Quarterly Report on Bank Trading and Derivatives ActivitiesThe Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities is based

Quarterly Report on Bank Trading andDerivatives Activities Third Quarter 2019

Office of the Comptroller of the Currency Washington DC

December 2019

Contents About This Report 1

Executive Summary1

Revenue2 Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue2 Holding Company Trading Revenue 2 Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue3

Counterparty Credit Risk 3

Market Risk8 Value-at-Risk 8 Volatility Index 8 Level 3 Trading Assets 9 Notional Amounts of All Derivative Contracts 10 Credit Derivatives 11 Compression Activity 11 Centrally Cleared Derivative Contracts 12

Glossary of Terms13

Index of Tables and Figures15

Appendix Supplementary Graphs and Tables16

Quarterly Derivatives Report Third Quarter 2019 i

About This Report The Office of the Comptroller of the Currencyrsquos (OCC) quarterly report on bank trading and derivatives activities is based on call report information provided by all insured US commercial banks and savings associations reports filed by US financial holding companies and other published data A total of 13341 insured US commercial banks and savings associations reported trading and derivatives activities at the end of the third quarter of 2019 A small group of large financial institutions continues to dominate trading and derivatives activity in the US commercial banking system During the third quarter of 2019 four large commercial banks represented 872 percent of the total banking industry notional amounts and 832 percent of industry net current credit exposure (NCCE) (see tables 1 and 4 in the appendix)

The OCC and other supervisors have dedicated examiners at the largest banks to continuously evaluate the credit market operational reputation and compliance risks of bank trading and derivatives activities In addition to the OCCrsquos supervisory activities the OCC works with other financial supervisors and major market participants to address infrastructure clearing and margining issues in over-the-counter (OTC) derivatives OCC activities include development of objectives and milestones for stronger trade processing and improved market transparency across derivative categories migration of certain highly liquid products to clearinghouses and requirements for posting and collecting margin

This is the 96th edition of the OCCrsquos Quarterly Report on Bank Trading and Derivatives Activities The first report was published in 1995 Please send any comments or feedback on the structure and content of this report to the OCC by email QuarterlyDerivativesocctreasgov

Executive Summary

bull Insured US commercial banks and savings associations (collectively banks) reported trading revenue of $72 billion in the third quarter of 2019 $09 billion less (109 percent) than in the previous quarter and $01 billion more (20 percent) than a year earlier (see table 1)

bull Credit exposure from derivatives increased in the third quarter of 2019 compared with the second quarter of 2019 NCCE increased $542 billion or 146 percent to $425 billion (see table 5)

bull Derivative notional amounts decreased in the third quarter of 2019 by $37 trillion or 18 percent to $2011 trillion (see table 10)

bull Derivative contracts remained concentrated in interest rate products which totaled $1471 trillion or 731 percent of total derivative notional amounts (see table 10)

1 Institutions with total assets of less than $5 billion have the option to file the FFIEC 051 call report Due to the limited amount of derivatives data provided by FFIEC 051 call report filers this report provides this information separately and distinctly in table 13 in the appendix

Quarterly Derivatives Report Third Quarter 2019 1

Revenue

Insured US Commercial Banks and Savings Associationsrsquo TradingRevenue

Insured US commercial banks and savings associations reported $72 billion in trading revenue in the third quarter of 2019 $09 billion less (109 percent) than in the previous quarter and $01 billion more (20 percent) than a year earlier (see table 1) The quarter-over-quarter decrease in trading revenue was driven by decreases in combined interest rate and foreign exchange (FX) derivatives and equity derivatives For a historical view of quarterly bank trading revenue by instrument see graph 9a in the appendix

Table 1 Quarterly Bank Trading Revenue in Millions of Dollars

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

Interest rate and foreign exchange $4241 $5630 -$1390 -247 $5129 -$888 -173 Equity $1805 $2464 -$659 -267 $1444 $362 251 Commodity and other $1109 -$43 $1153 26579 $346 $763 2203 Credit $43 $30 $13 426 $141 -$98 -697 Total trading revenue $7198 $8081 -$883 -109 $7059 $138 20

Source Call reports Schedule RI

Holding Company Trading Revenue

Consolidated bank holding company (BHC) trading performance provides a more complete picture of trading revenue in the banking system As shown in table 2 consolidated holding company trading revenue of $164 billion in the third quarter of 2019 was $20 billion (108 percent) lower than in the previous quarter The quarter-over-quarter decrease in trading revenue was driven by decreases in combined interest rate and FX derivatives equity derivatives and credit derivatives Year-over-year holding company trading revenue increased by $27 billion (200 percent) For a historical view of quarterly holding company trading revenue by instrument see graph 9b in the appendix

Table 2 Quarterly Holding Company Trading Revenue in Millions of Dollars

3Q 2019

2Q 2019

QQ change

3Q 2018

YY change

Interest rate and foreign exchange $9578 $10093 -$515 -51 $6891 $2687 390 Equity $4547 $6083 -$1536 -253 $5222 -$675 -129 Commodity and other $1046 $512 $534 1043 $874 $172 197 Credit $1217 $1689 -$472 -279 $666 $551 827 Total HC trading revenue $16389 $18378 -$1989 -108 $13653 $2736 200

Source Consolidated Financial Statements for Holding CompaniesmdashFR Y-9C Schedule HI

Bank Trading Revenue as a Percentage of Consolidated HoldingCompany Trading Revenue

Before the financial crisis trading revenue at banks typically ranged from 60 percent to 80 percent of consolidated BHC trading revenue Since the financial crisis and the adoption of bank charters by the former investment banks the percentage of bank trading revenue to consolidated BHC trading revenue has fallen and is now typically between 30 percent and 50 percent This decline reflects the significant amount of trading activity by the former investment banks that while included in BHC results remains outside insured commercial banks More generally insured US commercial banks and savings associations have more limited legal authorities than their holding companies particularly in the trading of commodity and equity products

In the third quarter of 2019 banks generated 439 percent of consolidated holding company trading revenue down from 44 percent in the previous quarter (see figure 1)

Figure 1 Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue

Source Consolidated Financial Statements for Holding CompaniesmdashFR Y-9C (Schedule HI) and call report (Schedule RI)

Counterparty Credit Risk Counterparty credit risk is a significant risk in bank derivative trading activities The notional amount of a derivative contract is a reference amount that determines contractual payments but it is generally not an amount at risk The credit risk in a derivative contract is a function of a number of variables such as whether counterparties exchange notional principal the volatility of the underlying market factors (interest rate currency commodity equity or corporate reference entity) the maturity and liquidity of the contract and the creditworthiness of the counterparty

Credit risk in derivatives differs from credit risk in loans because of the more uncertain nature of the potential credit exposure Because the credit exposure is a function of movements in market factors banks do not know and can only estimate how much the value of the derivative contract might be at various points in the future

