attribution along with an identifier in the Risk Factor 

Attribution Information Schedule. 

For each trading desk, provide the following information for each risk factor attribution that is calculated for the desk’s profit and loss from existing positions. Each attribution may be reported on one or more 

trading desks. If an attribution is introduced or discontinued during a reporting period, report the following information for each trading day that the trading desk used the risk factor attribution during the 

period.

33

 

33 See id.
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Item Field Description Rqmt Occurs Data Type XPath Valid Value

63. Risk factor 

attribution 

element

Element containing the profit and loss 

risk factor attribution information.

C 0..* [OPEN 

ELEMENT]

volckerMetricsReport/tradingDesk/profitAndLossAttribution/profitAndLossByFactor

64. Risk factor 

attribution 

identifier

Report the Risk Factor Attribution 

identifier listed in the Risk Factor 

Attribution Information Schedule.

M 1..1 xs:string(100) volckerMetricsReport/tradingDesk/profitAndLossAttribution/profitAndLossByFactor@riskFactorAttributionIdentifier

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution/profitAndLossByFactor@riskFactorAttributionIdentifierMdrm VVQMT090

65. Profit and loss 

due to risk 

factor move

Report the amount of profit or loss due 

to the risk factor change.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/profitAndLossAttribution/profitAndLossByFactor@value

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/profitAndLossAttribution/profitAndLossByFactor@valueMdrm VVQMY414

C. Positions and Transaction Volumes

Each of the following quantitative measurements requires a banking entity to determine the “value” of a trading desk’s positions in applicable financial instruments.34

Part 4. Positions

A banking entity is required to report the Positions quantitative measurement for trading desks that rely on § 75.4(a) or (b) to conduct underwriting activity or market making-related activity, respectively.35 

The Positions quantitative measurement represents the value of all securities and derivatives positions managed by the trading desk.36 For purposes of the Positions quantitative measurement, do not include 

in the Positions calculation for “securities” those securities that are also “derivatives,” as those terms are defined under § 75.2(aa) and (h); instead, report those securities that are also derivatives as 

“derivatives.”37

For each applicable trading desk,38 provide the following information for every trading day.39

Item Field Description Rqmt Occurs Data Type XPath Valid Value

66. Positions 

element

Element containing the trading desk 

position information.

C 0..92 [EMPTY 

ELEMENT]

volckerMetricsReport/tradingDesk/positions

67. Trade date Provide the calendar date of the month. 

Use the format YYYY-MM-DD.

M 1..1 xs:date volckerMetricsReport/tradingDesk/positions@positionsDate Date format: YYYY-MM-DD

 

34 See § 75, Appendix A IV.c.

35 See § 75, Appendix A IV.c.2.

36 The reported values should be based on the trading desk’s end-of-day positions for a given trading day.

37 See § 75, Appendix A IV.c.1; see also § 75.2(h), (aa). For example, under the rule, a security-based swap is both a “security” and a “derivative.” For purposes of the Positions quantitative measurement, security-based swaps are 

reported as derivatives rather than as securities.

38 See § 75, Appendix A IV.c.1.iv.

39 See § 75, Appendix A IV.c.1.
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Item Field Description Rqmt Occurs Data Type XPath Valid Value

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/positions@positionsDateMdrm VVQ4Y899

68. Long 

securities 

MTM

Market value of all long securities 

positions.

M 1..1 xs:nonNegative

Integer(24)

volckerMetricsReport/tradingDesk/positions@securitiesMarketLong

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/positions@securitiesMarketLongMdrm VVQMW901

69. Short 

securities 

MTM

Market value of all short securities 

positions.

M 1..1 xs:nonNegative

Integer(24)

volckerMetricsReport/tradingDesk/positions@securitiesMarketShort

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/positions@securitiesMarketShortMdrm VVQMW902

70. Derivative 

receivables 

MTM

Market value of all derivatives 

receivables.

M 1..1 xs:nonNegative

Integer(24)

volckerMetricsReport/tradingDesk/positions@derivativesMarketReceivable

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/positions@derivativesMarketReceivableMdrm VVQMY904

71. Derivative 

payable MTM

Market value of all derivatives payables. M 1..1 xs:nonNegative

Integer(24)

volckerMetricsReport/tradingDesk/positions@derivativesMarketPayable

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/positions@derivativesMarketPayableMdrm VVQMY905

Part 5. Transaction Volumes

A banking entity is required to report the Transaction Volumes quantitative measurement for trading desks that rely on § 75.4(a) or (b) to conduct underwriting activity or market making-related activity, 

respectively. 

The Transaction Volumes metric measures the security and derivative transactions conducted by a trading desk with four exclusive categories of counterparties. Specifically, a banking entity must report the 

value and number of security and derivative transactions conducted by the trading desk with: (i) customers, excluding internal transactions; (ii) non-customers, excluding internal transactions; and (iii) trading 

desks and other organizational units where the transaction is booked into an affiliated banking entity or in the same banking entity (internal transactions). For purposes of calculating the Transaction Volumes 

quantitative measurement, do not include in the Transaction Volumes calculation for “securities” those “securities” that are also “derivatives,” as those terms are defined under § 75.2(h) and (aa); instead, 

report those securities that are also derivatives as “derivatives.”40 

For securities, value means gross market value. For commodity derivatives, value means the gross notional value, i.e., the current dollar market value of the quantity of the commodity underlying the derivative 

(e.g., a derivative on 100,000 barrels of a certain grade of oil would have a notional value of 100,000 multiplied by the current market value of a barrel of that grade of oil). For all other derivatives, value means 

the gross notional value.

41

 

 

40 See § 75, Appendix A IV.c.2; see also § 75.2(h), (aa). 

41 See § 75, Appendix A IV.c.2.i.
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 25 of 104

For a trading desk engaged in market making-related activity, a counterparty is generally considered to be a customer of the trading desk if the counterparty is a market participant that makes use of the 

banking entity’s market making-related services by obtaining such services, responding to quotations, or entering into a continuing relationship with respect to such services.42 However, a trading desk or other 

organizational unit of another banking entity would not be a client or customer of the trading desk engaged in market making-related activity if the other entity has trading assets and liabilities of $50 billion or 

more as measured in accordance with § 75.20(ee), unless the market-making desk documents how and why a particular trading desk or other organizational unit of the entity should be treated as a client or

customer of the market-making desk or the transaction is conducted anonymously on an exchange or similar trading facility that permits trading on behalf of a broad range of market participants.43

For a trading desk engaged in underwriting activity, a counterparty is considered to be a customer of the trading desk if the counterparty is a market participant that may transact with the banking entity in 

connection with a particular distribution for which the banking entity is acting as underwriter.44

For purposes of the Transaction Volumes quantitative measurement, transactions conducted with customers exclude internal transactions (i.e., inter-affiliate and intra-company transactions). For purposes of 

the Transaction Volumes quantitative measurement, transactions conducted with non-customers exclude internal transactions (i.e., inter-affiliate and intra-company transactions). Material amendments to the 

economic terms of existing financial instrument contracts (other than corrections, cancellations, or exercises) are considered new trades.45 Corrections and next-day cancellations may be reported either by 

adjusting the value and volumes on the day of the original transaction or by subtracting the count and amount of the cancelled trade(s) on the day of the cancellation/correction. A banking entity should

explain significant corrections or cancellations (such as those that turn the value or volume metric negative for the day and desk on which they are reported) in the optional narrative statement. 

For each applicable trading desk,46 provide the following information for every trading day.47

Item Field Description Rqm

t

Occurs Data Type XPath Valid Value

72. Transaction 

volume 

element

Element containing the daily transaction 

volumes for a trading desk. C 0..92 [EMPTY 

ELEMENT]

volckerMetricsReport/tradingDesk/transactionVolumes

73. Trade date Provide the calendar date of the month. 

Use the format YYYY-MM-DD. M 1..1 xs:date

volckerMetricsReport/tradingDesk/transactionVolumes@transactionsDate Date format: YYYY-MM-DD

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@transactionsDateMdrm VVQ5Y899

74. Value 

customer 

securities 

transactions 

Gross market value of all securities 

transactions conducted with customers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossCustomerSecuritiesMarketValue

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@customerSecuritiesMarketValueMdrm VVQMW905

 

42 See § 75.4(b)(3); § 75, Appendix A IV.c.2.i. 

43 See § 75.4(b)(3); § 75, Appendix A IV.c.2.i.

44 See § 75.4(a)(7); § 75, Appendix A IV.c.2.i.

45 For example, unwinds, partial terminations, novations, assignments of financial instrument contracts, a change to the end date for a financial instrument contract, or a change in the cash flows or rates originally reported for a 

financial instrument contract generally should be treated as additive trade count events for purposes of the Transaction Volumes quantitative measurement.

46 See § 75, Appendix A IV.c.2.iv.

47 See § 75, Appendix A IV.c.2.
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 26 of 104

Item Field Description Rqm

t

Occurs Data Type XPath Valid Value

75. Volume 

customer 

securities 

transactions

Number of all securities transactions 

conducted with customers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossCustomerSecuritiesVolume

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@customerSecuritiesVolumeMdrm VVQMW906

76. Value 

customer 

derivatives 

transactions

Gross notional value of all derivatives 

transactions conducted with customers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossCustomerDerivativesNotionalValue

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@customerDerivativesNotionalValueMdrm VVQMW903

77. Volume 

customer 

derivatives 

transactions

Number of all derivatives transactions 

conducted with customers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossCustomerDerivativesVolume

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@customerDerivativesVolumeMdrm VVQMW904

78. Value noncustomer 

securities 

transactions 

Gross market value of all securities 

transactions conducted with noncustomers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossNonCustomerSecuritiesMarketValue

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@nonCustomerSecuritiesMarketValueMdrm VVQMW909

79. Volume noncustomer 

securities 

transactions

Number of all securities transactions 

conducted with non-customers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossNonCustomerSecuritiesVolume

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@nonCustomerSecuritiesVolumeMdrm VVQMW910

80. Value noncustomer 

derivatives 

transactions

Gross notional value of all derivatives 

transactions conducted with noncustomers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossNonCustomerDerivativesNotionalValue

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@nonCustomerDerivativesNotionalValueMdrm VVQMW907

81. Volume noncustomer 

derivatives 

transactions

Number of all derivatives transactions 

conducted with non-customers.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossNonCustomerDerivativesVolume

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@nonCustomerDerivativesVolumeMdrm VVQMW908

82. Value interaffiliate 

securities 

transactions 

Gross market value of all internal 

securities transactions.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossInternalSecuritiesMarketValue

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@InternalSecuritiesMarketValueMdrm VVQMY910

83. Volume interaffiliate 

securities 

transactions

Number of all internal securities 

transactions.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossInternalSecuritiesVolume

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@InternalSecuritiesVolumeMdrm VVQMY911

84. Value interaffiliate 

derivatives 

transactions

Gross notional value of all internal 

derivatives transactions.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossInternalDerivativesNotionalValue

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@InternalDerivativesNotionalValueMdrm VVQMY912

85. Volume interaffiliate 

derivatives 

transactions

Number of all internal derivatives 

transactions.

M 1..1 xs:integer(24) volckerMetricsReport/tradingDesk/transactionVolumes@grossInternalDerivativesVolume

C 0..1 xs:string (8) volckerMetricsReport/tradingDesk/transactionVolumes@InternalDerivativesVolumeMdrm VVQMY913
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 27 of 104

Annex A: Tables of Values from Instructions

Table A - Type of Covered Trading Activity

Code Type of Covered Trading Activity

UW Underwriting activity exempted under § 75.4(a) 

MM Market making-related activity exempted under § 75.4(b) 

Hedging Risk-mitigating hedging activity exempted under § 75.5 

US Gov Trading in domestic government obligations exempted under § 75.6(a) 

Foreign Gov Trading in foreign government obligations exempted under § 75.6(b) 

Fiduciary Fiduciary transactions exempted under § 75.6(c)(1) 

RP Riskless principal transactions exempted under § 75.6(c)(2) 

Insurance Trading by an insurance company or its affiliate exempted under § 75.6(d) 

TOTUS Trading by a foreign banking entity exempted under § 75.6(e) 

Repo Activity excluded under § 75.3(d)(1) 

Sec Lending Activity excluded under § 75.3(d)(2) 

Liquidity 

Mgmt

Activity excluded under § 75.3(d)(3) 

DCO/CA Activity excluded under § 75.3(d)(4) 

Clearing 

Member

Activity excluded under § 75.3(d)(5) 

Delivery Activity excluded under § 75.3(d)(6)(i) 

Judicial Activity excluded under § 75.3(d)(6)(ii) 

Agent Activity excluded under § 75.3(d)(7) 

Employee Activity excluded under § 75.3(d)(8) 

DPC Activity excluded under § 75.3(d)(9) 

Purchase 

Error

Activity excluded under § 75.3(d)(10)

Matched 

Swap

Activity excluded under § 75.3(d)(11)

MSR Hedge Activity excluded under § 75.3(d)(12)

NTAL Activity excluded under § 75.3(d)(13)

Table C – Limit Sources

Code Identifier

Risk App Limits informed by the firm’s risk appetite

Reg Cap Limits informed by the firm’s regulatory capital requirements

RENTD For desks claiming the underwriting or market-making exemption under § 75.4, limits informed by an 

analysis of reasonably expected near-term demand from customers or clients

Risk 

Reducing

For desks claiming the risk-mitigating hedging exemption under § 75.5, limits that ensure a set of 

positions is risk-reducing

Other Any other source of motivation for limits set by management
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 28 of 104

Annex B: XML Example

<?xml version="1.0" encoding="UTF-8"?>

<volckerMetricsReport xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="volckerrule.xsd">

<fileDescription fileVersion="01" fileVersionMdrm="VVQMR656" createDate="2020-04-30" createDateMdrm="VVQMF841"

createTime="09:30:47+05:00" createTimeMdrm="VVQMF842" asOfDate="2020-03-31" asOfDateMdrm="VVQM9999"/>

<reportingFirm firmIdentifier="9999999999" firmIdentifierMdrm="VVQM9001" firmName="The Hypothetical Bank, Inc."

firmNameMdrm="VVQM9017"/>

<internalLimitReference limitIdentifier="RPL010001" limitIdentifierMdrm="VVQTY382" limitName="VaR"

limitNameMdrm="VVQMW892" limitDescription="Value at Risk" limitDescriptionMdrm="VVQMW893" limitUnit="USD"

limitUnitMdrm="VVQMY391" limitCategory="VAR" limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="Risk Appetite" limitSourceMdrm="VVQMKY40"/>

<limitMotivation limitSource="Reg Cap" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010002" limitIdentifierMdrm="VVQTY382" limitName="Base Metals 

Position" limitNameMdrm="VVQMW892" limitDescription="Gross end of day base metals positions"

limitDescriptionMdrm="VVQMW893" limitUnit="Tons" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010003" limitIdentifierMdrm="VVQTY382" limitName="Soybeans 

(physical)" limitNameMdrm="VVQMW892" limitDescription="Gross end of day physical soybean positions (beans/meal/oil)"

limitDescriptionMdrm="VVQMW893" limitUnit="Tons" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010004" limitIdentifierMdrm="VVQTY382" limitName="SVaR"

limitNameMdrm="VVQMW892" limitDescription="Stressed Value at Risk" limitDescriptionMdrm="VVQMW893" limitUnit="USD"

limitUnitMdrm="VVQMY391" limitCategory="VAR" limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="Reg Cap" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010005" limitIdentifierMdrm="VVQTY382" limitName="Base Metals 

Turnover" limitNameMdrm="VVQMW892" limitDescription="Net end of day turnover rate across all base metals commodity 

contracts" limitDescriptionMdrm="VVQMW893" limitUnit="Percent" limitUnitMdrm="VVQMY391" limitCategory="OTHER"

limitCategoryMdrm="VVQMW896" limitOtherDescription="Used to monitor consumption rate versus acquisition."

limitOtherDescriptionMdrm="VVQMW894">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010006" limitIdentifierMdrm="VVQTY382" limitName="Foreign Exchange"

limitNameMdrm="VVQMW892" limitDescription="Net end of day USD equivalent notional value across all FX contracts"

limitDescriptionMdrm="VVQMW893" limitUnit="USD" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010007" limitIdentifierMdrm="VVQTY382" limitName="USDJPY Position"

limitNameMdrm="VVQMW892" limitDescription="Net end of day USD equivalent notional value of all all USDJPY FX contracts"

limitDescriptionMdrm="VVQMW893" limitUnit="USD" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010008" limitIdentifierMdrm="VVQTY382" limitName="USDEUR Position"

limitNameMdrm="VVQMW892" limitDescription="Net end of day USD equivalent notional value of all all USDEUR FX contracts"

limitDescriptionMdrm="VVQMW893" limitUnit="USD" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010009" limitIdentifierMdrm="VVQTY382" limitName="USDGBP Position"

limitNameMdrm="VVQMW892" limitDescription="Net end of day USD equivalent notional value of all all USDGBP FX contracts"

limitDescriptionMdrm="VVQMW893" limitUnit="USD" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010010" limitIdentifierMdrm="VVQTY382" limitName="USDGBP Position"

limitNameMdrm="VVQMW892" limitDescription="Net end of day USD equivalent notional value of all all USDGBP FX contracts "

limitDescriptionMdrm="VVQMW893" limitUnit="USD" limitUnitMdrm="VVQMY391" limitCategory="POS"

limitCategoryMdrm="VVQMW896">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 29 of 104

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010013" limitIdentifierMdrm="VVQTY382" limitName="Commodities OTC 

Vega" limitNameMdrm="VVQMW892" limitDescription="Net end of day vega (volatility surface) of all OTC commodity 

positions" limitDescriptionMdrm="VVQMW893" limitUnit="USD" limitUnitMdrm="VVQMY391" limitCategory="SENS"

limitCategoryMdrm="VVQMW896" riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQXT090">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<internalLimitReference limitIdentifier="RPL010014" limitIdentifierMdrm="VVQTY382" limitName="Base Metals OTC 

Delta" limitNameMdrm="VVQMW892" limitDescription="Weighted delta value measured across all base metals commodity 

contracts" limitDescriptionMdrm="VVQMW893" limitUnit="Basis Points" limitUnitMdrm="VVQMY391" limitCategory="SENS"

limitCategoryMdrm="VVQMW896" riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQXT090">

<limitMotivation limitSource="RENTD" limitSourceMdrm="VVQMKY40"/>

</internalLimitReference>

<riskAttributionFactorReference riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQTT090" riskFactorAttributionName="Commodity OTC Vega"

riskFactorAttributionNameMdrm="VVQMW898" riskFactorAttributionDescription="Volatility surface sensitivity across all 

commodity OTC contracts" riskFactorAttributionDescriptionMdrm="VVQMW899" riskFactorAttributionUnit="Percent"

riskFactorAttributionUnitMdrm="VVQTY394"/>

<riskAttributionFactorReference riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQTT090" riskFactorAttributionName="Base Metals OTC Delta"

riskFactorAttributionNameMdrm="VVQMW898" riskFactorAttributionDescription="Weighted delta value measured across all base 

metals commodity contracts" riskFactorAttributionDescriptionMdrm="VVQMW899" riskFactorAttributionUnit="Percent"

riskFactorAttributionUnitMdrm="VVQTY394"/>

<riskAttributionFactorReference riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQTT090" riskFactorAttributionName="Commodity OTC Delta"

riskFactorAttributionNameMdrm="VVQMW898" riskFactorAttributionDescription="Weighted delta value measured across all 

commodity contracts" riskFactorAttributionDescriptionMdrm="VVQMW899" riskFactorAttributionUnit="Percent"

riskFactorAttributionUnitMdrm="VVQTY394"/>

<riskAttributionFactorReference riskFactorAttributionIdentifier="RAFS030004"

riskFactorAttributionIdentifierMdrm="VVQTT090" riskFactorAttributionName="Soybean Delta"

riskFactorAttributionNameMdrm="VVQMW898" riskFactorAttributionDescription="Delta measured across all soybean contracts"

riskFactorAttributionDescriptionMdrm="VVQMW899" riskFactorAttributionUnit="Percent"

riskFactorAttributionUnitMdrm="VVQTY394"/>

<riskAttributionFactorReference riskFactorAttributionIdentifier="RAFS030005"

riskFactorAttributionIdentifierMdrm="VVQTT090" riskFactorAttributionName="Foreign Exchange Vega"

riskFactorAttributionNameMdrm="VVQMW898" riskFactorAttributionDescription="Weighted average foreign exhange volatility 

surface sensitivity across all FX contracts" riskFactorAttributionDescriptionMdrm="VVQMW899"

riskFactorAttributionUnit="Percent" riskFactorAttributionUnitMdrm="VVQTY394"/>

<riskAttributionFactorReference riskFactorAttributionIdentifier="RAFS030006"

riskFactorAttributionIdentifierMdrm="VVQTT090" riskFactorAttributionName="Foreign Exchange Delta"

riskFactorAttributionNameMdrm="VVQMW898" riskFactorAttributionDescription="Weighted average foreign exhange delta across 

all FX contracts" riskFactorAttributionDescriptionMdrm="VVQMW899" riskFactorAttributionUnit="Percent"

riskFactorAttributionUnitMdrm="VVQTY394"/>

<tradingDesk deskName="Commodities" deskNameMdrm="VVQMY384" deskIdentifier="HBB01" deskIDMdrm="VVQMY383"

deskDescription="Market making and hedging in commodities, including physical, futures, and bespoke contracts"

deskDescriptionMdrm="VVQMW891" currency="USD" currencyMdrm="VVQMY385" reportedCFTC="1" reportedCFTCMdrm="VVQMKY41"

reportedFDIC="0" reportedFDICMdrm="VVQMKY42" reportedFRB="1" reportedFRBMdrm="VVQMKY43" reportedOCC="0"

reportedOCCMdrm="VVQMKY44" reportedSEC="0" reportedSECMdrm="VVQMKY45">

<coveredActivity tradingActivity="MM" tradingActivityMdrm="VVQMW890"/>

<coveredActivity tradingActivity="Hedging" tradingActivityMdrm="VVQMW890"/>

<coveredActivity tradingActivity="Agent" tradingActivityMdrm="VVQMW890"/>

<dailyDeskInfo calendarDate="2020-01-01" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-02" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-03" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-04" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-05" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-06" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-07" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-08" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-09" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 30 of 104

<dailyDeskInfo calendarDate="2020-01-10" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-11" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-12" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-13" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-14" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-15" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-16" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-17" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-18" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-19" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-20" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-21" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-22" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-23" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-24" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-25" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-26" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-27" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-28" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-29" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-30" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-01-31" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-01" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-02" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-03" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-04" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-05" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-06" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-07" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-08" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-09" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-10" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-11" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-12" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-13" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-14" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 31 of 104

<dailyDeskInfo calendarDate="2020-02-15" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-16" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-17" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-18" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-19" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-20" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-21" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-22" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-23" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-24" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-25" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-26" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-27" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-28" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-02-29" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-01" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-02" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-03" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-04" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-05" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-06" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-07" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-08" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-09" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-10" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-11" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-12" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-13" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-14" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-15" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-16" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-17" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-18" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-19" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-20" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-21" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 32 of 104

<dailyDeskInfo calendarDate="2020-03-22" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-23" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-24" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-25" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-26" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-27" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-28" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-29" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-30" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-31" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<internalLimitsAndUsage limitIdentifier="RPL010001" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-01-02" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6000000" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-03" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6374633" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-06" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6712625" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-07" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6804864" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-08" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6706308" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-09" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6621097" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-10" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6237450" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-13" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6431396" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-14" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6281612" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-15" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6535425" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-16" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6862374" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-17" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6658967" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-21" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="6169080" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-22" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5899722" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-23" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5797823" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-24" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5658706" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-27" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5625792" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-28" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5260999" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-29" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5120676" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-30" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4792744" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-31" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5084779" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-03" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4885894" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-04" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5168689" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-05" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4798387" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-06" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4489002" usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 33 of 104

<limitDailySchedule limitDate="2020-02-07" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4162007" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-10" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3711855" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-11" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3324866" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-12" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3781832" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-13" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3649210" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-14" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4093212" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-18" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3734035" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-19" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3659461" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-20" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3191716" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-21" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3156306" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-24" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3456209" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-25" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3725420" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-26" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3522868" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-27" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3873759" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-28" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4194058" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-02" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4096532" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-03" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3688339" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4009767" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3829660" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4234023" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4384842" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3968494" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="3941463" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4123915" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4218996" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4360319" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4374462" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4825581" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4988924" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4951498" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5176801" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5525632" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5336384" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5302985" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5398506" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="5070796" usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 34 of 104

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="15000000"

upperLimitSizeMdrm="VVQMFC41" usage="4936043" usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<internalLimitsAndUsage limitIdentifier="RPL010002" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-01-02" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="100536"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-03" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="95873"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-06" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="98816"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-07" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="102238"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-08" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="95896"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-09" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="102169"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-10" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101314"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-13" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="105707"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-14" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="110079"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-15" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="108025"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-16" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101655"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-17" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101147"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-21" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="107182"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-22" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101463"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-23" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="108167"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-24" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="106184"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-27" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="111817"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-28" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="107706"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-29" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="109523"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-30" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="115146"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-31" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="110769"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-03" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="108718"

usageMdrm="VVQMY390"/>
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<limitDailySchedule limitDate="2020-02-04" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="103494"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-05" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="110086"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-06" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="108732"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-07" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="110424"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-10" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="108847"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-11" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="107233"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-12" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="105602"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-13" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101356"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-14" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="96158"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-18" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="100919"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-19" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101399"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-20" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="97908"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-21" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="99505"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-24" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="105062"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-25" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="105279"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-26" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101363"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-27" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="95148"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-28" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="88271"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-02" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="84812"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-03" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="89649"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="83953"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="77900"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="72612"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="75054"

usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 36 of 104

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="78347"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="78253"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="84422"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="79316"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="81995"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="88109"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="89943"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="95230"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="98036"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="102022"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="96516"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="91002"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="92218"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="95957"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="98175"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="200000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000" lowerLimitSizeMdrm="VVQMFC42" usage="101919"

usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<internalLimitsAndUsage limitIdentifier="RPL010003" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-01-02" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6000" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-03" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5636" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-06" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5781" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-07" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5947" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-08" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6270" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-09" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5981" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-10" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6195" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-13" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5702" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-14" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6038" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-15" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6481" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-16" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6583" usageMdrm="VVQMY390"/>
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November 16, 2020 Page 37 of 104

<limitDailySchedule limitDate="2020-01-17" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6786" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-21" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6980" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-22" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6866" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-23" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7184" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-24" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6748" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-27" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6767" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-28" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7205" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-29" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7421" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-30" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6960" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-31" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6579" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-03" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6825" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-04" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7164" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-05" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7022" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-06" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7424" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-07" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7215" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-10" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7023" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-11" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="7130" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-12" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6730" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-13" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6401" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-14" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6016" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-18" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="6048" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-19" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5882" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-20" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5935" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-21" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5924" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-24" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5465" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-25" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5340" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-26" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5219" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-27" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="5122" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-28" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="4908" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-02" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="4598" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-03" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="4495" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="7500"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-7500" lowerLimitSizeMdrm="VVQMFC42" usage="4016" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="4208" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="3775" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="3405" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="2928" usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

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<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="2546" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="2380" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="2421" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="2167" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1937" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="2403" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1996" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1547" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1336" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1726" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1561" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1270" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1142" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1484" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="6000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-6000" lowerLimitSizeMdrm="VVQMFC42" usage="1566" usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<internalLimitsAndUsage limitIdentifier="RPL010004" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-01-02" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31645237" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-03" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31559233" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-06" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31169217" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-07" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32051696" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-08" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32851771" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-09" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33657086" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-10" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34157450" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-13" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34183704" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-14" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34663470" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-15" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34329322" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-16" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="35076928" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-17" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34899405" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-21" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34443186" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-22" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34256722" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-23" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33636699" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-24" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32761107" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-27" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31884599" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-28" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31215497" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-29" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31391335" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-30" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="30583293" usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 39 of 104

<limitDailySchedule limitDate="2020-01-31" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31459034" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-03" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32446214" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-04" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32619146" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-05" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33002651" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-06" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32459489" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-07" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31723170" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-10" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32174096" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-11" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31881416" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-12" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32868312" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-13" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32244370" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-14" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32261176" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-18" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31863505" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-19" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="31841603" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-20" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32759904" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-21" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32911397" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-24" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33771999" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-25" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33082956" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-26" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32264772" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-27" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32310522" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-28" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32873111" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-02" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32510682" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-03" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32150598" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32775933" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33671384" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34258349" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34302018" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="35122458" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34158832" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33627967" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33157971" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32247436" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32174650" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="32883203" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="33344740" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34239014" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34705776" usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 40 of 104

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34725078" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="34899859" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="35458073" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="35823186" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="35656646" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="40000000"

upperLimitSizeMdrm="VVQMFC41" usage="35138358" usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<internalLimitsAndUsage limitIdentifier="RPL010005" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-01-02" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="23.6" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-03" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="23.79" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-06" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="24.76" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-07" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="24.55" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-08" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="24.7" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-09" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="25.47" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-10" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="24.73" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-13" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="25.49" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-14" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.48" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-15" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.04" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-16" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.41" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-17" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.67" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-21" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.55" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-22" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.89" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-23" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="26.93" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-24" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="27.43" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-27" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="27.59" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-28" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.27" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-29" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.32" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-30" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.87" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-01-31" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.99" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-03" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="29.39" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-04" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="29.1" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-05" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.5" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-06" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.63" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-07" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.12" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-10" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="28.93" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-11" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="29.88" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-12" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.73" usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 41 of 104

<limitDailySchedule limitDate="2020-02-13" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="29.88" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-14" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.44" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-18" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="29.57" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-19" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="29.82" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-20" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.67" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-21" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.61" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-24" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.52" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-25" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.32" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-26" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.77" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-27" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-02-28" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.28" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-02" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.7" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-03" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.9" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.88" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.65" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.27" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.07" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.43" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.48" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.39" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.53" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="30.68" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.51" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.49" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="32.01" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.83" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.66" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="32.26" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.88" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.99" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.47" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.07" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" lowerLimitSize="10"

lowerLimitSizeMdrm="VVQMFC42" usage="31.99" usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<valueAtRisk varDate="2020-01-02" varDateMdrm="VVQ2Y899" var="6000000" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-03" varDateMdrm="VVQ2Y899" var="6374633" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-06" varDateMdrm="VVQ2Y899" var="6712625" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-07" varDateMdrm="VVQ2Y899" var="6804864" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-08" varDateMdrm="VVQ2Y899" var="6706308" varMdrm="VVQMY396"/>
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November 16, 2020 Page 42 of 104