The credit exposure is bilateral in most derivative transactions such as swaps (which make up the bulk of bank derivative contracts) Each party to the contract may (and if the contract has a long enough tenor probably will) have a credit exposure to the other party at various times during the contractrsquos life With a funded traditional loan the amount at risk is the amount advanced to the borrower The credit risk is unilateral as the bank faces the credit exposure of the borrower

Measuring credit exposure in derivative contracts involves identifying those contracts on which a bank would lose value if the counterparty to a contract defaulted The total of all contracts with positive value (ie derivative receivables) to the bank is the gross positive fair value (GPFV) and represents an initial measurement of credit exposure The total of all contracts with negative value (ie derivative payables) to the bank is the gross negative fair value (GNFV) and represents a measurement of the exposure the bank poses to its counterparties

GPFV increased by $293 billion (147 percent) in the third quarter of 2019 to $23 trillion primarily driven by a $220 billion (164 percent) increase in receivables from interest rate contracts (see table 3) GNFV increased $287 billion (148 percent) to $22 trillion during the quarter primarily driven by a $221 billion (172 percent) increase in payables on interest rate contracts

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

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

Interest rate $1563 $1343 $220 164 $970 $593 612 Foreign exchange $506 $442 $64 145 $544 -$37 -69 Equity $115 $119 -$4 -29 $132 -$17 -128 Commodities $47 $36 $11 304 $52 -$5 -89 Credit $47 $46 $1 21 $55 -$8 -151 Gross positive fair value $2279 $1987 $293 147 $1753 $526 300

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

Interest rate $1509 $1287 $221 172 $916 $593 647 Foreign exchange $503 $445 $59 133 $518 -$14 -28 Equity $114 $120 -$6 -51 $130 -$17 -127 Commodities $52 $39 $13 337 $49 $2 48 Credit $50 $49 $0 06 $56 -$7 -116 Gross negative fair value $2227 $1940 $287 148 $1669 $558 334

Source Call reports Schedule RC-L

A legally enforceable netting agreement between a bank and a counterparty creates a single legal obligation for all transactions (called a ldquonetting setrdquo) under the agreement Therefore when banks have such agreements with their counterparties contracts with negative values (an amount a bank would pay to its counterparty) can offset contracts with positive values (an amount owed by the counterparty to the bank) leaving an NCCE as shown in table 4

Table 4 Netting Contract Examples

Bank A portfolio with Counterparty B Number of contracts

Value of contracts Credit measuremetric

Contracts with positive value to Bank A 6 $500 Gross positive fair value Contracts with negative value to Bank A 4 -$350 Gross negative fair value Total contracts 10 $150 NCCE to Bank A from Counterparty B

Most but not necessarily all derivative transactions that a bank has with an individual counterparty are subject to a legally enforceable netting agreement Some transactions may be subject to the laws of a jurisdiction that does not provide legal certainty of netting agreements in which case banks must regard such transactions as separate from the netting set Other transactions may involve nonstandard contractual documentation Transactions that are not subject to the same legally enforceable netting agreement have distinct values that cannot be netted and for which the appropriate current credit measure is the gross exposure to the bank if that amount is positive While banks can net exposures within a netting set under the same netting agreement they cannot net exposures across netting sets without a separate legally enforceable netting agreement As a result a bankrsquos NCCE to a particular counterparty equals the sum of the GPFV of contracts less the dollar amount of netting benefits with that counterparty A bankrsquos NCCE across all counterparties equals the sum of its NCCE to each of its counterparties

NCCE is the primary metric the OCC uses to evaluate credit risk in bank derivative activities NCCE for insured US commercial banks and savings associations increased by $54 billion (146 percent) to $425 billion in the third quarter of 2019 (see table 5)2 Legally enforceable netting agreements allowed banks to reduce GPFV exposures by 814 percent ($19 trillion) in the third quarter of 2019

Table 5 Net Current Credit Exposure in Billions of Dollars

3Q 2019

2Q 2019

QQ Change

Gross positive fair value $2279 $1987 $293 147 NCCE RC-R $425 $371 $54 146 Netting benefit RC-R $1854 $1616 $238 148 Netting benefit RC-R 814 813 01

Source Call reports Schedules RC-L and RC-R

NCCE peaked at $804 billion at the end of 2008 during the financial crisis when interest rates had plunged and credit spreads were very high (see figure 2) The significant decline in NCCE since 2008 has largely resulted from declines in the GPFV of interest rate and credit contracts The GPFV from interest rate contracts has fallen from $51 trillion at the end of 2008 to $16 trillion at the end of the third quarter of 2019 (see table 3) In addition on September 30

2 Banks report NCCE on two different schedules (RC-R and RC-L) of the call report and the amounts reported are not the same because of differences in the scope of coverage Neither measure comprehensively captures NCCE RC-L includes exposure only from OTC derivative transactions it excludes exchange-traded transactions RC-R excludes transactions not subject to capital requirements This report uses RC-R to measure NCCE

2019 exposure from credit contracts was $470 billion which is $10 trillion lower (957 percent) than the $11 trillion on December 31 2008 (see table 3)

Figure 2 Net Current Credit Exposure in Billions of Dollars

Source Call reports Schedule RC-R

The bulk of NCCE in the financial system is concentrated in banks and securities firms (422 percent) and in corporations and other counterparties (468 percent) (see table 6) The combined exposure to hedge funds and sovereign governments was small (110 percent in total)

Table 6 NCCE by Counterparty Type as a Percentage of Total NCCE

Banks and securities firms Hedge funds

Sovereign governments

Corp and all other counterparties

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

A more risk-sensitive measure of credit exposure would consider the value of collateral held against counterparty exposures Reporting banks held collateral valued at 1092 percent of their total NCCE at the end of the third quarter of 2019 down slightly from 1101 percent in the second quarter of 2019 (see table 7) Collateral held against hedge fund exposures increased in the third quarter and coverage remains very high at 5438 percent Bank exposures to hedge funds are secured because banks take initial margin on transactions with hedge funds in addition to fully securing any current credit exposure Collateral coverage of corporate and sovereign exposures is much less than coverage of financial institutions and hedge funds although coverage of corporate exposures has been increasing over the past several years because of increases in the volume of trades cleared at central counterparties

Table 7 Ratio of Fair Value Collateral to Net Current Credit Exposure

FV banks and securities firms FV hedge funds

FV sovereign governments

FV corporateand all other counterparties FVNCCE

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

The majority of collateral held by banks against NCCE is very liquid with 631 percent held in cash (both US dollar and non-dollar) and an additional 125 percent held in US Treasuries and government agency securities (see table 8) Supervisors assess changes in the quality and liquidity of collateral held as a key early indicator of potential easing in credit terms Examiners review the collateral management practices of derivative dealers as a regular part of their supervision activities

Table 8 Composition of Collateral

Cash US $ Cash other currencies

US Treasurysecurities

US gov agency

Corpbonds

Equitysecurities

All other collateral

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Credit quality metrics for derivative exposures improved in the third quarter of 2019 as banks reported net recoveries of $48 million compared with net charge-offs of $172 million in the second quarter of 2019 (see graph 7 in the appendix) The number of banks reporting charge-offs decreased from 13 to 11 banks Net charge-offs in the third quarter of 2019 represented 0001 percent of the NCCE from derivative contracts For comparison purposes commercial and industrial (CampI) loan net charge-offs increased $4171 million or 235 percent to $22 billion during the quarter and were 01 percent of total CampI loans Charge-offs of derivative exposures typically are associated with problem commercial lending exposures in which the borrower has an associated swap transaction

Market Risk

Value-at-Risk

Banks primarily control market risk in trading operations by establishing limits against potential losses Banks use value-at-risk (VaR) to quantify the maximum expected loss over a specified time period and at a certain confidence level under relevant market conditions Banks subject to the market risk capital rule 12 CFR 3 subpart F are required to report their VaR-based measures quarterly on Form FFIEC 102 The VaR measurement is calculated on a daily basis using a one-tail 99 percent confidence level and a holding period equivalent to a 10-business-day movement in underlying risk factors such as rates spreads and prices Tables 9a and 9b show the quarter-over-quarter change in VaR as well as the VaR-based capital charge for banks most active in trading and derivatives activity As shown in table 9a market risk in trading operations as measured by VaR is a small proportion of their risk-based capital Graph 16 in the appendix illustrates the historical trend in VaR measurements for these institutions

Table 9a Value-at-Risk in Millions of Dollars

JPMorganChase Bank

NA Citibank NA Bank of

America NA

Goldman Sachs Bank

USA 3Q 2019 Average 60 Day VaR $130 $96 $47 $132 2Q 2019 Average 60 Day VaR $114 $87 $67 $106 QQ Change $16 $9 -$20 $26 3Q 2019 Total Risk-Based Capital $223038 $155735 $166062 $33950

Source Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital RulemdashFFIEC 102

Table 9b Value-at-Risk Capital Requirement in Millions of Dollars

JPMorganChase Bank

America NA

Goldman Sachs Bank

USA 3Q 2019 VaR Capital Requirement $390 $288 $141 $397 2Q 2019 VaR Capital Requirement $341 $261 $201 $317 QQ Change $49 $27 -$60 $80 3Q 2019 Total Risk-Based Capital $223038 $155735 $166062 $33950

Volatility Index

Figure 3 shows the VIX a volatility index3 which measures the marketrsquos expectation of stock market volatility in the SampP 500 index over the next 30-day period The chart illustrates that there has been an extended period of low volatility since the end of the financial crisis

3 VIX is the trademarked ticker symbol for the Chicago Board Options Exchange SPX Volatility Index

Figure 3 Volatility Index (VIX)

Source Bloomberg

Level 3 Trading Assets

Another measure used to assess market risk is the volume of and changes in level 3 trading assets Level 3 trading assets are assets whose fair value cannot be determined by using observable inputs such as market prices Since the peak of the financial crisis at the end of 2008 major dealers have reduced the volume of level 3 trading assets Because banks cannot observe inputs into the models that determine the fair value of these illiquid exposures banks use their own assumptions in determining their fair values Level 3 trading assets peaked at $2041 billion at the end of 2008 (see figure 4) At the end of the third quarter of 2019 banks held $28 billion of level 3 trading assets up 51 percent from the previous quarter and 73 percent lower than a year ago Level 3 trading assets are $1759 billion (862 percent) lower than the peak level from 2008

Figure 4 Level 3 Trading Assets in Billions of Dollars

Source Call reports Schedule RC-Q

Notional Amounts of All Derivative Contracts

Changes in notional amounts are generally reasonable reflections of business activity and can provide insight into potential revenue and operational issues The notional amount of derivative contracts however does not provide a useful measure of market or credit risk

The total notional amount of derivative contracts held by banks in the third quarter decreased by $37 trillion (18 percent) to $2011 trillion from the previous quarter (see table 10) The decrease in the notional amount of derivative contracts by underlying risk exposure was primarily driven by a $48 trillion decrease in interest rate notional amounts Interest rate notional amounts continued to represent the majority of banksrsquo derivative holdings at $1471 trillion or 731 percent of total derivatives (see table 10)

The decrease in the total notional amount of derivative contracts by contract type was driven by a decrease in option contracts as well as swap contracts (see table 11) Swap contracts remained the leading derivatives contract type at 542 percent of all notional amounts

The four banks with the most derivative activity hold 872 percent of all bank derivatives while the largest 25 banks account for nearly 100 percent of all contracts (see tables 3 and 5 and graph 4 in the appendix for further information)

Table 10 Derivative Notional Amounts by Underlying Risk Exposure Quarter-Over-Quarter in Billions ofDollars

3Q 2019 2Q 2019 QQ

Change QQ Change 3Q 2018

YY Change

Interest rate $147079 $151852 -$4773 -31 $156774 -$9695 -62 Foreign exchange $44382 $43744 $639 15 $40710 $3672 90 Equity $3835 $3723 $113 30 $3645 $191 52 Commodity $1662 $1482 $180 121 $1526 $136 89 Credit derivatives $4183 $4074 $109 27 $4342 -$159 -37 Total notional $201141 $204874 -$3732 -18 $206995 -$5854 -28

Table 11 Derivative Notional Amounts by Contract Type Quarter-Over-Quarter in Billions of Dollars

3Q 2019 2Q 2019 QQ

YY Change

Futures and forwards $46958 $46207 $751 16 $47051 -$93 -02 Swaps $108935 $110905 -$1970 -18 $104801 $4134 39 Options $41066 $43688 -$2622 -60 $50801 -$9735 -192 Credit derivatives $4183 $4074 $109 27 $4342 -$159 -37 Total notional $201141 $204874 -$3732 -18 $206995 -$5854 -28

Credit Derivatives

The notional amounts of credit derivatives increased $109 billion (27 percent) to $42 trillion in the third quarter of 2019 (see table 10) Contracts referencing investment-grade firms increased $590 billion and contracts referencing sub-investment-grade firms increased $500 billion in the third quarter (see graph 14 in the appendix) Credit derivatives outstanding remained well below the peak of $164 trillion in the first quarter of 2008 (see graph 1 in the appendix) As shown in figure 5 credit default swaps are the dominant product at $37 trillion (881 percent) of all credit derivative notional amounts