<valueAtRisk varDate="2020-01-09" varDateMdrm="VVQ2Y899" var="6621097" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-10" varDateMdrm="VVQ2Y899" var="6237450" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-13" varDateMdrm="VVQ2Y899" var="6431396" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-14" varDateMdrm="VVQ2Y899" var="6281612" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-15" varDateMdrm="VVQ2Y899" var="6535425" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-16" varDateMdrm="VVQ2Y899" var="6862374" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-17" varDateMdrm="VVQ2Y899" var="6658967" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-21" varDateMdrm="VVQ2Y899" var="6169080" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-22" varDateMdrm="VVQ2Y899" var="5899722" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-23" varDateMdrm="VVQ2Y899" var="5797823" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-24" varDateMdrm="VVQ2Y899" var="5658706" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-27" varDateMdrm="VVQ2Y899" var="5625792" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-28" varDateMdrm="VVQ2Y899" var="5260999" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-29" varDateMdrm="VVQ2Y899" var="5120676" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-30" varDateMdrm="VVQ2Y899" var="4792744" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-01-31" varDateMdrm="VVQ2Y899" var="5084779" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-03" varDateMdrm="VVQ2Y899" var="4885894" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-04" varDateMdrm="VVQ2Y899" var="5168689" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-05" varDateMdrm="VVQ2Y899" var="4798387" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-06" varDateMdrm="VVQ2Y899" var="4489002" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-07" varDateMdrm="VVQ2Y899" var="4162007" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-10" varDateMdrm="VVQ2Y899" var="3711855" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-11" varDateMdrm="VVQ2Y899" var="3324866" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-12" varDateMdrm="VVQ2Y899" var="3781832" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-13" varDateMdrm="VVQ2Y899" var="3649210" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-14" varDateMdrm="VVQ2Y899" var="4093212" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-18" varDateMdrm="VVQ2Y899" var="3734035" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-19" varDateMdrm="VVQ2Y899" var="3659461" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-20" varDateMdrm="VVQ2Y899" var="3191716" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-21" varDateMdrm="VVQ2Y899" var="3156306" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-24" varDateMdrm="VVQ2Y899" var="3456209" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-25" varDateMdrm="VVQ2Y899" var="3725420" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-26" varDateMdrm="VVQ2Y899" var="3522868" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-27" varDateMdrm="VVQ2Y899" var="3873759" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-02-28" varDateMdrm="VVQ2Y899" var="4194058" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-02" varDateMdrm="VVQ2Y899" var="4096532" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-03" varDateMdrm="VVQ2Y899" var="3688339" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-04" varDateMdrm="VVQ2Y899" var="4009767" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-05" varDateMdrm="VVQ2Y899" var="3829660" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-06" varDateMdrm="VVQ2Y899" var="4234023" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-09" varDateMdrm="VVQ2Y899" var="4384842" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-10" varDateMdrm="VVQ2Y899" var="3968494" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-11" varDateMdrm="VVQ2Y899" var="3941463" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-12" varDateMdrm="VVQ2Y899" var="4123915" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-13" varDateMdrm="VVQ2Y899" var="4218996" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-16" varDateMdrm="VVQ2Y899" var="4360319" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-17" varDateMdrm="VVQ2Y899" var="4374462" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-18" varDateMdrm="VVQ2Y899" var="4825581" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-19" varDateMdrm="VVQ2Y899" var="4988924" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-20" varDateMdrm="VVQ2Y899" var="4951498" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-23" varDateMdrm="VVQ2Y899" var="5176801" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-24" varDateMdrm="VVQ2Y899" var="5525632" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-25" varDateMdrm="VVQ2Y899" var="5336384" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-26" varDateMdrm="VVQ2Y899" var="5302985" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-27" varDateMdrm="VVQ2Y899" var="5398506" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-30" varDateMdrm="VVQ2Y899" var="5070796" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-31" varDateMdrm="VVQ2Y899" var="4936043" varMdrm="VVQMY396"/>

<profitAndLossAttribution plDate="2020-01-02" plDateMdrm="VVQ3Y899" comprehensive="16650000000"

comprehensiveMdrm="VVQMY398" existingPositions="10500000000" existingPositionsMdrm="VVQMY399" newPositions="3000000000"

newPositionsMdrm="VVQMY400" otherAttributable="225000000" otherAttributableMdrm="VVQMY401" riskChange="75000000"

riskChangeMdrm="VVQMY402" cashFlow="75000000" cashFlowMdrm="VVQMY403" carry="75000000" carryMdrm="VVQMY404"

valuation="2250000000" valuationMdrm="VVQMY405" tradeChanges="150000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="300000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1155000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="112500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13500000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-03" plDateMdrm="VVQ3Y899" comprehensive="16761000000"

comprehensiveMdrm="VVQMY398" existingPositions="10570000000" existingPositionsMdrm="VVQMY399" newPositions="3020000000"
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November 16, 2020 Page 43 of 104

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="75500000"

riskChangeMdrm="VVQMY402" cashFlow="75500000" cashFlowMdrm="VVQMY403" carry="75500000" carryMdrm="VVQMY404"

valuation="2265000000" valuationMdrm="VVQMY405" tradeChanges="151000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="302000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1162700000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="113250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-06" plDateMdrm="VVQ3Y899" comprehensive="16872000000"

comprehensiveMdrm="VVQMY398" existingPositions="10640000000" existingPositionsMdrm="VVQMY399" newPositions="3040000000"

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="76000000"

riskChangeMdrm="VVQMY402" cashFlow="76000000" cashFlowMdrm="VVQMY403" carry="76000000" carryMdrm="VVQMY404"

valuation="2280000000" valuationMdrm="VVQMY405" tradeChanges="152000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="304000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1170400000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13680000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-07" plDateMdrm="VVQ3Y899" comprehensive="16983000000"

comprehensiveMdrm="VVQMY398" existingPositions="10710000000" existingPositionsMdrm="VVQMY399" newPositions="3060000000"

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="76500000"

riskChangeMdrm="VVQMY402" cashFlow="76500000" cashFlowMdrm="VVQMY403" carry="76500000" carryMdrm="VVQMY404"

valuation="2295000000" valuationMdrm="VVQMY405" tradeChanges="153000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="306000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1178100000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13770000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-08" plDateMdrm="VVQ3Y899" comprehensive="17094000000"

comprehensiveMdrm="VVQMY398" existingPositions="10780000000" existingPositionsMdrm="VVQMY399" newPositions="3080000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="77000000"

riskChangeMdrm="VVQMY402" cashFlow="77000000" cashFlowMdrm="VVQMY403" carry="77000000" carryMdrm="VVQMY404"

valuation="2310000000" valuationMdrm="VVQMY405" tradeChanges="154000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="308000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1185800000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="115500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-09" plDateMdrm="VVQ3Y899" comprehensive="17205000000"

comprehensiveMdrm="VVQMY398" existingPositions="10850000000" existingPositionsMdrm="VVQMY399" newPositions="3100000000"

newPositionsMdrm="VVQMY400" otherAttributable="232500000" otherAttributableMdrm="VVQMY401" riskChange="77500000"

riskChangeMdrm="VVQMY402" cashFlow="77500000" cashFlowMdrm="VVQMY403" carry="77500000" carryMdrm="VVQMY404"

valuation="2325000000" valuationMdrm="VVQMY405" tradeChanges="155000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="310000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1193500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="116250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-10" plDateMdrm="VVQ3Y899" comprehensive="17316000000"

comprehensiveMdrm="VVQMY398" existingPositions="10920000000" existingPositionsMdrm="VVQMY399" newPositions="3120000000"

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="78000000"

riskChangeMdrm="VVQMY402" cashFlow="78000000" cashFlowMdrm="VVQMY403" carry="78000000" carryMdrm="VVQMY404"

valuation="2340000000" valuationMdrm="VVQMY405" tradeChanges="156000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="312000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1201200000" valueMdrm="VVQMY414"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 44 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-13" plDateMdrm="VVQ3Y899" comprehensive="17427000000"

comprehensiveMdrm="VVQMY398" existingPositions="10990000000" existingPositionsMdrm="VVQMY399" newPositions="3140000000"

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="78500000"

riskChangeMdrm="VVQMY402" cashFlow="78500000" cashFlowMdrm="VVQMY403" carry="78500000" carryMdrm="VVQMY404"

valuation="2355000000" valuationMdrm="VVQMY405" tradeChanges="157000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="314000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1208900000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

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comprehensiveMdrm="VVQMY398" existingPositions="11060000000" existingPositionsMdrm="VVQMY399" newPositions="3160000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="79000000"

riskChangeMdrm="VVQMY402" cashFlow="79000000" cashFlowMdrm="VVQMY403" carry="79000000" carryMdrm="VVQMY404"

valuation="2370000000" valuationMdrm="VVQMY405" tradeChanges="158000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="316000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1216600000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="118500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

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comprehensiveMdrm="VVQMY398" existingPositions="11130000000" existingPositionsMdrm="VVQMY399" newPositions="3180000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="79500000"

riskChangeMdrm="VVQMY402" cashFlow="79500000" cashFlowMdrm="VVQMY403" carry="79500000" carryMdrm="VVQMY404"

valuation="2385000000" valuationMdrm="VVQMY405" tradeChanges="159000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="318000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1224300000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="119250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-16" plDateMdrm="VVQ3Y899" comprehensive="17760000000"

comprehensiveMdrm="VVQMY398" existingPositions="11200000000" existingPositionsMdrm="VVQMY399" newPositions="3200000000"

newPositionsMdrm="VVQMY400" otherAttributable="240000000" otherAttributableMdrm="VVQMY401" riskChange="80000000"

riskChangeMdrm="VVQMY402" cashFlow="80000000" cashFlowMdrm="VVQMY403" carry="80000000" carryMdrm="VVQMY404"

valuation="2400000000" valuationMdrm="VVQMY405" tradeChanges="160000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="320000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1232000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="120000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14400000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-17" plDateMdrm="VVQ3Y899" comprehensive="17649000000"

comprehensiveMdrm="VVQMY398" existingPositions="11130000000" existingPositionsMdrm="VVQMY399" newPositions="3180000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="79500000"

riskChangeMdrm="VVQMY402" cashFlow="79500000" cashFlowMdrm="VVQMY403" carry="79500000" carryMdrm="VVQMY404"

valuation="2385000000" valuationMdrm="VVQMY405" tradeChanges="159000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="318000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1224300000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="119250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-21" plDateMdrm="VVQ3Y899" comprehensive="17538000000"

comprehensiveMdrm="VVQMY398" existingPositions="11060000000" existingPositionsMdrm="VVQMY399" newPositions="3160000000"
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November 16, 2020 Page 45 of 104

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="79000000"

riskChangeMdrm="VVQMY402" cashFlow="79000000" cashFlowMdrm="VVQMY403" carry="79000000" carryMdrm="VVQMY404"

valuation="2370000000" valuationMdrm="VVQMY405" tradeChanges="158000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="316000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1216600000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="118500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-22" plDateMdrm="VVQ3Y899" comprehensive="17427000000"

comprehensiveMdrm="VVQMY398" existingPositions="10990000000" existingPositionsMdrm="VVQMY399" newPositions="3140000000"

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="78500000"

riskChangeMdrm="VVQMY402" cashFlow="78500000" cashFlowMdrm="VVQMY403" carry="78500000" carryMdrm="VVQMY404"

valuation="2355000000" valuationMdrm="VVQMY405" tradeChanges="157000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="314000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1208900000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-23" plDateMdrm="VVQ3Y899" comprehensive="17316000000"

comprehensiveMdrm="VVQMY398" existingPositions="10920000000" existingPositionsMdrm="VVQMY399" newPositions="3120000000"

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="78000000"

riskChangeMdrm="VVQMY402" cashFlow="78000000" cashFlowMdrm="VVQMY403" carry="78000000" carryMdrm="VVQMY404"

valuation="2340000000" valuationMdrm="VVQMY405" tradeChanges="156000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="312000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1201200000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-24" plDateMdrm="VVQ3Y899" comprehensive="17205000000"

comprehensiveMdrm="VVQMY398" existingPositions="10850000000" existingPositionsMdrm="VVQMY399" newPositions="3100000000"

newPositionsMdrm="VVQMY400" otherAttributable="232500000" otherAttributableMdrm="VVQMY401" riskChange="77500000"

riskChangeMdrm="VVQMY402" cashFlow="77500000" cashFlowMdrm="VVQMY403" carry="77500000" carryMdrm="VVQMY404"

valuation="2325000000" valuationMdrm="VVQMY405" tradeChanges="155000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="310000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1193500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="116250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-27" plDateMdrm="VVQ3Y899" comprehensive="17094000000"

comprehensiveMdrm="VVQMY398" existingPositions="10780000000" existingPositionsMdrm="VVQMY399" newPositions="3080000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="77000000"

riskChangeMdrm="VVQMY402" cashFlow="77000000" cashFlowMdrm="VVQMY403" carry="77000000" carryMdrm="VVQMY404"

valuation="2310000000" valuationMdrm="VVQMY405" tradeChanges="154000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="308000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1185800000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="115500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13860000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-28" plDateMdrm="VVQ3Y899" comprehensive="16983000000"

comprehensiveMdrm="VVQMY398" existingPositions="10710000000" existingPositionsMdrm="VVQMY399" newPositions="3060000000"

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="76500000"

riskChangeMdrm="VVQMY402" cashFlow="76500000" cashFlowMdrm="VVQMY403" carry="76500000" carryMdrm="VVQMY404"

valuation="2295000000" valuationMdrm="VVQMY405" tradeChanges="153000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="306000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1178100000" valueMdrm="VVQMY414"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 46 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13770000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-29" plDateMdrm="VVQ3Y899" comprehensive="16872000000"

comprehensiveMdrm="VVQMY398" existingPositions="10640000000" existingPositionsMdrm="VVQMY399" newPositions="3040000000"

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="76000000"

riskChangeMdrm="VVQMY402" cashFlow="76000000" cashFlowMdrm="VVQMY403" carry="76000000" carryMdrm="VVQMY404"

valuation="2280000000" valuationMdrm="VVQMY405" tradeChanges="152000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="304000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1170400000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13680000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-30" plDateMdrm="VVQ3Y899" comprehensive="16761000000"

comprehensiveMdrm="VVQMY398" existingPositions="10570000000" existingPositionsMdrm="VVQMY399" newPositions="3020000000"

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="75500000"

riskChangeMdrm="VVQMY402" cashFlow="75500000" cashFlowMdrm="VVQMY403" carry="75500000" carryMdrm="VVQMY404"

valuation="2265000000" valuationMdrm="VVQMY405" tradeChanges="151000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="302000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1162700000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="113250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-01-31" plDateMdrm="VVQ3Y899" comprehensive="16650000000"

comprehensiveMdrm="VVQMY398" existingPositions="10500000000" existingPositionsMdrm="VVQMY399" newPositions="3000000000"

newPositionsMdrm="VVQMY400" otherAttributable="225000000" otherAttributableMdrm="VVQMY401" riskChange="75000000"

riskChangeMdrm="VVQMY402" cashFlow="75000000" cashFlowMdrm="VVQMY403" carry="75000000" carryMdrm="VVQMY404"

valuation="2250000000" valuationMdrm="VVQMY405" tradeChanges="150000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="300000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1155000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="112500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13500000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-03" plDateMdrm="VVQ3Y899" comprehensive="16650000000"

comprehensiveMdrm="VVQMY398" existingPositions="10500000000" existingPositionsMdrm="VVQMY399" newPositions="3000000000"

newPositionsMdrm="VVQMY400" otherAttributable="225000000" otherAttributableMdrm="VVQMY401" riskChange="75000000"

riskChangeMdrm="VVQMY402" cashFlow="75000000" cashFlowMdrm="VVQMY403" carry="75000000" carryMdrm="VVQMY404"

valuation="2250000000" valuationMdrm="VVQMY405" tradeChanges="150000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="300000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1155000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="112500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13500000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-04" plDateMdrm="VVQ3Y899" comprehensive="16761000000"

comprehensiveMdrm="VVQMY398" existingPositions="10570000000" existingPositionsMdrm="VVQMY399" newPositions="3020000000"

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="75500000"

riskChangeMdrm="VVQMY402" cashFlow="75500000" cashFlowMdrm="VVQMY403" carry="75500000" carryMdrm="VVQMY404"

valuation="2265000000" valuationMdrm="VVQMY405" tradeChanges="151000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="302000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1162700000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="113250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-05" plDateMdrm="VVQ3Y899" comprehensive="16872000000"

comprehensiveMdrm="VVQMY398" existingPositions="10640000000" existingPositionsMdrm="VVQMY399" newPositions="3040000000"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 47 of 104

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="76000000"

riskChangeMdrm="VVQMY402" cashFlow="76000000" cashFlowMdrm="VVQMY403" carry="76000000" carryMdrm="VVQMY404"

valuation="2280000000" valuationMdrm="VVQMY405" tradeChanges="152000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="304000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1170400000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13680000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-06" plDateMdrm="VVQ3Y899" comprehensive="16983000000"

comprehensiveMdrm="VVQMY398" existingPositions="10710000000" existingPositionsMdrm="VVQMY399" newPositions="3060000000"

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="76500000"

riskChangeMdrm="VVQMY402" cashFlow="76500000" cashFlowMdrm="VVQMY403" carry="76500000" carryMdrm="VVQMY404"

valuation="2295000000" valuationMdrm="VVQMY405" tradeChanges="153000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="306000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1178100000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13770000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-07" plDateMdrm="VVQ3Y899" comprehensive="17094000000"

comprehensiveMdrm="VVQMY398" existingPositions="10780000000" existingPositionsMdrm="VVQMY399" newPositions="3080000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="77000000"

riskChangeMdrm="VVQMY402" cashFlow="77000000" cashFlowMdrm="VVQMY403" carry="77000000" carryMdrm="VVQMY404"

valuation="2310000000" valuationMdrm="VVQMY405" tradeChanges="154000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="308000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1185800000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="115500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-10" plDateMdrm="VVQ3Y899" comprehensive="17205000000"

comprehensiveMdrm="VVQMY398" existingPositions="10850000000" existingPositionsMdrm="VVQMY399" newPositions="3100000000"

newPositionsMdrm="VVQMY400" otherAttributable="232500000" otherAttributableMdrm="VVQMY401" riskChange="77500000"

riskChangeMdrm="VVQMY402" cashFlow="77500000" cashFlowMdrm="VVQMY403" carry="77500000" carryMdrm="VVQMY404"

valuation="2325000000" valuationMdrm="VVQMY405" tradeChanges="155000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="310000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1193500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="116250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-11" plDateMdrm="VVQ3Y899" comprehensive="17316000000"

comprehensiveMdrm="VVQMY398" existingPositions="10920000000" existingPositionsMdrm="VVQMY399" newPositions="3120000000"

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="78000000"

riskChangeMdrm="VVQMY402" cashFlow="78000000" cashFlowMdrm="VVQMY403" carry="78000000" carryMdrm="VVQMY404"

valuation="2340000000" valuationMdrm="VVQMY405" tradeChanges="156000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="312000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1201200000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-12" plDateMdrm="VVQ3Y899" comprehensive="17427000000"

comprehensiveMdrm="VVQMY398" existingPositions="10990000000" existingPositionsMdrm="VVQMY399" newPositions="3140000000"

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="78500000"

riskChangeMdrm="VVQMY402" cashFlow="78500000" cashFlowMdrm="VVQMY403" carry="78500000" carryMdrm="VVQMY404"

valuation="2355000000" valuationMdrm="VVQMY405" tradeChanges="157000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="314000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1208900000" valueMdrm="VVQMY414"/>
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November 16, 2020 Page 48 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-13" plDateMdrm="VVQ3Y899" comprehensive="17538000000"

comprehensiveMdrm="VVQMY398" existingPositions="11060000000" existingPositionsMdrm="VVQMY399" newPositions="3160000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="79000000"

riskChangeMdrm="VVQMY402" cashFlow="79000000" cashFlowMdrm="VVQMY403" carry="79000000" carryMdrm="VVQMY404"

valuation="2370000000" valuationMdrm="VVQMY405" tradeChanges="158000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="316000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1216600000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="118500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-14" plDateMdrm="VVQ3Y899" comprehensive="17649000000"

comprehensiveMdrm="VVQMY398" existingPositions="11130000000" existingPositionsMdrm="VVQMY399" newPositions="3180000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="79500000"

riskChangeMdrm="VVQMY402" cashFlow="79500000" cashFlowMdrm="VVQMY403" carry="79500000" carryMdrm="VVQMY404"

valuation="2385000000" valuationMdrm="VVQMY405" tradeChanges="159000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="318000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1224300000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="119250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-18" plDateMdrm="VVQ3Y899" comprehensive="17760000000"

comprehensiveMdrm="VVQMY398" existingPositions="11200000000" existingPositionsMdrm="VVQMY399" newPositions="3200000000"

newPositionsMdrm="VVQMY400" otherAttributable="240000000" otherAttributableMdrm="VVQMY401" riskChange="80000000"

riskChangeMdrm="VVQMY402" cashFlow="80000000" cashFlowMdrm="VVQMY403" carry="80000000" carryMdrm="VVQMY404"

valuation="2400000000" valuationMdrm="VVQMY405" tradeChanges="160000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="320000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1232000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="120000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14400000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-19" plDateMdrm="VVQ3Y899" comprehensive="17649000000"

comprehensiveMdrm="VVQMY398" existingPositions="11130000000" existingPositionsMdrm="VVQMY399" newPositions="3180000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="79500000"

riskChangeMdrm="VVQMY402" cashFlow="79500000" cashFlowMdrm="VVQMY403" carry="79500000" carryMdrm="VVQMY404"

valuation="2385000000" valuationMdrm="VVQMY405" tradeChanges="159000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="318000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1224300000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="119250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-20" plDateMdrm="VVQ3Y899" comprehensive="17538000000"

comprehensiveMdrm="VVQMY398" existingPositions="11060000000" existingPositionsMdrm="VVQMY399" newPositions="3160000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="79000000"

riskChangeMdrm="VVQMY402" cashFlow="79000000" cashFlowMdrm="VVQMY403" carry="79000000" carryMdrm="VVQMY404"

valuation="2370000000" valuationMdrm="VVQMY405" tradeChanges="158000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="316000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1216600000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="118500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-21" plDateMdrm="VVQ3Y899" comprehensive="17427000000"

comprehensiveMdrm="VVQMY398" existingPositions="10990000000" existingPositionsMdrm="VVQMY399" newPositions="3140000000"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 49 of 104

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="78500000"

riskChangeMdrm="VVQMY402" cashFlow="78500000" cashFlowMdrm="VVQMY403" carry="78500000" carryMdrm="VVQMY404"

valuation="2355000000" valuationMdrm="VVQMY405" tradeChanges="157000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="314000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1208900000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-24" plDateMdrm="VVQ3Y899" comprehensive="17316000000"

comprehensiveMdrm="VVQMY398" existingPositions="10920000000" existingPositionsMdrm="VVQMY399" newPositions="3120000000"

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="78000000"

riskChangeMdrm="VVQMY402" cashFlow="78000000" cashFlowMdrm="VVQMY403" carry="78000000" carryMdrm="VVQMY404"

valuation="2340000000" valuationMdrm="VVQMY405" tradeChanges="156000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="312000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1201200000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-25" plDateMdrm="VVQ3Y899" comprehensive="17205000000"

comprehensiveMdrm="VVQMY398" existingPositions="10850000000" existingPositionsMdrm="VVQMY399" newPositions="3100000000"

newPositionsMdrm="VVQMY400" otherAttributable="232500000" otherAttributableMdrm="VVQMY401" riskChange="77500000"

riskChangeMdrm="VVQMY402" cashFlow="77500000" cashFlowMdrm="VVQMY403" carry="77500000" carryMdrm="VVQMY404"

valuation="2325000000" valuationMdrm="VVQMY405" tradeChanges="155000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="310000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1193500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="116250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-26" plDateMdrm="VVQ3Y899" comprehensive="17094000000"

comprehensiveMdrm="VVQMY398" existingPositions="10780000000" existingPositionsMdrm="VVQMY399" newPositions="3080000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="77000000"

riskChangeMdrm="VVQMY402" cashFlow="77000000" cashFlowMdrm="VVQMY403" carry="77000000" carryMdrm="VVQMY404"

valuation="2310000000" valuationMdrm="VVQMY405" tradeChanges="154000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="308000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1185800000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="115500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13860000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-27" plDateMdrm="VVQ3Y899" comprehensive="16983000000"

comprehensiveMdrm="VVQMY398" existingPositions="10710000000" existingPositionsMdrm="VVQMY399" newPositions="3060000000"

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="76500000"

riskChangeMdrm="VVQMY402" cashFlow="76500000" cashFlowMdrm="VVQMY403" carry="76500000" carryMdrm="VVQMY404"

valuation="2295000000" valuationMdrm="VVQMY405" tradeChanges="153000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="306000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1178100000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13770000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-02-28" plDateMdrm="VVQ3Y899" comprehensive="16872000000"

comprehensiveMdrm="VVQMY398" existingPositions="10640000000" existingPositionsMdrm="VVQMY399" newPositions="3040000000"

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="76000000"

riskChangeMdrm="VVQMY402" cashFlow="76000000" cashFlowMdrm="VVQMY403" carry="76000000" carryMdrm="VVQMY404"

valuation="2280000000" valuationMdrm="VVQMY405" tradeChanges="152000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="304000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1170400000" valueMdrm="VVQMY414"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 50 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13680000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-02" plDateMdrm="VVQ3Y899" comprehensive="16761000000"

comprehensiveMdrm="VVQMY398" existingPositions="10570000000" existingPositionsMdrm="VVQMY399" newPositions="3020000000"

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="75500000"

riskChangeMdrm="VVQMY402" cashFlow="75500000" cashFlowMdrm="VVQMY403" carry="75500000" carryMdrm="VVQMY404"

valuation="2265000000" valuationMdrm="VVQMY405" tradeChanges="151000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="302000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1162700000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="113250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-03" plDateMdrm="VVQ3Y899" comprehensive="16650000000"

comprehensiveMdrm="VVQMY398" existingPositions="10500000000" existingPositionsMdrm="VVQMY399" newPositions="3000000000"

newPositionsMdrm="VVQMY400" otherAttributable="225000000" otherAttributableMdrm="VVQMY401" riskChange="75000000"

riskChangeMdrm="VVQMY402" cashFlow="75000000" cashFlowMdrm="VVQMY403" carry="75000000" carryMdrm="VVQMY404"

valuation="2250000000" valuationMdrm="VVQMY405" tradeChanges="150000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="300000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1155000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="112500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13500000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-04" plDateMdrm="VVQ3Y899" comprehensive="16650000000"

comprehensiveMdrm="VVQMY398" existingPositions="10500000000" existingPositionsMdrm="VVQMY399" newPositions="3000000000"

newPositionsMdrm="VVQMY400" otherAttributable="225000000" otherAttributableMdrm="VVQMY401" riskChange="75000000"

riskChangeMdrm="VVQMY402" cashFlow="75000000" cashFlowMdrm="VVQMY403" carry="75000000" carryMdrm="VVQMY404"

valuation="2250000000" valuationMdrm="VVQMY405" tradeChanges="150000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="300000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1155000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="112500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13500000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-05" plDateMdrm="VVQ3Y899" comprehensive="16761000000"

comprehensiveMdrm="VVQMY398" existingPositions="10570000000" existingPositionsMdrm="VVQMY399" newPositions="3020000000"

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="75500000"

riskChangeMdrm="VVQMY402" cashFlow="75500000" cashFlowMdrm="VVQMY403" carry="75500000" carryMdrm="VVQMY404"

valuation="2265000000" valuationMdrm="VVQMY405" tradeChanges="151000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="302000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1162700000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="113250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-06" plDateMdrm="VVQ3Y899" comprehensive="16872000000"

comprehensiveMdrm="VVQMY398" existingPositions="10640000000" existingPositionsMdrm="VVQMY399" newPositions="3040000000"

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="76000000"

riskChangeMdrm="VVQMY402" cashFlow="76000000" cashFlowMdrm="VVQMY403" carry="76000000" carryMdrm="VVQMY404"

valuation="2280000000" valuationMdrm="VVQMY405" tradeChanges="152000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="304000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1170400000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13680000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-09" plDateMdrm="VVQ3Y899" comprehensive="16983000000"

comprehensiveMdrm="VVQMY398" existingPositions="10710000000" existingPositionsMdrm="VVQMY399" newPositions="3060000000"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 51 of 104

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="76500000"

riskChangeMdrm="VVQMY402" cashFlow="76500000" cashFlowMdrm="VVQMY403" carry="76500000" carryMdrm="VVQMY404"

valuation="2295000000" valuationMdrm="VVQMY405" tradeChanges="153000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="306000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1178100000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="114750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13770000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-10" plDateMdrm="VVQ3Y899" comprehensive="17094000000"

comprehensiveMdrm="VVQMY398" existingPositions="10780000000" existingPositionsMdrm="VVQMY399" newPositions="3080000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="77000000"

riskChangeMdrm="VVQMY402" cashFlow="77000000" cashFlowMdrm="VVQMY403" carry="77000000" carryMdrm="VVQMY404"

valuation="2310000000" valuationMdrm="VVQMY405" tradeChanges="154000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="308000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1185800000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="115500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-11" plDateMdrm="VVQ3Y899" comprehensive="17205000000"

comprehensiveMdrm="VVQMY398" existingPositions="10850000000" existingPositionsMdrm="VVQMY399" newPositions="3100000000"

newPositionsMdrm="VVQMY400" otherAttributable="232500000" otherAttributableMdrm="VVQMY401" riskChange="77500000"

riskChangeMdrm="VVQMY402" cashFlow="77500000" cashFlowMdrm="VVQMY403" carry="77500000" carryMdrm="VVQMY404"

valuation="2325000000" valuationMdrm="VVQMY405" tradeChanges="155000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="310000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1193500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="116250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-12" plDateMdrm="VVQ3Y899" comprehensive="17316000000"

comprehensiveMdrm="VVQMY398" existingPositions="10920000000" existingPositionsMdrm="VVQMY399" newPositions="3120000000"

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="78000000"

riskChangeMdrm="VVQMY402" cashFlow="78000000" cashFlowMdrm="VVQMY403" carry="78000000" carryMdrm="VVQMY404"

valuation="2340000000" valuationMdrm="VVQMY405" tradeChanges="156000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="312000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1201200000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-13" plDateMdrm="VVQ3Y899" comprehensive="17427000000"

comprehensiveMdrm="VVQMY398" existingPositions="10990000000" existingPositionsMdrm="VVQMY399" newPositions="3140000000"