Credit derivative contracts referencing investment-grade entities with maturities from one to five years represented the largest segment of the market at $21 trillion or 498 percent of all credit derivative notional amounts Contracts of all tenors that reference investment-grade entities are $31 trillion or 738 percent of the market (see chart on right in figure 5)

Figure 5 3Q 2019 Credit Derivative Composition in Billions of Dollars

The notional amount for the 83 banks that net sold credit protection (ie assumed credit risk) was $20 trillion up $407 billion (21 percent) from the second quarter of 2019 (see table 12 in the appendix) The notional amount for the 68 banks that net purchased credit protection (ie hedged credit risk) was $22 trillion $680 billion higher (32 percent) than in the second quarter of 2019 (see table 12 in the appendix)

Compression Activity

Notional amounts of banksrsquo derivative contracts have generally declined since 2011 because of trade compression efforts leading to less need for risk management products Trade compression continues to be a significant factor in reducing the amount of notional derivatives outstanding

Trade compression aggregates a large number of swap contracts with similar factors such as risk or cash flows into fewer trades Compression removes economic redundancy in a derivative book and reduces operational risk and capital costs for large banks Trade compression activities increased in the third quarter of 2019 as shown in figure 6

Figure 6 Quarterly Compression Activity in Trillions of Dollars

Source LCH Clearnet

Centrally Cleared Derivative Contracts

In the first quarter of 2015 banks began reporting their volumes of cleared and non-cleared derivative transactions as well as risk weights for counterparties in each of these categories In the third quarter of 2019 430 percent of banksrsquo derivative holdings were centrally cleared (see table 12) From a market factor perspective 551 percent of interest rate derivative contractsrsquo notional amounts outstanding were centrally cleared while very little of the FX derivative market was centrally cleared The bank-held credit derivative market remained largely uncleared as 283 percent of credit derivative transactions were centrally cleared during the third quarter of 2019

Centrally cleared derivative transactions were heavily concentrated at qualifying central counterparties with 916 percent of notional amounts reflecting the 2 percent risk weight applicable to such counterparties

Table 12 Centrally Cleared Derivative Contracts as a Percentage of Total Derivative Contracts

Interest rate

Foreignexchange Equity

Precious metals Credit Other Total

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

Glossary of Terms Bilateral netting A legally enforceable arrangement between a bank and a counterparty that creates a single legal obligation covering all included individual contracts This arrangement means that a bankrsquos receivables or payables in the event of the default or insolvency of one of the parties would be the net sum of all positive and negative fair values of contracts included in the bilateral netting arrangement

Centrally cleared derivative contract A standardized derivative contract that is transacted bilaterally but submitted for clearing to a central counterparty with the central counterparty becoming the ultimate counterparty to both the buyer and the seller

Credit derivative A financial contract that allows a party to take on or reduce credit exposure (generally on a bond loan or index) The OCCrsquos derivatives survey includes OTC credit derivatives such as credit default swaps total return swaps and credit spread options

Derivative A financial contract in which the value is derived from the performance of underlying market factors such as interest rates currency exchange rates and commodity credit and equity prices Derivative transactions include a wide assortment of financial contracts such as structured debt obligations and deposits swaps futures options caps floors collars forwards and various combinations thereof

Gross negative fair value (GNFV) The sum total of the fair values of contracts when the bank owes money to its counterparties without taking netting into account This amount represents the maximum losses the bankrsquos counterparties would incur if the bank defaulted and there was no netting of contracts and the counterparties held no bank collateral GNFVs associated with credit derivatives are included

Gross positive fair value (GPFV) The sum total of the fair values of contracts when the bank is owed money by its counterparties without taking netting into account This amount represents the maximum losses a bank would incur if all its counterparties defaulted and there was no netting of contracts and the bank held no counterparty collateral GPFVs associated with credit derivatives are included

Net current credit exposure (NCCE) For a portfolio of derivative contracts NCCE is the GPFV of contracts less the dollar amount of netting benefits On any individual contract current credit exposure (CCE) is the fair value of the contract if positive and zero when the fair value is negative or zero NCCE is also the net amount owed to banks if all contracts were immediately liquidated

Notional amount The nominal or face amount that is used to calculate payments made on swaps and other risk management products This amount generally does not change hands and is thus referred to as notional

OTC derivative contracts Privately negotiated derivative contracts that are transacted off of organized exchanges

Potential future exposure (PFE) An estimate of what the CCE could be over time based on a supervisory formula in the agenciesrsquo risk-based capital rules PFE is generally determined by multiplying the notional amount of the contract by a credit conversion factor that is based on the underlying market factor (eg interest rates commodity prices or equity prices) and the contractrsquos remaining maturity The risk-based capital rules however permit banks to adjust the formulaic PFE measure by the net-to-gross ratio which proxies the risk-reduction benefits attributable to a valid bilateral netting contract PFE data in this report use the amounts on which banks hold risk-based capital

Qualifying central counterparties (QCCP) QCCPs are defined in 12 CFR 32 as either a CCP that the Financial Stability Oversight Council has designated systemically important under title VIII of the DoddndashFrank Wall Street Reform and Consumer Protection Act or that meets a series of standards See 12 CFR 32 for a full definition

Total credit exposure (TCE) The sum total of NCCE and PFE

Total risk-based capital The sum of tier 1 plus tier 2 capital Tier 1 capital generally consists of common shareholdersrsquo equity perpetual preferred shareholdersrsquo equity with noncumulative dividends retained earnings and tier 1 capital of consolidated subsidiaries that is not owned by the bank (minority interest) less regulatory adjustments and deductions Tier 2 capital generally consists of subordinated debt intermediate-term preferred stock cumulative and long-term preferred stock tier 2 capital of consolidated subsidiaries that is not owned by the bank (minority interest) and a portion of a bankrsquos allowance for loan and lease losses less regulatory adjustments and deductions

Trade compression A significant factor in reducing the amount of notional derivatives outstanding Trade compression aggregates a large number of swap contracts with similar factors such as risk or cash flows into fewer trades Compression removes economic redundancy in a derivative book and reduces operational risks and capital costs for large banks

Volatility index (VIX) A measure of the marketrsquos expectation of stock market volatility of SampP 500 index options over the next 30-day period

Index of Tables and Figures Table 1 Quarterly Bank Trading Revenue in Millions of Dollars 2

Table 2 Quarterly Holding Company Trading Revenue in Millions of Dollars 2

Figure 1 Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue 3

Table 3 Gross Positive Fair Values and Gross Negative Fair Values in Billions of Dollars 4

Table 4 Netting Contract Examples 5

Table 5 Net Current Credit Exposure in Billions of Dollars 5

Figure 2 Net Current Credit Exposure in Billions of Dollars 6

Table 6 NCCE by Counterparty Type as a Percentage of Total NCCE 6

Table 7 Ratio of Fair Value Collateral to Net Current Credit Exposure 7

Table 8 Composition of Collateral 7

Table 9a Value-at-Risk in Millions of Dollars 8

Table 9b Value-at-Risk Capital Requirement in Millions of Dollars 8

Figure 3 Volatility Index (VIX) 9

Figure 4 Level 3 Trading Assets in Billions of Dollars 9

Table 10 Derivative Notional Amounts by Underlying Risk Exposure

Quarter-Over-Quarter in Billions of Dollars 10

Table 11 Derivative Notional Amounts by Contract Type Quarter-Over-Quarter

in Billions of Dollars 10

Figure 5 Credit Derivative Composition in Billions of Dollars 11

Figure 6 Quarterly Compression Activity in Trillions of Dollars 12

Table 12 Centrally Cleared Derivative Contracts as a Percentage

of Total Derivative Contracts 12

Appendix Supplementary Graphs and Tables Graph 1 Derivative Notional Amounts by Type Graph 2 Derivative Contracts by Product Graph 3 Derivative Contracts by Type Graph 4 Four Banks Dominate in Derivatives Graph 5 Credit Exposure to Risk-Based Capital (in Percentage) Graph 6 Netting Benefit Amount of Gross Credit Exposure Eliminated Through Bilateral Netting

Graph 7 Quarterly Charge-Offs(Recoveries) From DerivativesmdashBank Graph 8 Quarterly Charge-Offs(Recoveries) From DerivativesmdashHolding Company Graph 9a Quarterly Trading Revenue (Cash and Derivative Positions)mdashBank Graph 9b Quarterly Trading Revenue (Cash and Derivative Positions)mdashHolding Company Graph 10 Quarterly Trading Revenue (Cash and Derivative Positions) as a Percentage of Gross Revenue (in Percentage)

Graph 11 Notional Amounts of Interest Rate and FX + Gold Contracts by Maturity Graph 12 Notional Amounts of Precious Metal Contracts by Maturity Graph 13 Notional Amounts of Commodity and Equity Contracts by Maturity Graph 14 Notional Amounts of Credit Derivative Contracts by Credit Quality and Maturity Graph 15 Notional Amounts of Over-the-Counter and Centrally Cleared Derivative Contracts Graph 16 Average 60 Day VaR

Table 1 Notional Amounts of Derivative Contracts Table 2 Notional Amounts of Derivative Contracts (Holding Companies) Table 3 Distribution of Derivative Contracts Table 4 Credit Equivalent Exposures Table 5 Notional Amounts of Derivative Contracts Held for Trading Table 6 Gross Fair Values of Derivative Contracts Table 7 Trading Revenues From Cash Instruments and Derivatives Table 8 Notional Amounts of Derivative Contracts by Contract Type and Maturity (Interest Rate FX and Gold)

Table 9 Notional Amounts of Derivative Contracts by Contract Type and Maturity (Precious Metals)

Table 10 Notional Amounts of Derivative Contracts by Contract Type and Maturity (Other Commodity and Equity)

Table 11 Notional Amounts of Credit Derivative Contracts by Contract Type and Maturity (Investment Grade and Sub-Investment Grade)

Table 12 Distribution of Credit Derivative Contracts Held for Trading Table 13 Derivatives Data Reported by FFIEC 051 Filers

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

2008Q1 CreditDerivativePeak$16441

Graph1 DerivativeNotionalAmountsbyType InsuredUSCommercialBanksandSavingsAssociations

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

ToaNtoatloinl DelrTaig) ae(rdn En srNn-TadigdUe(o r n) CrdteiaieeiDrvtvs

Inbillosodollrin f as

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

EndUser(Non-Trading)

CreditDerivatives 7418

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

NoteNumbersmaynotadduptototalduetoroundingTotalderivativenotionalsarenowreportedincludingcreditderivativesforwhichregulatoryreportingdoesnotdifferentiatebetweentradingandnon-trading SourceCallreports

Graph2 DerivativeContractsbyProduct InsuredUSCommercialBanksandSavingsAssociations

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1 Q2 Q3

s eitvaivreDitderCspawSlatoTsnoOpil taotTsdrawrosampFeruutF

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

FuturesampForwards 2

ToaOpintl tos

TotalSwaps

CrdiDrvtves e t eiai

2ToaN toatloinl

00002$

00051$

00001$

niolli

Notionalamountoftotalfuturesexchange-tradedoptionsoverthecounteroptionsforwardsandswaps NoteNumbersmaynotadduptototalduetorounding SourceCallreports

Graph3 DerivativeContractsbyType InsuredUSCommercialBanksandSavingsAssociations

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

s eivativreDitderCsiieoCmmodtsEquteiiegnahcnExigeroFetaRtsereItn

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Notionalamountoftotalfuturesexchangetradedoptionsoverthecounteroptionsforwardsandswaps NoteAsof2006Q2equitiesandcommoditiestypesareshownasseparatecategoriesTheywerepreviouslyshownasldquoOtherDerivsrdquo Numbersmaynotadduptototalduetorounding SourceCallreports

Graph4 FourBanksDominateinDerivatives InsuredUSCommercialBanksandSavingsAssociations

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

Top4 AllOtherBanks GrandTotal

FuturesampForwards $37006 $9952 $46958

TotalSwaps 96025 12910 108935

TotalOptions 38333 2733 41066

CreditDerivatives 3951 231 4183

TotalNotional 175315 25826 201141

0 000s r

Notionalamountoftotalfuturesexchange-tradedoptionsover-the-counteroptionsforwardsandswaps SourceCallreports

Graph5

CreditExposuretoRisk-BasedCapital(inPercentage) Top4InsuredUSCommercialBanksandSavingsAssociationsbyDerivativeHoldings

JPMorganChaseBankNA

2015 2016 2017 2018 2019

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

JPMorganChaseBankNA 250 246 247 229 219 216 205 183 183 189 181 177 229 228 219 209 225 221 216 199 201 193 195 179 197 184 190 167 173 150 163

BankofAmericaNA 149 141 139 132 129 125 121 117 109 107 107 93 100 95 91 85 81 77 68 66 66 64 59 57 62 61 62 57 58 58 59

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

NoteThemethodologytocalculatethecreditriskexposuretocapitalratiofortheTop4categoryusesaweightedaverageoftotalcurrentcreditexposure SourceCallreports

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

Graph6 NettingBenefitAmountofGrossCreditExposureEliminatedThroughBilateralNetting(inPercentage) InsuredUSCommercialBanksandSavingsAssociationsbyDerivativeHoldings

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

Thenettingbenefitisdefinedas$amountofnettingbenefitsgrosspositivefairvalue SourceCallreportsbeginningthefirstquarterof2015RC-RotherwiseRC-L