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="78500000"

riskChangeMdrm="VVQMY402" cashFlow="78500000" cashFlowMdrm="VVQMY403" carry="78500000" carryMdrm="VVQMY404"

valuation="2355000000" valuationMdrm="VVQMY405" tradeChanges="157000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="314000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1208900000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-16" plDateMdrm="VVQ3Y899" comprehensive="17538000000"

comprehensiveMdrm="VVQMY398" existingPositions="11060000000" existingPositionsMdrm="VVQMY399" newPositions="3160000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="79000000"

riskChangeMdrm="VVQMY402" cashFlow="79000000" cashFlowMdrm="VVQMY403" carry="79000000" carryMdrm="VVQMY404"

valuation="2370000000" valuationMdrm="VVQMY405" tradeChanges="158000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="316000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1216600000" valueMdrm="VVQMY414"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 52 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="118500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-17" plDateMdrm="VVQ3Y899" comprehensive="17649000000"

comprehensiveMdrm="VVQMY398" existingPositions="11130000000" existingPositionsMdrm="VVQMY399" newPositions="3180000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="79500000"

riskChangeMdrm="VVQMY402" cashFlow="79500000" cashFlowMdrm="VVQMY403" carry="79500000" carryMdrm="VVQMY404"

valuation="2385000000" valuationMdrm="VVQMY405" tradeChanges="159000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="318000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1224300000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="119250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-18" plDateMdrm="VVQ3Y899" comprehensive="17760000000"

comprehensiveMdrm="VVQMY398" existingPositions="11200000000" existingPositionsMdrm="VVQMY399" newPositions="3200000000"

newPositionsMdrm="VVQMY400" otherAttributable="240000000" otherAttributableMdrm="VVQMY401" riskChange="80000000"

riskChangeMdrm="VVQMY402" cashFlow="80000000" cashFlowMdrm="VVQMY403" carry="80000000" carryMdrm="VVQMY404"

valuation="2400000000" valuationMdrm="VVQMY405" tradeChanges="160000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="320000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1232000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="120000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14400000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-19" plDateMdrm="VVQ3Y899" comprehensive="17649000000"

comprehensiveMdrm="VVQMY398" existingPositions="11130000000" existingPositionsMdrm="VVQMY399" newPositions="3180000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="79500000"

riskChangeMdrm="VVQMY402" cashFlow="79500000" cashFlowMdrm="VVQMY403" carry="79500000" carryMdrm="VVQMY404"

valuation="2385000000" valuationMdrm="VVQMY405" tradeChanges="159000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="318000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1224300000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="119250000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-20" plDateMdrm="VVQ3Y899" comprehensive="17538000000"

comprehensiveMdrm="VVQMY398" existingPositions="11060000000" existingPositionsMdrm="VVQMY399" newPositions="3160000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="79000000"

riskChangeMdrm="VVQMY402" cashFlow="79000000" cashFlowMdrm="VVQMY403" carry="79000000" carryMdrm="VVQMY404"

valuation="2370000000" valuationMdrm="VVQMY405" tradeChanges="158000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="316000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1216600000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="118500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-23" plDateMdrm="VVQ3Y899" comprehensive="17427000000"

comprehensiveMdrm="VVQMY398" existingPositions="10990000000" existingPositionsMdrm="VVQMY399" newPositions="3140000000"

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="78500000"

riskChangeMdrm="VVQMY402" cashFlow="78500000" cashFlowMdrm="VVQMY403" carry="78500000" carryMdrm="VVQMY404"

valuation="2355000000" valuationMdrm="VVQMY405" tradeChanges="157000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="314000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1208900000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117750000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-24" plDateMdrm="VVQ3Y899" comprehensive="17316000000"

comprehensiveMdrm="VVQMY398" existingPositions="10920000000" existingPositionsMdrm="VVQMY399" newPositions="3120000000"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 53 of 104

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="78000000"

riskChangeMdrm="VVQMY402" cashFlow="78000000" cashFlowMdrm="VVQMY403" carry="78000000" carryMdrm="VVQMY404"

valuation="2340000000" valuationMdrm="VVQMY405" tradeChanges="156000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="312000000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="1201200000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="117000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="14040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

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comprehensiveMdrm="VVQMY398" existingPositions="10850000000" existingPositionsMdrm="VVQMY399" newPositions="3100000000"

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riskChangeMdrm="VVQMY402" cashFlow="77500000" cashFlowMdrm="VVQMY403" carry="77500000" carryMdrm="VVQMY404"

valuation="2325000000" valuationMdrm="VVQMY405" tradeChanges="155000000" tradeChangesMdrm="VVQMY406"

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="1193500000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="116250000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="13950000" valueMdrm="VVQMY414"/>

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comprehensiveMdrm="VVQMY398" existingPositions="10780000000" existingPositionsMdrm="VVQMY399" newPositions="3080000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="77000000"

riskChangeMdrm="VVQMY402" cashFlow="77000000" cashFlowMdrm="VVQMY403" carry="77000000" carryMdrm="VVQMY404"

valuation="2310000000" valuationMdrm="VVQMY405" tradeChanges="154000000" tradeChangesMdrm="VVQMY406"

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="1185800000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="115500000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="13860000" valueMdrm="VVQMY414"/>

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comprehensiveMdrm="VVQMY398" existingPositions="10710000000" existingPositionsMdrm="VVQMY399" newPositions="3060000000"

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="76500000"

riskChangeMdrm="VVQMY402" cashFlow="76500000" cashFlowMdrm="VVQMY403" carry="76500000" carryMdrm="VVQMY404"

valuation="2295000000" valuationMdrm="VVQMY405" tradeChanges="153000000" tradeChangesMdrm="VVQMY406"

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="1178100000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="114750000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="13770000" valueMdrm="VVQMY414"/>

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comprehensiveMdrm="VVQMY398" existingPositions="10640000000" existingPositionsMdrm="VVQMY399" newPositions="3040000000"

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="76000000"

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="1170400000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="114000000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="13680000" valueMdrm="VVQMY414"/>

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comprehensiveMdrm="VVQMY398" existingPositions="10570000000" existingPositionsMdrm="VVQMY399" newPositions="3020000000"

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="75500000"

riskChangeMdrm="VVQMY402" cashFlow="75500000" cashFlowMdrm="VVQMY403" carry="75500000" carryMdrm="VVQMY404"

valuation="2265000000" valuationMdrm="VVQMY405" tradeChanges="151000000" tradeChangesMdrm="VVQMY406"

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="1162700000" valueMdrm="VVQMY414"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 54 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="113250000" valueMdrm="VVQMY414"/>

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riskFactorAttributionIdentifierMdrm="VVQMT090" value="13590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<positions positionsDate="2020-01-02" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="10000000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="25000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1000000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="10000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-01-03" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9900000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-01-06" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9800000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-01-07" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9700000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="28000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1300000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="40000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="29000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1400000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="50000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="30000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1500000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="60000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="31000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1600000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="70000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="32000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1700000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="80000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="33000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1800000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="90000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="34000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1900000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="100000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="33000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1800000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="90000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="32000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1700000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="80000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="31000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1600000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="70000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="30000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1500000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="60000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="29000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1400000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="50000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="28000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1300000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="40000000"

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 55 of 104

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="25000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1000000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="10000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="25000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1000000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="10000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="28000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1300000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="40000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="29000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1400000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="50000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="30000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1500000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="60000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="31000000000" securitiesMarketShortMdrm="VVQMW902"

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derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="32000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1700000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="80000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="33000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1800000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="90000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="34000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1900000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="100000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="33000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1800000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="90000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="32000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1700000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="80000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="31000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1600000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="70000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="30000000000" securitiesMarketShortMdrm="VVQMW902"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 56 of 104

derivativesMarketReceivable="1500000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="60000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="29000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1400000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="50000000"

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<positions positionsDate="2020-02-25" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9700000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="28000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1300000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="40000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="25000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1000000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="10000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="25000000000" securitiesMarketShortMdrm="VVQMW902"

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="28000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1300000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="40000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="29000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1400000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="50000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="30000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1500000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="60000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="31000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1600000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="70000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="32000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1700000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="80000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="33000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1800000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="90000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="34000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1900000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="100000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="33000000000" securitiesMarketShortMdrm="VVQMW902"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 57 of 104

derivativesMarketReceivable="1800000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="90000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="32000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1700000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="80000000"

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<positions positionsDate="2020-03-20" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9400000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="31000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1600000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="70000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="30000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1500000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="60000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="29000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1400000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="50000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-03-25" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9700000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="28000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1300000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="40000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-03-26" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9800000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="27000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1200000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="30000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-03-30" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="10000000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="25000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1000000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="10000000"

derivativesMarketPayableMdrm="VVQMY905"/>

<positions positionsDate="2020-03-31" positionsDateMdrm="VVQ4Y899" securitiesMarketLong="9900000000"

securitiesMarketLongMdrm="VVQMW901" securitiesMarketShort="26000000000" securitiesMarketShortMdrm="VVQMW902"

derivativesMarketReceivable="1100000000" derivativesMarketReceivableMdrm="VVQMY904" derivativesMarketPayable="20000000"

derivativesMarketPayableMdrm="VVQMY905"/>

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grossCustomerSecuritiesMarketValue="2500000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="50000000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="250000000000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="100" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="12500000000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

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grossNonCustomerDerivativesNotionalValue="1250000000000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

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grossInternalSecuritiesVolume="100000000" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="500000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

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grossCustomerSecuritiesMarketValue="2600000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="49000000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="249000000000" customerDerivativesNotionalValueMdrm="VVQMW903"

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grossInternalSecuritiesMarketValue="5200000000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="98000000" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="498000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="198" internalDerivativesVolumeMdrm="VVQMY913"/>

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grossCustomerSecuritiesMarketValue="2700000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="48000000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="248000000000" customerDerivativesNotionalValueMdrm="VVQMW903"

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grossNonCustomerDerivativesNotionalValue="1240000000000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 58 of 104

grossNonCustomerDerivativesVolume="490" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="5400000000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="96000000" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="496000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="196" internalDerivativesVolumeMdrm="VVQMY913"/>

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grossCustomerSecuritiesMarketValue="2800000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="47000000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="247000000000" customerDerivativesNotionalValueMdrm="VVQMW903"

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grossNonCustomerDerivativesNotionalValue="1235000000000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

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grossInternalSecuritiesMarketValue="5600000000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="94000000" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="494000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

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grossCustomerSecuritiesMarketValue="2900000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="46000000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="246000000000" customerDerivativesNotionalValueMdrm="VVQMW903"

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grossInternalDerivativesNotionalValue="492000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

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grossCustomerSecuritiesMarketValue="3000000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="45000000" customerSecuritiesVolumeMdrm="VVQMW906"

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 59 of 104

grossCustomerSecuritiesVolume="48000000" customerSecuritiesVolumeMdrm="VVQMW906"

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grossCustomerSecuritiesMarketValue="2600000000" customerSecuritiesMarketValueMdrm="VVQMW905"

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grossCustomerSecuritiesMarketValue="2700000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="48000000" customerSecuritiesVolumeMdrm="VVQMW906"

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grossCustomerSecuritiesMarketValue="2800000000" customerSecuritiesMarketValueMdrm="VVQMW905"

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 60 of 104

grossInternalSecuritiesMarketValue="5600000000" internalSecuritiesMarketValueMdrm="VVQMY910"

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grossInternalDerivativesNotionalValue="494000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

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grossCustomerSecuritiesMarketValue="2700000000" customerSecuritiesMarketValueMdrm="VVQMW905"

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grossInternalDerivativesVolume="196" internalDerivativesVolumeMdrm="VVQMY913"/>

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grossCustomerSecuritiesMarketValue="2600000000" customerSecuritiesMarketValueMdrm="VVQMW905"

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 61 of 104

grossCustomerDerivativesNotionalValue="249000000000" customerDerivativesNotionalValueMdrm="VVQMW903"

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November 16, 2020 Page 62 of 104

grossInternalSecuritiesVolume="94000000" internalSecuritiesVolumeMdrm="VVQMY911"

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November 16, 2020 Page 63 of 104

grossCustomerDerivativesVolume="99" customerDerivativesVolumeMdrm="VVQMW904"

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November 16, 2020 Page 64 of 104

grossInternalDerivativesNotionalValue="492000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

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November 16, 2020 Page 65 of 104

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November 16, 2020 Page 66 of 104

grossInternalDerivativesNotionalValue="492000000000" internalDerivativesNotionalValueMdrm="VVQMY912"

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November 16, 2020 Page 67 of 104

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November 16, 2020 Page 68 of 104

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November 16, 2020 Page 69 of 104

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<dailyDeskInfo calendarDate="2020-01-16" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-17" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-18" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-19" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-20" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-21" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-22" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-23" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-24" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-25" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-26" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-27" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-28" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-29" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-30" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-01-31" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-01" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-02" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-03" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-04" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-05" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-06" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-07" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-08" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-09" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 70 of 104

<dailyDeskInfo calendarDate="2020-02-10" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-11" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-12" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-13" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-14" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-15" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-16" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-17" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-18" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-19" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-20" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-21" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-22" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-23" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-24" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-25" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-26" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-27" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-28" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-02-29" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-01" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-02" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-03" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-04" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-05" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-06" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-07" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-08" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-09" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-10" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-11" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-12" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-13" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-14" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-15" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-16" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 71 of 104

<dailyDeskInfo calendarDate="2020-03-17" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-18" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-19" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-20" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-21" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-22" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-23" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-24" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-25" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-26" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-27" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-28" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-29" calendarDateMdrm="VVQMY899" isTradingDay="0"

isTradingDayMdrm="VVQMY380"/>

<dailyDeskInfo calendarDate="2020-03-30" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<dailyDeskInfo calendarDate="2020-03-31" calendarDateMdrm="VVQMY899" isTradingDay="1"

isTradingDayMdrm="VVQMY380" currencyConversionRate="1.0" currencyConversionRateMdrm="VVQMY386"/>

<internalLimitsAndUsage limitIdentifier="RPL010001" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="16437130" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="16672777" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="16223745" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="16538490" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="16050793" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15961041" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15647283" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15324811" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15923408" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="16164252" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15957483" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15470679" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15314301" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="15243247" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="14801628" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="14378462" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="14721970" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="14345722" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="14999145" usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="25000000"

upperLimitSizeMdrm="VVQMFC41" usage="14664380" usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 72 of 104

<internalLimitsAndUsage limitIdentifier="RPL010008" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="75000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="55000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<internalLimitsAndUsage limitIdentifier="RPL010009" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="75000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 73 of 104

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="75000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="60000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="75000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="75000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="65000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="75000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-75000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<internalLimitsAndUsage limitIdentifier="RPL010010" limitIdentifierMdrm="VVQMY382">

<limitDailySchedule limitDate="2020-03-04" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="100000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-05" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="90000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-06" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="95000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-09" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="85000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-10" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="85000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-11" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="90000000"

usageMdrm="VVQMY390"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 74 of 104

<limitDailySchedule limitDate="2020-03-12" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="95000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-13" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="90000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-16" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="95000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-17" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="80000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-18" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="85000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-19" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-20" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-23" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-24" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="70000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-25" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="75000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-26" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="85000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-27" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="80000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-30" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="95000000"

usageMdrm="VVQMY390"/>

<limitDailySchedule limitDate="2020-03-31" limitDateMdrm="VVQ1Y899" upperLimitSize="100000000"

upperLimitSizeMdrm="VVQMFC41" lowerLimitSize="-100000000" lowerLimitSizeMdrm="VVQMFC42" usage="90000000"

usageMdrm="VVQMY390"/>

</internalLimitsAndUsage>

<valueAtRisk varDate="2020-03-04" varDateMdrm="VVQ2Y899" var="16437130" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-05" varDateMdrm="VVQ2Y899" var="16672777" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-06" varDateMdrm="VVQ2Y899" var="16223745" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-09" varDateMdrm="VVQ2Y899" var="16538490" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-10" varDateMdrm="VVQ2Y899" var="16050793" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-11" varDateMdrm="VVQ2Y899" var="15961041" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-12" varDateMdrm="VVQ2Y899" var="15647283" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-13" varDateMdrm="VVQ2Y899" var="15324811" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-16" varDateMdrm="VVQ2Y899" var="15923408" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-17" varDateMdrm="VVQ2Y899" var="16164252" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-18" varDateMdrm="VVQ2Y899" var="15957483" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-19" varDateMdrm="VVQ2Y899" var="15470679" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-20" varDateMdrm="VVQ2Y899" var="15314301" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-23" varDateMdrm="VVQ2Y899" var="15243247" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-24" varDateMdrm="VVQ2Y899" var="14801628" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-25" varDateMdrm="VVQ2Y899" var="14378462" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-26" varDateMdrm="VVQ2Y899" var="14721970" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-27" varDateMdrm="VVQ2Y899" var="14345722" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-30" varDateMdrm="VVQ2Y899" var="14999145" varMdrm="VVQMY396"/>

<valueAtRisk varDate="2020-03-31" varDateMdrm="VVQ2Y899" var="14664380" varMdrm="VVQMY396"/>