Graph7 QuarterlyCharge-O ffs(Recoveries)From Derivatives-Bank InsuredUSCommercialBanksandSavingsAssociationswithDerivatives

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Inmillosodollrin f as

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks) 00 -10 -10 -30 20 -10 1073 3700 758 282 590 737 253 299 323 837

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks) 467 349 922 54 13 142 230 83 36 -70 -160 -58 -31 91 1195 307

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks) 15 120 92 847 217 168 221 162 100 173 313 83 1601 72 91 69

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks) 7635 5434 2612 7344 8428 6072 3577 8345 1278 5590 1453 791 6931 -793 1044 640

Q2 Q3 Q4 Q1

Charge-O ffs(Banks) 1330 1856 648 -784 122 871 -877 1026 -114 397 880 006 911 1723 -478

NoteThefiguresareforeachquarteralonenotyear-to-date NCCEPre2009Q2(RC-R)2009Q2-2014Q4(RC-L)2015Q1onward(RC-R) SourceCallreports

Graph8 QuarterlyCharge-O ffs(Recoveries)From Derivatives-HoldingCompany InsuredUSCommercialBanksandSavingsAssociationswithDerivativesComparedwithHoldingCompanies

inmillions

Charge-Offs(Banks)

Charge-Offs(HoldingCompanies)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Charge-O ffs(HoldingCompanies) 01

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

NoteThefiguresareforeachquarteralonenotyear-to-date SourceCallreportsandY-9

Graph9a QuarterlyTradingRevenue(CashandDerivativePositions)-Bank InsuredUSCommercialBanksandSavingsAssociations

($4000)

($2000)

$10000

inmillions

1Q2012 3Q2012 1Q2013 3Q2013 1Q2014 3Q2014 1Q2015 3Q2015 1Q2016 3Q2016 1Q2017 3Q2017 1Q2018 3Q2018 1Q2019 3Q2019

InterestRate ForeignExchange Equity CommodityampOther Credit TotalTradingRevenue

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

TotalTradingRevenue 7669

($1547)

ThetradingrevenuefiguresareforcashandderivativeactivitiesRevenuefiguresareforeachquarteralonenotyear-to-date NoteNumbersmaynotadduptototalduetorounding SourceCallreports

Graph9b QuarterlyTradingRevenue(CashandDerivativePositions) HoldingCompany

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

ThetradingrevenuefiguresareforcashandderivativeactivitiesRevenuefiguresareforeachquarteralonenotyear-to-date NoteNumbersmaynotadduptototalduetorounding SourceY9

Graph10 QuarterlyTradingRevenue(CashandDerivativePositions)asaPercentageofGrossRevenue(inPercentage) Top4InsuredUSCommercialBanksandSavingsAssociationsbyDerivativeHoldings

JPMorganChaseBankNA

2015 2016 2017 2018 2019

TradingRevenuetoGrossRevenue

BankofAmericaNA

2015 2016 2017 2018 2019

TradingRevenuetoGross

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

JPMorganChaseBankNA 1263 1331 1347 697 1773 1325 1265 703 1226 1334 1383 1117 1798 1366 1401 1152 1190 1219 1026 392 1857 1457 1130

BankofAmericaNA 780 911 511 368 678 049 519 172 390 687 418 328 470 449 409 387 562 404 454 490 460 514 320

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

TOTAL Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

Thetradingrevenuefigures areforcashandderivativeactivitiesRevenuefiguresarequarterlynotyear-to-datenumbers NoteGrossrevenueequalsinterestincomeplusnon-interestincome SourceCallreports

Graph11 NotionalAmountsofInterestRateandFX+GoldContractsbyMaturity InsuredUSCommercialBanksandSavingsAssociations

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1 Q2 Q3

IRlt1yr IR1-5yr IRgt5yrs

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

FXampGOLD 5yr-1XampGOLDlt1yr

00051$

00001$

niolli

FXampGold

NoteFiguresaboveexcludeFXcontractswithanoriginalmaturityof14daysorlesswrittenoptionsbasisswapsandanyothercontractsnotsubjecttorisk-basedcapitalrequirements EffectiveQ12015thereportingform andcallreportinstructionschangedScheduleRC-RnowrequiresbankstoreportgoldandFXnotionalsinaggregateratherthanseparately SourceCallreports

Graph12 NotionalAmountsofPreciousMetalContractsbyMaturity InsuredUSCommercialBanksandSavingsAssociations

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

s rlsgt5yau tiocerP sMer-1ls 5yatsMeuiocerPlt1yrlssMeau tiocerP

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q4 Q1 Q2 Q3

PrcosMeaslt1yr eiu tl $

PrcousMeals15yei t - r

1 PrcosMeasgt5yrseiu tl

niolli

NoteFiguresexcludeFXcontractswithanoriginalmaturityof14daysorlesswrittenoptionsbasisswapsandanyothercontractsnotsubjecttorisk-basedcapitalrequirements SourceCallreports

Graph13 NotionalAmountsofCommodityandEquityContractsbyMaturity InsuredUSCommercialBanksandSavingsAssociations

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Co dt r mmoiylt1y Co dt- r mmoiy15y Co dt ys mmoiygt5r

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Equitylt1yr Equity1-5yr Equitygt5yrs

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

NoteFiguresaboveexcludeforeignexchangecontractswithanoriginalmaturityof14daysorlesswrittenoptionsbasisswapsandanyothercontractsnotsubjecttorisk-basedcapitalrequirements SourceCallreports

Graph14 NotionalAmountsofCreditDerivativeContractsbyCreditQualityandMaturity InsuredUSCommercialBanksandSavingsAssociations

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3

Investment-Gradelt1yr Investment-Gradegt5yrs Sub-Investment-Grade1-5yrs

Investment-Grade1-5yrs Sub-Investment-Gradelt1yr Sub-Investment-Gradegt5yrs

Inbillionsofdollars

Q3 Q4 Q1

Investment-Gradelt1yr

Investment-Grade1-5yrs

Investment-Gradegt5yrs

TotalInvestmentGrade $6413

Q3 Q4 Q1

Sub-Investment-Gradelt1yr

Sub-Investment-Grade1-5yrs

Sub-Investment-Gradegt5yrs

TotalSub-InvestmentGrade $2604

Graph15 3Q2019NotionalAmountsofOver-the-CounterandCentrallyClearedDerivativeContracts InsuredUSCommercialBanksandSavingsAssociations

$40000

ALLBANKS

InterestRate ForeignExchange Equity PreciousMetals Credit

InvestmentGrade Non-InvestmentGrade

Other BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

TotalCentrally Cleared

inbiin

$10000

$20000

Inbillionsofdollars

InterestRate ForeignExchange Equity PreciousMetals Credit Other

BankName Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Non-Investment Grade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

29997 22865 123 10150 770 1639 0 21 457 532 148 241 77 634 JPMorganChaseBankNA 20268 8211 275 13221 45 532 3 9 240 1263 73 329 82 105 CitibankNA 11005 4672 81 5263 171 377 0 0 175 165 56 119 0 27 BankofAmericaNA 7996 27621 75 6092 0 29 0 0 0 95 0 76 0 5 GoldmanSachs 3102 540 40 1502 0 85 0 7 3 20 11 29 0 2 HSBCNA 846 298 46 0 424 40 113 0 2 0 4 0 24 1 63 WellsFargoBankNA 0 12 0 35 0 1 0 0 0 5 0 2 0 0 Mora tne akNA gnSalyBn

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

Toa Overtl -Total Cetall tenr y h-

Notoainl Clae Cutr erd one

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

InvestmentGrade Non-Investment

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

JPMorganChaseBankNA 57 43 1 99 32 68 0 100 46 54 38 62 11 89 CitibankNA 71 29 2 98 8 92 24 76 16 84 18 82 44 56 BankofAmericaNA 70 30 2 98 31 69 0 100 51 49 32 68 0 100 GoldmanSachs 22 78 1 99 0 100 0 100 0 100 0 100 HSBCNA 85 15 3 97 0 100 0 100 13 87 27 73 0 100 WellsFargoBankNA 77 23 0 100 26 74 0 100 3 97 2 98 2 98 MorganStanleyBankNA 0 100 0 100 0 100 0 100 0 100 0 100

Toatl Cenr y tallCleared asa of Toatl

Noinl toa

47 47 52 19 59 73 0

Total Over-the-Counter asa of Total

Noinl toa

53 53 48 81 41 27 100

SourceCallreportsScheduleRC-R

Graph16 Average60DayVaR

1Q2015 2Q2015 3Q2015 4Q2015 1Q2016 2Q2016 3Q2016 4Q2016 1Q2017 2Q2017 3Q2017 4Q2017 1Q2018 2Q2018 3Q2018 4Q2018 1Q2019 2Q2019 3Q2019

nmiin $15

VaRCapitalRequirement

BakoA rcainl oiton fmeiaNtoaAsscain Ctbn iiakNA JPMognChs akNtoaAscain ra aeBnainlsoito Golma ah akUSA d nScsBn

SourceMarketRiskRegulatoryReportforInstitutionsSubjecttotheMarketRiskCapitalRulemdashFFIEC102

TABLE 1

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS TOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

SEPTEMBER 30 2019 MILLIONS OF DOLLARS

LEGAL ENTITY TOTAL TOTAL

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES

TOTAL TOTAL TOTAL TOTAL TOTAL TOTAL CREDIT

FUTURES OPTIONS FORWARDS SWAPS OPTIONS DERIVATIVES (EXCH TR) (EXCH TR) (OTC) (OTC) (OTC) (OTC)

SPOT FX

1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 $1084751 $2919526 $10145975 $30438767 $9315231 $1341368 $613100 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 788413 989270 8562857 29313709 7554461 1928452 420931 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 1229484 4377156 8901225 24322679 10053990 174459 489806 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173 310635 215721 5982519 11949503 2907811 506984 503845 5 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1708548 12532251 223279 192024 4748861 5703146 1625336 39605 6235 6 HSBC NA 1IE8VN30JCEQV1H4R804 182096 5547474 138372 5589 1119734 3789982 374277 119521 58519 7 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 241364 2452512 8085 0 2394221 21346 28860 0 87735 8 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 304096 1098676 14295 38 278625 784620 20933 165 72863 9 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 477394 557359 22303 1760 83036 323506 117158 9596 1069 10 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 395783 449127 4364 2978 27306 369037 35239 10203 1156 11 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 123824 289555 0 0 273300 15517 737 0 23272 12 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 134715 278333 2304 0 175925 95764 4291 50 390 13 SUNTRUST BANK IYDOJBGJWY9T8XKCSX06 221424 261928 3738 22054 21737 158551 49793 6054 396 14 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 311038 222373 0 0 2590 218733 1049 0 0 15 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 164652 197192 7647 0 17364 154223 15300 2657 109 16 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 318177 177095 1561 0 4178 165942 834 4580 170 17 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 43032 159819 938 285 149766 6399 2421 10 0 18 REGIONS BANK EQTWLK1G7ODGC2MGLV11 127543 146543 1336 163 35928 87424 15572 6120 35 19 FIFTH THIRD BANK QFROUN1UWUYU0DVIWD51 169489 120582 894 188 6944 78924 27945 5687 409 20 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 145184 119669 1257 0 5905 94715 17294 498 1555 21 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 125041 98176 0 0 3042 75849 19286 0 123 22 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 138262 69957 40 0 19968 23881 18472 7596 884 23 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 108790 65105 189 0 4342 47163 10584 2827 9 24 BRANCH BANKINGampTRUST CO JJKC32MCHWDI71265Z06 229886 52940 154 0 7390 38611 5965 820 21 25 BBVA USA C90VT034M03BN29IRA40 91975 52462 4470 0 1813 37097 8266 816 0

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $11627163 $200264073 OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 4932965 877196 TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 16560128 201141269

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

Note Before the first quarter of 1995 total derivatives included spot FX Beginning in that quarter spot FX has been reported separately Note Numbers may not add up to total due to rounding Source Call reports Schedule RC-L

Note Credit derivatives have been included in the sum of total derivatives Credit derivatives have been included as an over the counter category although the call report does not differentiate by market currently

TABLE 2

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS (HOLDING COMPANIES) TOP 25 HOLDING COMPANIES IN DERIVATIVES SEPTEMBER 30 2019 MILLIONS OF DOLLARS

RANK HOLDING COMPANY INDENTIFIER ASSETS DERIVATIVES

CREDIT FUTURES OPTIONS FORWARDS SWAPS OPTIONS DERIVATIVES (EXCH TR) (EXCH TR) (OTC) (OTC) (OTC) (OTC)