<profitAndLossAttribution plDate="2020-03-04" plDateMdrm="VVQ3Y899" comprehensive="50836345500"

comprehensiveMdrm="VVQMY398" existingPositions="50000000000" existingPositionsMdrm="VVQMY399" newPositions="352000000"

newPositionsMdrm="VVQMY400" otherAttributable="225000000" otherAttributableMdrm="VVQMY401" riskChange="45500"

riskChangeMdrm="VVQMY402" cashFlow="7500000" cashFlowMdrm="VVQMY403" carry="75000" carryMdrm="VVQMY404"

valuation="225000" valuationMdrm="VVQMY405" tradeChanges="250000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1500000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5500000000" valueMdrm="VVQMY414"/>
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November 16, 2020 Page 75 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11250" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="22500000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-05" plDateMdrm="VVQ3Y899" comprehensive="51192916500"

comprehensiveMdrm="VVQMY398" existingPositions="50352000000" existingPositionsMdrm="VVQMY399" newPositions="354000000"

newPositionsMdrm="VVQMY400" otherAttributable="226500000" otherAttributableMdrm="VVQMY401" riskChange="45000"

riskChangeMdrm="VVQMY402" cashFlow="7550000" cashFlowMdrm="VVQMY403" carry="75500" carryMdrm="VVQMY404"

valuation="226000" valuationMdrm="VVQMY405" tradeChanges="251000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1520000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5538720000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11300" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="22590000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-06" plDateMdrm="VVQ3Y899" comprehensive="51551457500"

comprehensiveMdrm="VVQMY398" existingPositions="50706000000" existingPositionsMdrm="VVQMY399" newPositions="356000000"

newPositionsMdrm="VVQMY400" otherAttributable="228000000" otherAttributableMdrm="VVQMY401" riskChange="44500"

riskChangeMdrm="VVQMY402" cashFlow="7600000" cashFlowMdrm="VVQMY403" carry="76000" carryMdrm="VVQMY404"

valuation="227000" valuationMdrm="VVQMY405" tradeChanges="252000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1510000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5577660000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11350" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="22680000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-09" plDateMdrm="VVQ3Y899" comprehensive="51912038500"

comprehensiveMdrm="VVQMY398" existingPositions="51062000000" existingPositionsMdrm="VVQMY399" newPositions="358000000"

newPositionsMdrm="VVQMY400" otherAttributable="229500000" otherAttributableMdrm="VVQMY401" riskChange="44000"

riskChangeMdrm="VVQMY402" cashFlow="7650000" cashFlowMdrm="VVQMY403" carry="76500" carryMdrm="VVQMY404"

valuation="228000" valuationMdrm="VVQMY405" tradeChanges="253000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1540000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5616820000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11400" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="22770000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-10" plDateMdrm="VVQ3Y899" comprehensive="52274579500"

comprehensiveMdrm="VVQMY398" existingPositions="51420000000" existingPositionsMdrm="VVQMY399" newPositions="360000000"

newPositionsMdrm="VVQMY400" otherAttributable="231000000" otherAttributableMdrm="VVQMY401" riskChange="43500"

riskChangeMdrm="VVQMY402" cashFlow="7700000" cashFlowMdrm="VVQMY403" carry="77000" carryMdrm="VVQMY404"

valuation="229000" valuationMdrm="VVQMY405" tradeChanges="254000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1530000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5656200000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11450" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="22950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-11" plDateMdrm="VVQ3Y899" comprehensive="52635160500"

comprehensiveMdrm="VVQMY398" existingPositions="51780000000" existingPositionsMdrm="VVQMY399" newPositions="358000000"

newPositionsMdrm="VVQMY400" otherAttributable="232500000" otherAttributableMdrm="VVQMY401" riskChange="43000"

riskChangeMdrm="VVQMY402" cashFlow="7750000" cashFlowMdrm="VVQMY403" carry="77500" carryMdrm="VVQMY404"

valuation="230000" valuationMdrm="VVQMY405" tradeChanges="255000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1560000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5695800000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11500" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="22950000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-12" plDateMdrm="VVQ3Y899" comprehensive="52993702500"

comprehensiveMdrm="VVQMY398" existingPositions="52138000000" existingPositionsMdrm="VVQMY399" newPositions="356000000"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 76 of 104

newPositionsMdrm="VVQMY400" otherAttributable="234000000" otherAttributableMdrm="VVQMY401" riskChange="43500"

riskChangeMdrm="VVQMY402" cashFlow="7800000" cashFlowMdrm="VVQMY403" carry="78000" carryMdrm="VVQMY404"

valuation="231000" valuationMdrm="VVQMY405" tradeChanges="256000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1550000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5735180000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11550" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23040000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-13" plDateMdrm="VVQ3Y899" comprehensive="53350244500"

comprehensiveMdrm="VVQMY398" existingPositions="52494000000" existingPositionsMdrm="VVQMY399" newPositions="354000000"

newPositionsMdrm="VVQMY400" otherAttributable="235500000" otherAttributableMdrm="VVQMY401" riskChange="44000"

riskChangeMdrm="VVQMY402" cashFlow="7850000" cashFlowMdrm="VVQMY403" carry="78500" carryMdrm="VVQMY404"

valuation="232000" valuationMdrm="VVQMY405" tradeChanges="257000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1540000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5774340000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11600" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-16" plDateMdrm="VVQ3Y899" comprehensive="53704776500"

comprehensiveMdrm="VVQMY398" existingPositions="52848000000" existingPositionsMdrm="VVQMY399" newPositions="352000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="44500"

riskChangeMdrm="VVQMY402" cashFlow="7900000" cashFlowMdrm="VVQMY403" carry="79000" carryMdrm="VVQMY404"

valuation="233000" valuationMdrm="VVQMY405" tradeChanges="258000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1520000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5813280000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11650" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-17" plDateMdrm="VVQ3Y899" comprehensive="54057318500"

comprehensiveMdrm="VVQMY398" existingPositions="53200000000" existingPositionsMdrm="VVQMY399" newPositions="350000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="45000"

riskChangeMdrm="VVQMY402" cashFlow="7950000" cashFlowMdrm="VVQMY403" carry="79500" carryMdrm="VVQMY404"

valuation="234000" valuationMdrm="VVQMY405" tradeChanges="259000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1510000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5852000000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11700" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-18" plDateMdrm="VVQ3Y899" comprehensive="54406860500"

comprehensiveMdrm="VVQMY398" existingPositions="53550000000" existingPositionsMdrm="VVQMY399" newPositions="348000000"

newPositionsMdrm="VVQMY400" otherAttributable="240000000" otherAttributableMdrm="VVQMY401" riskChange="45500"

riskChangeMdrm="VVQMY402" cashFlow="8000000" cashFlowMdrm="VVQMY403" carry="80000" carryMdrm="VVQMY404"

valuation="235000" valuationMdrm="VVQMY405" tradeChanges="259000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1500000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5890500000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11750" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23310000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-19" plDateMdrm="VVQ3Y899" comprehensive="54750329500"

comprehensiveMdrm="VVQMY398" existingPositions="53898000000" existingPositionsMdrm="VVQMY399" newPositions="346000000"

newPositionsMdrm="VVQMY400" otherAttributable="238500000" otherAttributableMdrm="VVQMY401" riskChange="46000"

riskChangeMdrm="VVQMY402" cashFlow="7950000" cashFlowMdrm="VVQMY403" carry="79500" carryMdrm="VVQMY404"

valuation="234000" valuationMdrm="VVQMY405" tradeChanges="258000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1520000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5928780000" valueMdrm="VVQMY414"/>
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November 16, 2020 Page 77 of 104

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11700" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23220000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-20" plDateMdrm="VVQ3Y899" comprehensive="55091768500"

comprehensiveMdrm="VVQMY398" existingPositions="54244000000" existingPositionsMdrm="VVQMY399" newPositions="344000000"

newPositionsMdrm="VVQMY400" otherAttributable="237000000" otherAttributableMdrm="VVQMY401" riskChange="46500"

riskChangeMdrm="VVQMY402" cashFlow="7900000" cashFlowMdrm="VVQMY403" carry="79000" carryMdrm="VVQMY404"

valuation="233000" valuationMdrm="VVQMY405" tradeChanges="257000000" tradeChangesMdrm="VVQMY406"

otherUnattributed="1510000" otherUnattributedMdrm="VVQMY407">

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030001"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="5966840000" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030002"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="11650" valueMdrm="VVQMY414"/>

<profitAndLossByFactor riskFactorAttributionIdentifier="RAFS030003"

riskFactorAttributionIdentifierMdrm="VVQMT090" value="23130000" valueMdrm="VVQMY414"/>

</profitAndLossAttribution>

<profitAndLossAttribution plDate="2020-03-23" plDateMdrm="VVQ3Y899" comprehensive="55431247500"

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 78 of 104

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 79 of 104

derivativesMarketReceivable="569620000000" derivativesMarketReceivableMdrm="VVQMY904"

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 80 of 104

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Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 81 of 104

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grossCustomerDerivativesVolume="863" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45301800000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45301800" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="646956600000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="647" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22650900000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22650900" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="323478300000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="323" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-17" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60448400000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60448400" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="863515600000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="864" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45336300000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45336300" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="647636700000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="648" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22668150000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22668150" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="323818350000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="324" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-18" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60493000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60493000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="864407000000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="864" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45369750000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45369750" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="648305250000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="648" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22684875000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22684875" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="324152625000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="324" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-19" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60536200000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60536200" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="865283000000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="865" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45402150000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45402150" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="648962250000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="649" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22701075000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22701075" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="324481125000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="324" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-20" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60579200000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60579200" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="866154400000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="866" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45434400000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45434400" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="649615800000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="650" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22717200000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22717200" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="324807900000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="325" internalDerivativesVolumeMdrm="VVQMY913"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 82 of 104

<transactionVolumes transactionsDate="2020-03-23" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60622000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60622000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="867021200000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="867" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45466500000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45466500" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="650265900000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="650" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22733250000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22733250" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="325132950000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="325" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-24" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60664600000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60664600" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="867883400000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="868" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45498450000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45498450" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="650912550000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="651" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22749225000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22749225" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="325456275000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="325" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-25" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60707000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60707000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="868741000000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="869" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45530250000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45530250" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="651555750000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="652" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22765125000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22765125" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="325777875000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="326" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-26" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60750800000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60750800" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="869614000000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="870" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45563100000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45563100" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="652210500000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="652" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22781550000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22781550" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="326105250000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="326" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-27" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60796000000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60796000" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="870502400000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="871" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45597000000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45597000" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="652876800000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="653" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22798500000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22798500" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="326438400000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="326" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-30" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60842600000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60842600" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="871406200000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="871" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45631950000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45631950" nonCustomerSecuritiesVolumeMdrm="VVQMW910"
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 83 of 104

grossNonCustomerDerivativesNotionalValue="653554650000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="654" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22815975000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22815975" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="326777325000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="327" internalDerivativesVolumeMdrm="VVQMY913"/>

<transactionVolumes transactionsDate="2020-03-31" transactionsDateMdrm="VVQ5Y899"

grossCustomerSecuritiesMarketValue="60890600000" customerSecuritiesMarketValueMdrm="VVQMW905"

grossCustomerSecuritiesVolume="60890600" customerSecuritiesVolumeMdrm="VVQMW906"

grossCustomerDerivativesNotionalValue="872325400000" customerDerivativesNotionalValueMdrm="VVQMW903"

grossCustomerDerivativesVolume="872" customerDerivativesVolumeMdrm="VVQMW904"

grossNonCustomerSecuritiesMarketValue="45667950000" nonCustomerSecuritiesMarketValueMdrm="VVQMW909"

grossNonCustomerSecuritiesVolume="45667950" nonCustomerSecuritiesVolumeMdrm="VVQMW910"

grossNonCustomerDerivativesNotionalValue="654244050000" nonCustomerDerivativesNotionalValueMdrm="VVQMW907"

grossNonCustomerDerivativesVolume="654" nonCustomerDerivativesVolumeMdrm="VVQMW908"

grossInternalSecuritiesMarketValue="22833975000" internalSecuritiesMarketValueMdrm="VVQMY910"

grossInternalSecuritiesVolume="22833975" internalSecuritiesVolumeMdrm="VVQMY911"

grossInternalDerivativesNotionalValue="327122025000" internalDerivativesNotionalValueMdrm="VVQMY912"

grossInternalDerivativesVolume="327" internalDerivativesVolumeMdrm="VVQMY913"/>

</tradingDesk>

</volckerMetricsReport>
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November 16, 2020 Page 84 of 104

Annex C: Volcker XSD

<?xml version="1.0" encoding="UTF-8"?>

<xs:schema xmlns:xs="http://www.w3.org/2001/XMLSchema" elementFormDefault="qualified" attributeFormDefault="unqualified"

version="2020-01-21" xml:lang="EN">

<!--Custom Type Definitions-->

<xs:simpleType name="booleanFlag_type">

<xs:annotation>

<xs:appinfo>

<xs:documentation>0 = No</xs:documentation>

<xs:documentation>1 = Yes</xs:documentation>

</xs:appinfo>

</xs:annotation>

<xs:restriction base="xs:boolean">

<xs:pattern value="[01]{1}"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="decimal24_2_type">

<xs:annotation>

<xs:documentation>Custom datatype, large decimal totalDig 24,FracDig 2.</xs:documentation>

</xs:annotation>

<xs:restriction base="xs:decimal">

<xs:totalDigits value="24"/>

<xs:fractionDigits value="2"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="decimal24_4_type">

<xs:annotation>

<xs:documentation>Custom datatype, large decimal totalDig 24,FracDig 4.</xs:documentation>

</xs:annotation>

<xs:union>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:length value="0"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType>

<xs:restriction base="xs:decimal">

<xs:totalDigits value="24"/>

<xs:fractionDigits value="4"/>

</xs:restriction>

</xs:simpleType>

</xs:union>

</xs:simpleType>

<xs:simpleType name="decimal24_8_type">

<xs:annotation>

<xs:documentation>Custom datatype, large decimal totalDig 24,FracDig 8.</xs:documentation>

</xs:annotation>

<xs:restriction base="xs:decimal">

<xs:totalDigits value="24"/>

<xs:fractionDigits value="8"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="integer24_type">

<xs:annotation>

<xs:documentation>Custom datatype, large integer totalDig 24.</xs:documentation>

</xs:annotation>

<xs:union>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:length value="0"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType>

<xs:restriction base="xs:integer">

<xs:totalDigits value="24"/>

</xs:restriction>

</xs:simpleType>

</xs:union>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 85 of 104

</xs:simpleType>

<xs:simpleType name="nonNegInteger24_type">

<xs:annotation>

<xs:documentation>Custom datatype, large, non-negative integer totalDig 24.</xs:documentation>

</xs:annotation>

<xs:union>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:length value="0"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType>

<xs:restriction base="xs:nonNegativeInteger">

<xs:totalDigits value="24"/>

</xs:restriction>

</xs:simpleType>

</xs:union>

</xs:simpleType>

<xs:simpleType name="string8_type">

<xs:restriction base="xs:string">

<xs:maxLength value="8"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="string25_type">

<xs:restriction base="xs:string">

<xs:maxLength value="25"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="string50_type">

<xs:restriction base="xs:string">

<xs:maxLength value="50"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="string100_type">

<xs:restriction base="xs:string">

<xs:maxLength value="100"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="string250_type">

<xs:restriction base="xs:string">

<xs:maxLength value="250"/>

</xs:restriction>

</xs:simpleType>

<xs:simpleType name="string500_type">

<xs:restriction base="xs:string">

<xs:maxLength value="500"/>

</xs:restriction>

</xs:simpleType>

<xs:attributeGroup name="grpFileDescription">

<xs:annotation>

<xs:documentation>Attributes describing the submission file</xs:documentation>

</xs:annotation>

<xs:attribute name="fileVersion" type="xs:integer" use="required">

<xs:annotation>

<xs:documentation>For this asOfDate, what version of the the metrics does this file 

represent? Start with fileVersion 1 and increment by integers for any revisions.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="fileVersionMdrm" default="VVQMR656">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMR656"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="createDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>Report creation date. Use ISO8601 format (YYYY-MMDD).</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="createDateMdrm" default="VVQMF841">
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November 16, 2020 Page 86 of 104

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMF841"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="createTime" type="xs:time" use="required">

<xs:annotation>

<xs:documentation>Report creation time. Use ISO8601 time-zone offset format 

(hh:mm:ssZ).</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="createTimeMdrm" default="VVQMF842">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMF842"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="asOfDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>The last date of the reporting period. Use ISO8601 format (YYYY-MMDD).</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="asOfDateMdrm" default="VVQM9999">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQM9999"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:attributeGroup>

<xs:attributeGroup name="grpReportingFirm">

<xs:annotation>

<xs:documentation>Attributes describing the Reporting Firm</xs:documentation>

</xs:annotation>

<!-- Firm Identifier -->

<xs:attribute name="firmIdentifier" use="required">

<xs:annotation>

<xs:documentation>Federal Reserve RSSD identifier assigned to top-level holding 

company.</xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:maxLength value="10"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="firmIdentifierMdrm" default="VVQM9001">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQM9001"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<!-- Firm_Name -->

<xs:attribute name="firmName" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>Financial firm name.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="firmNameMdrm" default="VVQM9017">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQM9017"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:attributeGroup>

<xs:attributeGroup name="grpInternalLimitRef">

<xs:annotation>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 87 of 104

<xs:documentation>Attributes describing the Internal Limit Reference 

Schedule</xs:documentation>

</xs:annotation>

<xs:attribute name="limitIdentifier" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>A character string to be used as the permanent unique identifier for 

the limit. The limit identifier is permanent in the sense that it has the same meaning in all future quantitative

measurements submissions, even if the set of trading desks to which the limit applies changes.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitIdentifierMdrm" default="VVQTY382">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQTY382"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitName" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>The name of the limit.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitNameMdrm" default="VVQMW892">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW892"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitDescription" type="string250_type" use="required">

<xs:annotation>

<xs:documentation>A description of the limit.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitDescriptionMdrm" default="VVQMW893">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW893"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitUnit" type="string50_type" use="required">

<xs:annotation>

<xs:documentation>The unit in which the limit is measured, e.g., basis points, USD, 

etc.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitUnitMdrm" default="VVQMY391">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY391"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitCategory" use="required">

<xs:annotation>

<xs:documentation>Identify which of the following categories best describes the 

limit.</xs:documentation>

<xs:documentation> a. VaR</xs:documentation>

<xs:documentation> b. Position limit</xs:documentation>

<xs:documentation> c. Sensitivity limit</xs:documentation>

<xs:documentation> d. Stress scenario</xs:documentation>

<xs:documentation> e. Inventory aging</xs:documentation>

<xs:documentation> f. Other </xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:enumeration value="VAR"/>

<xs:enumeration value="POS"/>

<xs:enumeration value="SENS"/>

<xs:enumeration value="SCENARIO"/>

<xs:enumeration value="AGING"/>
Volcker Rule Technical Specifications Guidance

November 16, 2020 Page 88 of 104

<xs:enumeration value="OTHER"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitCategoryMdrm" default="VVQMW896">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW896"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitOtherDescription" type="string250_type">

<xs:annotation>

<xs:documentation>If limit category is “Other”, provide a description of the limit 

category.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitOtherDescriptionMdrm" default="VVQMW894">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW894"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="riskFactorAttributionIdentifier" type="string100_type">

<xs:annotation>

<xs:documentation>If the category of the limit is Risk Factor Sensitivity/"SENS" and 

there is a corresponding profit and loss attribution category to the same risk factor, report that risk factor 

attribution's unique identifier from the Risk Factor Attribution Reference Schedule.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskFactorAttributionIdentifierMdrm" default="VVQXT090">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQXT090"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:attributeGroup>

<xs:attributeGroup name="grpRiskAttributionFactorRef">

<xs:annotation>

<xs:documentation>Attributes describing the Risk Attribution Factor Reference 

Schedule</xs:documentation>

</xs:annotation>

<xs:attribute name="riskFactorAttributionIdentifier" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>A character string to be used as the permanent unique identifier for 

the risk factor or other factor attribution. The Risk Factor Attribution identifier is permanent in the sense that it 

has the same meaning in all future quantitative measurements submissions, even if the set of trading desks for which the 

attribution is reported changes.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskFactorAttributionIdentifierMdrm" default="VVQTT090">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQTT090"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="riskFactorAttributionName" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>The name of the risk factor or other factor.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskFactorAttributionNameMdrm" default="VVQMW898">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW898"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="riskFactorAttributionDescription" type="string250_type" use="required">
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<xs:annotation>

<xs:documentation>A description of the risk factor or other factor.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskFactorAttributionDescriptionMdrm" default="VVQMW899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="riskFactorAttributionUnit" type="string50_type" use="required">

<xs:annotation>

<xs:documentation>Report the type of units of the risk factor or other factor change 

that the entity has identified that impact the portfolio value (for example, for a DV01, the unit is in basis points, 

while for Equity Delta, the unit is a dollar change in equity prices or percentage change in equity 

prices).</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskFactorAttributionUnitMdrm" default="VVQTY394">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQTY394"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:attributeGroup>

<xs:attributeGroup name="grpTradingDesk">

<xs:annotation>

<xs:documentation>Attributes describing the Trading Desk</xs:documentation>

</xs:annotation>

<!-- Trading Desk Name -->

<xs:attribute name="deskName" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>Provide the name of the trading desk used internally by the banking 

entity.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="deskNameMdrm" default="VVQMY384">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY384"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<!-- Trading Desk Identifier -->

<xs:attribute name="deskIdentifier" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>Provide a unique character string to identify the trading desk. This 

identifier should generally remain constant for every quantitative measurements submission.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="deskIDMdrm" default="VVQMY383">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY383"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<!-- Trading Desk Currency -->

<xs:attribute name="deskDescription" type="string500_type" use="required">

<xs:annotation>

<xs:documentation>Provide a brief description of the general strategy of the trading 

desk.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="deskDescriptionMdrm" default="VVQMW891">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW891"/>

</xs:restriction>

</xs:simpleType>
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</xs:attribute>

<xs:attribute name="currency" use="required">

<xs:annotation>

<xs:documentation>Specify the currency used by the trading desk.</xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:length value="3"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="currencyMdrm" default="VVQMY385">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY385"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="reportedCFTC" type="booleanFlag_type" use="required">

<xs:annotation>

<xs:documentation>For the Commodity Futures Trading Commission, indicate with a “1” for 

yes or a “0” for no whether the desk is reported to this agency.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="reportedCFTCMdrm" default="VVQMKY41">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMKY41"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="reportedFDIC" type="booleanFlag_type" use="required">

<xs:annotation>

<xs:documentation>For the Federal Deposit Insurance Commission, indicate with a “1” for 

yes or a “0” for no whether the desk is reported to this agency.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="reportedFDICMdrm" default="VVQMKY42">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMKY42"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="reportedFRB" type="booleanFlag_type" use="required">

<xs:annotation>

<xs:documentation>For the Federal Reserve Board, indicate with a “1” for yes or a “0” 

for no whether the desk is reported to this agency.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="reportedFRBMdrm" default="VVQMKY43">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMKY43"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="reportedOCC" type="booleanFlag_type" use="required">

<xs:annotation>

<xs:documentation>For the Office of the Comptroller of the Currency, indicate with a 

“1” for yes or a “0” for no whether the desk is reported to this agency.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="reportedOCCMdrm" default="VVQMKY44">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMKY44"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="reportedSEC" type="booleanFlag_type" use="required">

<xs:annotation>
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<xs:documentation>For the Securities and Exchange Commission, indicate with a “1” for 

yes or a “0” for no whether the desk is reported to this agency.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="reportedSECMdrm" default="VVQMKY45">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMKY45"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<!-- Trading Desk Description -->

</xs:attributeGroup>

<xs:attributeGroup name="grpDayOfMonth">

<xs:annotation>

<xs:documentation>Attributes describing the Day of the Month</xs:documentation>

</xs:annotation>

<!-- Calendar Date -->

<xs:attribute name="calendarDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>Provide the calendar date of the month. Use the format YYYY-MMDD.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="calendarDateMdrm" default="VVQMY899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<!-- Trading Date Indicator -->

<xs:attribute name="isTradingDay" type="booleanFlag_type" use="required">

<xs:annotation>

<xs:documentation>For each calendar day of the month, indicate with a “1” for yes or a 

“0” for no whether the calendar day is a trading day or not a trading day for the desk.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="isTradingDayMdrm" default="VVQMY380">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY380"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<!-- Trading Currency -->

</xs:attributeGroup>

<xs:attributeGroup name="grpProfitAndLossFactor">

<xs:annotation>

<xs:documentation>Attributes describing the Profit-and-Loss Risk Factor 

metrics</xs:documentation>

</xs:annotation>

<xs:attribute name="riskFactorAttributionIdentifier" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>Report the Risk Factor Attribution identifier listed in the Risk 

Factor Attribution Information Schedule.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskFactorAttributionIdentifierMdrm" default="VVQMT090">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMT090"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="value" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the amount of profit or loss due to the risk factor or other 

factor change.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="valueMdrm" default="VVQMY414">
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<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY414"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:attributeGroup>

<xs:attributeGroup name="grpLimitMotivation">

<xs:annotation>

<xs:documentation>Attributes describing the motivation/sources of analysis by which the limit 

value was set</xs:documentation>

</xs:annotation>

<xs:attribute name="limitSource" use="required">

<xs:annotation>

<xs:documentation>Identify the sources of analysis by which management determine this 

limit.</xs:documentation>

<xs:documentation>Risk Appetite = Limits informed by the firm's risk 

appetite</xs:documentation>

<xs:documentation>Reg Cap = Limits informed by the firm's regulatory capital 

requirements</xs:documentation>

<xs:documentation>RENTD = For desks claiming the underwriting or market-making 

exemption under § 75.4, limits informed by an analysis of reasonably expected near-term demand</xs:documentation>

<xs:documentation>Risk Reducing = For desks claiming the Risk-mitigating hedging 

exemption under § 75.5, limits that ensure a set of positions is risk-reducing</xs:documentation>

<xs:documentation>Other = Any other source of motivation for management-set 

limits</xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:enumeration value="Risk Appetite"/>

<xs:enumeration value="Reg Cap"/>

<xs:enumeration value="RENTD"/>

<xs:enumeration value="Risk Reducing"/>

<xs:enumeration value="Other"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="limitSourceMdrm" default="VVQMKY40">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMKY40"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:attributeGroup>

<xs:complexType name="typeVolckerMetricsReport">

<xs:annotation>

<xs:documentation>Volcker Metrics Report</xs:documentation>

</xs:annotation>

<xs:sequence>

<xs:element name="fileDescription">

<xs:annotation>

<xs:documentation>Report submission information.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attributeGroup ref="grpFileDescription"/>

</xs:complexType>

</xs:element>

<xs:element name="reportingFirm">

<xs:annotation>

<xs:documentation>Financial institurtion identifying 

information.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attributeGroup ref="grpReportingFirm"/>

</xs:complexType>

</xs:element>

<xs:element name="internalLimitReference" type="typeInternalLimitReference"

maxOccurs="unbounded">

<xs:annotation>
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<xs:documentation>Internal Limits are existing constraints that define the 

amount of risk that a trading desk is permitted to take at a point in time, as defined by the banking entity for a 

specific trading desk.</xs:documentation>

</xs:annotation>

</xs:element>

<xs:element name="riskAttributionFactorReference" maxOccurs="unbounded">

<xs:annotation>

<xs:documentation>The banking entity must report the profit and loss due to 

changes in the specific risk factors and other factors that are monitored and managed as part of the trading desk’s 

overall risk management policies and procedures.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attributeGroup ref="grpRiskAttributionFactorRef"/>

</xs:complexType>

</xs:element>

<xs:element name="tradingDesk" type="typeTradingDesk" maxOccurs="unbounded">

<xs:annotation>

<xs:documentation>With each submission of quantitative measurements, the 

banking entity must provide the following information for each trading desk engaged in covered trading 

activities.</xs:documentation>

</xs:annotation>

</xs:element>

</xs:sequence>

</xs:complexType>

<xs:complexType name="typeInternalLimitReference">

<xs:sequence>

<xs:element name="limitMotivation" type="typeLimitMotivation" minOccurs="1" maxOccurs="5"/>

</xs:sequence>

<xs:attributeGroup ref="grpInternalLimitRef"/>

</xs:complexType>

<xs:complexType name="typeTradingDesk">

<xs:sequence>

<xs:element name="coveredActivity" maxOccurs="unbounded">

<xs:annotation>

<xs:documentation>Element containing the trading activity information for a 

trading desk.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attribute name="tradingActivity" use="required">

<xs:annotation>

<xs:documentation>Identify each covered trading activity in 

which the trading desk is engaged. Choose from the activity types listed in Table A of Annex A to identify the relevant 

exemptions or exclusions, and provide the associated code for each type of covered trading activity 

selected.</xs:documentation>

<xs:documentation>UW = Underwriting activity exempted under § 

75.4(a)</xs:documentation>

<xs:documentation>MM = Market making-related activity exempted 

under § 75.4(b</xs:documentation>

<xs:documentation>Hedging = Risk-mitigating hedging activity 

exempted under § 75.5 with respect to financial instruments</xs:documentation>

<xs:documentation>US Gov = Trading in domestic government 

obligations exempted under § 75.6(a)</xs:documentation>

<xs:documentation>Foreign Gov = Trading in foreign government 

obligations exempted under § 75.6(b)</xs:documentation>

<xs:documentation>Fiduciary = Fiduciary transactions exempted 

under § 75.6(c)(1)</xs:documentation>

<xs:documentation>RP = Riskless principal transactions 

exempted under § 75.6(c)(2)</xs:documentation>

<xs:documentation>Insurance = Trading by an insurance company 

or its affiliate exempted under § 75.6(d)</xs:documentation>

<xs:documentation>TOTUS = Trading by a foreign banking entity 

exempted under § 75.6(e)</xs:documentation>

<xs:documentation>Repo = Activity excluded under § 75.3(d)(1) 

</xs:documentation>

<xs:documentation>Sec Lending = Activity excluded under § 

75.3(d)(2) </xs:documentation>

<xs:documentation>Liquidity Mgmt = Activity excluded under § 

75.3(d)(3) </xs:documentation>

<xs:documentation>DCO/CA = Activity excluded under § 

75.3(d)(4) </xs:documentation>

<xs:documentation>Clearing Member = Activity excluded under § 

75.3(d)(5) </xs:documentation>
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<xs:documentation>Delivery = Activity excluded under § 

75.3(d)(6)(i) </xs:documentation>

<xs:documentation>Judicial = Activity excluded under § 

75.3(d)(6)(ii) </xs:documentation>

<xs:documentation>Agent = Activity excluded under § 75.3(d)(7) 

</xs:documentation>

<xs:documentation>Employee = Activity excluded under § 

75.3(d)(8) </xs:documentation>

<xs:documentation>DPC = Activity excluded under § 75.3(d)(9) 

</xs:documentation>

<xs:documentation>Purchase Error = Activity excluded under § 

75.3(d)(10) </xs:documentation>

<xs:documentation>Matched Swap = Activity excluded under § 

75.3(d)(11) </xs:documentation>

<xs:documentation>MSR Hedge = Activity excluded under § 

75.3(d)(12) </xs:documentation>

<xs:documentation>NTAL = Activity excluded under § 75.3(d)(13) 

</xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="xs:string">

<xs:enumeration value="UW"/>

<xs:enumeration value="MM"/>

<xs:enumeration value="Hedging"/>

<xs:enumeration value="US Gov"/>

<xs:enumeration value="Foreign Gov"/>

<xs:enumeration value="Fiduciary"/>

<xs:enumeration value="RP"/>

<xs:enumeration value="Insurance"/>

<xs:enumeration value="TOTUS"/>

<xs:enumeration value="Repo"/>

<xs:enumeration value="Sec Lending"/>

<xs:enumeration value="Liquidity Mgmt"/>

<xs:enumeration value="DCO/CA"/>

<xs:enumeration value="Clearing Member"/>

<xs:enumeration value="Delivery"/>

<xs:enumeration value="Judicial"/>

<xs:enumeration value="Agent"/>

<xs:enumeration value="Employee"/>

<xs:enumeration value="DPC"/>

<xs:enumeration value="Purchase Error"/>

<xs:enumeration value="Matched Swap"/>

<xs:enumeration value="MSR Hedge"/>

<xs:enumeration value="NTAL"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="tradingActivityMdrm" default="VVQMW890">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW890"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

<xs:element name="dailyDeskInfo" type="typeCalendarDay" minOccurs="90" maxOccurs="92">

<xs:annotation>

<xs:documentation>Element containing the daily trading desk 

information.</xs:documentation>

</xs:annotation>

</xs:element>

<xs:element name="internalLimitsAndUsage" minOccurs="0" maxOccurs="unbounded">

<xs:annotation>

<xs:documentation>Provide an internalLimitsAndUsage element for each limit that 

was applied on this desk.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:sequence>

<xs:element name="limitDailySchedule" maxOccurs="92">

<xs:annotation>
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<xs:documentation>Provide a limitDailySchedule for 

each trading date from the reporting period when this limit applied on this desk.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attribute name="limitDate" type="xs:date"

use="required">

<xs:annotation>

<xs:documentation>Use the format YYYYMM-DD.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitDateMdrm" default="VVQ1Y899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration

value="VVQ1Y899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="upperLimitSize"

type="decimal24_4_type">

<xs:annotation>

<xs:documentation>A limit might impose 

an upper bound, a lower bound, or both. If this limit imposes an upper bound then provide upperLimitSize and 

upperLimitSizeMdrm attributes. If this limit only applies a lower bound constraint then do not include these attributes 

in this element.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="upperLimitSizeMdrm"

default="VVQMFC41">

<xs:annotation>

<xs:documentation>A limit might impose 

an upper bound, a lower bound, or both. If this limit imposes an upper bound then provide upperLimitSize and 

upperLimitSizeMdrm attributes. If this limit only applies a lower bound constraint then do not include these attributes 

in this element.</xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration

value="VVQMFC41"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="lowerLimitSize"

type="decimal24_4_type">

<xs:annotation>

<xs:documentation>A limit might impose 

an upper bound, a lower bound, or both. If this limit imposes a lower bound then provide lowerLimitSize and 

lowerLimitSizeMdrm attributes. If this limit only applies an upper bound constraint then do not include these 

attributes in this element.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="lowerLimitSizeMdrm"

default="VVQMFC42">

<xs:annotation>

<xs:documentation>A limit might impose 

an upper bound, a lower bound, or both. If this limit imposes a lower bound then provide lowerLimitSize and 

lowerLimitSizeMdrm attributes. If this limit only applies an upper bound constraint then do not include these 

attributes in this element.</xs:documentation>

</xs:annotation>

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration

value="VVQMFC42"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="usage" type="decimal24_4_type"

use="required">

<xs:annotation>

<xs:documentation>Report the value of 

the trading desk’s risk or positions that are accounted for by the daily activity of the desk. For limits accounted for 
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at the end of the day, report the value of usage as of the end of the day. For limits accounted for during the day 

(intraday), report the maximum value of usage. Report the actual value of the risk or positions, not the percentage of 

the upper or lower limit utilized.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="usageMdrm" default="VVQMY390">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration

value="VVQMY390"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

</xs:sequence>

<xs:attribute name="limitIdentifier" type="string100_type" use="required">

<xs:annotation>

<xs:documentation>Report the limit ID listed in the Internal 

Limits Information Schedule.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="limitIdentifierMdrm" default="VVQMY382">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY382"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

<xs:element name="valueAtRisk" minOccurs="0" maxOccurs="92">

<xs:annotation>

<xs:documentation>A banking entity is required to report the VaR quantitative 

measurement for all trading desks engaged in covered trading activities.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attribute name="varDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>Provide the calendar date of the month. Use 

the format YYYY-MM-DD.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="varDateMdrm" default="VVQ2Y899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQ2Y899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="var" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the measurement of the risk of future 

financial loss in the value of the trading desk’s aggregated positions at the 99% confidence level over a 1-day holding 

period, based on current market conditions. Banking entities may calibrate to a 1-day holding period using appropriate 

scaling of a VaR measure made for a different holding period.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="varMdrm" default="VVQMY396">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY396"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

<xs:element name="profitAndLossAttribution" minOccurs="0" maxOccurs="92">

<xs:annotation>

<xs:documentation>A banking entity is required to report the Comprehensive 

Profit and Loss Attribution quantitative measurement for all trading desks engaged in covered trading activities. 
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Comprehensive Profit and Loss Attribution is an analysis that attributes the daily fluctuation in the value of a trading 

desk’s positions to various sources.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:sequence>

<xs:element name="profitAndLossByFactor"

type="typeProfitAndLossByFactor" minOccurs="0" maxOccurs="unbounded">

<xs:annotation>

<xs:documentation>Report the risk factors and other 

factors that comprise Part 4.A, Item 85, Profit and Loss Due to Change in Risk Factors and Other Factors. Banking 

entities must include enough risk factors to explain the preponderance of the profit or loss changes due to risk factor 

changes.</xs:documentation>

</xs:annotation>

</xs:element>

</xs:sequence>

<xs:attribute name="plDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>Provide the calendar date of the month. Use 

the format YYYY-MM-DD.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="plDateMdrm" default="VVQ3Y899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQ3Y899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="comprehensive" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the trading desk’s comprehensive 

profit and loss, which is determined by adding profit and loss on new and existing positions, as well as residual profit 

and loss that cannot be specifically attributed to existing or new positions. “New positions” are positions resulting 

from the current day’s trading activity. </xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="comprehensiveMdrm" default="VVQMY398">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY398"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="existingPositions" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss attributable to a 

trading desk’s existing positions. The comprehensive profit and loss associated with existing positions must reflect 

changes in the value of these positions on the applicable day. </xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="existingPositionsMdrm" default="VVQMY399">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY399"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="newPositions" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss attributable to 

new positions. The comprehensive profit and loss attributed to new positions must reflect commissions and fee income or 

expenses and market gains or losses associated with transactions executed on the applicable day. New positions include 

purchases and sales of financial instruments and other assets/liabilities and negotiated amendments to existing 

positions. The comprehensive profit and loss from new positions may be reported in the aggregate and does not need to 

be further attributed to specific sources. The new position attribution is computed by calculating the difference 

between the value of the instruments when bought and/or sold and the value at which those instruments are marked to 

market at the close of business on that day. Any fees, commissions, or other payments received (paid) that are 

associated with transactions executed on that day are added (subtracted) from such difference. These factors should be 

measured consistently over time to facilitate historical comparisons.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="newPositionsMdrm" default="VVQMY400">
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<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY400"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="riskChange" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss attributed to 

changes in the specific risk factors and other factors that are monitored and managed as part of the trading desk’s 

overall risk management policies and procedures.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="riskChangeMdrm" default="VVQMY402">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY402"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="otherAttributable" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report any portion of the daily profit and 

loss produced by revaluing the positions held at the end of the previous day using the market data at the end of the 

current day that is not specifically attributed to changes in risk factors monitored and managed as part of the trading 

desk’s overall risk management policies and procedures.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="otherAttributableMdrm" default="VVQMY401">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY401"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="cashFlow" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss due to actual 

cash flows, if not included elsewhere.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="cashFlowMdrm" default="VVQMY403">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY403"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="carry" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss due to changes in 

carry. </xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="carryMdrm" default="VVQMY404">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY404"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="valuation" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss due to changes in 

reserves or valuation adjustments.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="valuationMdrm" default="VVQMY405">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY405"/>

</xs:restriction>
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</xs:simpleType>

</xs:attribute>

<xs:attribute name="tradeChanges" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report the profit and loss due to changes 

emanating from the correction, cancellation, or exercise of a trade. Material amendments to the economic terms of 

existing financial instrument contracts (other than corrections, cancellations or excercises) are considered new trades 

.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="tradeChangesMdrm" default="VVQMY406">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY406"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="otherUnattributed" type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Report all other attributable elements to 

profit and loss on existing positions that are not included elsewhere.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="otherUnattributedMdrm" default="VVQMY407">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY407"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

<xs:element name="positions" minOccurs="0" maxOccurs="92">

<xs:annotation>

<xs:documentation>A banking entity is required to report the Positions 

quantitative measurement for trading desks that rely on § 75.4(a) or § 75.4(b) to conduct underwriting activity or 

market making-related activity, respectively. </xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attribute name="positionsDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>Provide the calendar date. Use the format 

YYYY-MM-DD.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="positionsDateMdrm" default="VVQ4Y899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQ4Y899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="securitiesMarketLong" type="nonNegInteger24_type"

use="required">

<xs:annotation>

<xs:documentation>Market value of all long securities 

positions.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="securitiesMarketLongMdrm" default="VVQMW901">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW901"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="securitiesMarketShort" type="nonNegInteger24_type"

use="required">

<xs:annotation>

<xs:documentation>Market value of all short securities 

positions.</xs:documentation>

</xs:annotation>
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</xs:attribute>

<xs:attribute name="securitiesMarketShortMdrm" default="VVQMW902">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW902"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="derivativesMarketReceivable" type="nonNegInteger24_type"

use="required">

<xs:annotation>

<xs:documentation>Market value of all derivatives 

receivables.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="derivativesMarketReceivableMdrm" default="VVQMY904">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY904"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="derivativesMarketPayable" type="nonNegInteger24_type"

use="required">

<xs:annotation>

<xs:documentation>Market value of all derivatives 

payables.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="derivativesMarketPayableMdrm" default="VVQMY905">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY905"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

<xs:element name="transactionVolumes" minOccurs="0" maxOccurs="92">

<xs:annotation>

<xs:documentation>A banking entity must report the value and number of security 

and derivative transactions conducted by the trading desk with: (i) customers, excluding internal transactions; (ii) 

non-customers, excluding internal transactions; (iii) trading desks and other organizational units where the transaction 

is booked in the same banking entity or an affiliated banking entity.</xs:documentation>

</xs:annotation>

<xs:complexType>

<xs:attribute name="transactionsDate" type="xs:date" use="required">

<xs:annotation>

<xs:documentation>Provide the calendar date of the month. Use 

the format YYYY-MM-DD.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="transactionsDateMdrm" default="VVQ5Y899">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQ5Y899"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossCustomerSecuritiesMarketValue" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Gross market value of all securities 

transactions conducted with customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="customerSecuritiesMarketValueMdrm" default="VVQMW905">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW905"/>

</xs:restriction>

</xs:simpleType>
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</xs:attribute>

<xs:attribute name="grossCustomerSecuritiesVolume" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Number of all securities transactions 

conducted with customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="customerSecuritiesVolumeMdrm" default="VVQMW906">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW906"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossCustomerDerivativesNotionalValue"

type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Gross notional value of all derivatives 

transactions conducted with customers. </xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="customerDerivativesNotionalValueMdrm" default="VVQMW903">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW903"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossCustomerDerivativesVolume" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Number of all derivatives transactions 

conducted with customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="customerDerivativesVolumeMdrm" default="VVQMW904">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW904"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossNonCustomerSecuritiesMarketValue"

type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Gross market value of all securities 

transactions conducted with non-customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="nonCustomerSecuritiesMarketValueMdrm" default="VVQMW909">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW909"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossNonCustomerSecuritiesVolume" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Number of all securities transactions 

conducted with non-customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="nonCustomerSecuritiesVolumeMdrm" default="VVQMW910">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW910"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>
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<xs:attribute name="grossNonCustomerDerivativesNotionalValue"

type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Gross notional value of all derivatives 

transactions conducted with non-customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="nonCustomerDerivativesNotionalValueMdrm"

default="VVQMW907">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW907"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossNonCustomerDerivativesVolume" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Number of all derivatives transactions 

conducted with non-customers.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="nonCustomerDerivativesVolumeMdrm" default="VVQMW908">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMW908"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossInternalSecuritiesMarketValue" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Gross market value of all securities 

transactions where the transaction is booked in either the same banking entity or an affiliated banking 

entity.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="internalSecuritiesMarketValueMdrm" default="VVQMY910">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY910"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossInternalSecuritiesVolume" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Number of all securities transactions where 

the transaction is booked in either the same banking entity or an affiliated banking entity.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="internalSecuritiesVolumeMdrm" default="VVQMY911">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY911"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

<xs:attribute name="grossInternalDerivativesNotionalValue"

type="integer24_type" use="required">

<xs:annotation>

<xs:documentation>Gross notional value of all derivatives 

transactions where the transaction is booked in either the same banking entity or an affiliated banking 

entity.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="internalDerivativesNotionalValueMdrm" default="VVQMY912">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY912"/>

</xs:restriction>

</xs:simpleType>
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</xs:attribute>

<xs:attribute name="grossInternalDerivativesVolume" type="integer24_type"

use="required">

<xs:annotation>

<xs:documentation>Number of all derivatives transactions where 

the transaction is booked in either the same banking entity or an affiliated banking entity.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="internalDerivativesVolumeMdrm" default="VVQMY913">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY913"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

</xs:element>

</xs:sequence>

<xs:attributeGroup ref="grpTradingDesk"/>

</xs:complexType>

<xs:complexType name="typeLimitMotivation">

<xs:annotation>

<xs:documentation>The motivation for the limit, or the source(s) of analysis by which the limit 

was set</xs:documentation>

</xs:annotation>

<xs:attributeGroup ref="grpLimitMotivation">

<xs:annotation>

<xs:documentation>The individual sources or motivations for the limit imposed on one or 

more desks.</xs:documentation>

</xs:annotation>

</xs:attributeGroup>

</xs:complexType>

<xs:complexType name="typeProfitAndLossByFactor">

<xs:annotation>

<xs:documentation> Profit and Loss attribution by individual factor.</xs:documentation>

</xs:annotation>

<xs:attributeGroup ref="grpProfitAndLossFactor">

<xs:annotation>

<xs:documentation>Attributes describing the Profit-and-Loss Factor 

metrics</xs:documentation>

</xs:annotation>

</xs:attributeGroup>

</xs:complexType>

<xs:complexType name="typeCalendarDay">

<xs:attributeGroup ref="grpDayOfMonth"/>

<xs:attribute name="currencyConversionRate" type="decimal24_8_type">

<xs:annotation>

<xs:documentation>Specify the conversion rate for the specified currency to U.S. 

dollars for each trading day. If values for a trading desk are reported in a currency other than U.S. dollars, specify 

the multiplier conversion rate (not divisor) for the specified currency to U.S. dollars for the trading desk. For U.S. 

dollars, report 1.</xs:documentation>

</xs:annotation>

</xs:attribute>

<xs:attribute name="currencyConversionRateMdrm" default="VVQMY386">

<xs:simpleType>

<xs:restriction base="string8_type">

<xs:enumeration value="VVQMY386"/>

</xs:restriction>

</xs:simpleType>

</xs:attribute>

</xs:complexType>

<xs:element name="volckerMetricsReport" type="typeVolckerMetricsReport">

<xs:annotation>

<xs:documentation>Quantitative metrics as identified under the Volcker Rule</xs:documentation>

</xs:annotation>

</xs:element>

</xs:schema>
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Annex D: File Compression and Transmission Protocols