SPOT FX

1 JPMORGAN CHASE amp CO 8I5DZWZKVSZI1NUHU748 $2764661 $54947787 $1133405 $3294891 $10614373 $29522131 $9018432 $1364555 $598808 2 GOLDMAN SACHS GROUP INC THE 784F5XWPLTWKTBV3E584 1007335 49999530 1776435 5516696 8277319 22389482 10867690 1171908 343406 3 CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 2014802 49387390 944005 2424384 9999232 27217818 7347513 1454438 416266 4 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2426330 39268066 1456597 1344995 8943559 22140013 4493981 888921 386665 5 MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 902604 36204406 1084563 1658963 5439628 19022978 8500880 497394 51716 6 WELLS FARGO amp COMPANY PBLD0EJDB5FWOLXP3B76 1943950 12864321 229193 217985 5217073 5542177 1621152 36741 6235 7 HSBC NORTH AMERICA HOLDINGS INC 213800JCL1FHBQK3M654 270980 8232188 358232 541668 1120990 5709925 381851 119521 58519 8 MIZUHO AMERICAS LLC 49978 6725361 16029 3432 507389 6045939 149369 3203 8683 9 SMBC AMERICAS HOLDINGS INC 22580 4933133 151938 1564545 978396 1563570 673972 711 7608 10 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 244609 2445290 8085 0 2394221 14124 28860 0 87735 11 BANK OF NEW YORK MELLON CORPORATION THE WFLLPEPC7FZXENRZV188 373275 1107484 15159 183 307652 763392 20933 165 72885 12 BARCLAYS US LLC 213800H14XVWOV87OI72 160711 703581 16219 352150 265736 20020 0 49456 38 13 US BANCORP N1GZ7BBF3NP8GI976H15 487671 568660 22303 1760 83276 334568 117157 9596 1069 14 RBC US GROUP HOLDINGS LLC 127048 492780 105067 164533 3905 218317 580 378 334 15 PNC FINANCIAL SERVICES GROUP INC THE CFGNEKW0P8842LEUIA51 409007 445797 4401 3007 32523 360424 35239 10203 1156 16 CREDIT SUISSE HOLDINGS (USA) INC 549300YHT5NGRKJD1R94 118456 361630 6762 1969 191325 88662 8922 63991 33 17 MUFG AMERICAS HOLDINGS CORPORATION 5493004K1ECE43Q0BX47 173232 296134 4290 643 191001 95860 4291 50 390 18 NORTHERN TRUST CORPORATION 549300GLF98S992BC502 124356 287805 0 0 273300 13767 737 0 23272 19 SUNTRUST BANKS INC 7E1PDLW1JL6TS0BS1G03 227580 261002 3738 22054 25005 155586 48564 6054 396 20 TD GROUP US HOLDINGS LLC 549300ARWZ5E3L64UH29 393604 256838 14439 3230 12113 226007 1049 0 0 21 CAPITAL ONE FINANCIAL CORPORATION ZUE8T73ROZOF6FLBAR73 378810 243599 1561 0 14424 222200 834 4580 170 22 CITIZENS FINANCIAL GROUP INC 2138004JDDA4ZQUPFW65 164975 197192 7647 0 17364 154223 15300 2657 109 23 BNP PARIBAS USA INC RKPI3RZGV1V1FJTH5T61 136107 173045 87 1 152540 18658 1759 0 10 24 BOK FINANCIAL CORPORATION GRI2NT5QHYW751NMR949 43279 159819 938 285 149766 6399 2421 10 0 25 REGIONS FINANCIAL CORPORATION CW05CS5KW59QTC0DG824 128436 143443 1336 163 35928 84324 15572 6120 35

TOP 25 HOLDING COMPANIES WITH DERIVATIVES $15094376 $270706282 $7362430 $17117537 $55248040 $141930565 $43357058 $5690653 $2065539

Note Currently the Y-9 report does not differentiate credit derivati Note Before to the first quarter of 2005 total derivatives included spot FX Beginning in that quarter spot FX has been reported separately Note Numbers may not add up to total due to rounding Source Consolidated Financial Statements for Bank Holding Companies FR Y- 9 Schedule HC-L

TABLE 3

DISTRIBUTION OF DERIVATIVE CONTRACTS TOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

PERCENT PERCENT EXCH TRADED OTC CONTRACTS CONTRACTS

PERCENT PERCENT PERCENT INT RATE FOREIGN EXCH EQUITY

CONTRACTS CONTRACTS CONTRACTS

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173 5 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1708548 12532251 6 HSBC NA 1IE8VN30JCEQV1H4R804 182096 5547474 7 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 241364 2452512 8 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 304096 1098676 9 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 477394 557359 10 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 395783 449127 11 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 123824 289555 12 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 134715 278333 13 SUNTRUST BANK IYDOJBGJWY9T8XKCSX06 221424 261928 14 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 311038 222373 15 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 164652 197192 16 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 318177 177095 17 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 43032 159819 18 REGIONS BANK EQTWLK1G7ODGC2MGLV11 127543 146543 19 FIFTH THIRD BANK QFROUN1UWUYU0DVIWD51 169489 120582 20 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 145184 119669 21 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 125041 98176 22 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 138262 69957 23 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 108790 65105 24 BRANCH BANKINGampTRUST CO JJKC32MCHWDI71265Z06 229886 52940 25 BBVA USA C90VT034M03BN29IRA40 91975 52462

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $11627163 $200264073 OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 4932965 877196 TOTAL FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 16560128 201141269

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() TOP 25 COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 996 OTHER COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 04 TOTAL FOR COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 1000

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

Note FX does not include spot FX

Note Other is defined as the sum of commodity and equity contracts Note Numbers may not add up to total due to rounding Source Call reports Schedule RC-L

Note Currently the call report does not differentiate credit derivatives by over the counter or exchange traded Credit derivatives have been included in the over the counter category as well as in the sum of total derivatives here

TABLE 4

CREDIT EQUIVALENT EXPOSURES TOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

LEGAL TOTAL ENTITY TOTAL TOTAL RISK-BASED

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES CAPITAL

BILATERALLY TOTAL CREDIT () NETTED CURRENT POTENTIAL EXPOSURE TOTAL CREDIT

CREDIT FUTURE FROM ALL EXPOSURE EXPOSURE EXPOSURE CONTRACTS TO CAPITAL

1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 $223038 $168793 $194599 $363392 163 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 155735 72559 136027 208586 134 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 33950 66765 59568 126333 372 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173 166062 45271 53200 98471 59 5 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1708548 12532251 164736 18656 29694 48350 29 6 HSBC NA 1IE8VN30JCEQV1H4R804 182096 5547474 23678 7081 21370 28451 120 7 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 241364 2452512 18157 6347 9329 15676 86 8 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 304096 1098676 19366 4839 5765 10604 55 9 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 477394 557359 48043 2990 7546 10536 22 10 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 395783 449127 38318 5508 -424 5084 13 11 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 123824 289555 10276 1543 2335 3877 38 12 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 134715 278333 14484 1399 257 1656 11 13 SUNTRUST BANK IYDOJBGJWY9T8XKCSX06 221424 261928 23408 2127 2865 4992 21 14 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 311038 222373 28020 256 996 1252 4 15 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 164652 197192 17696 1238 1335 2573 15 16 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 318177 177095 30564 2268 3494 5762 19 17 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 43032 159819 3657 8 12 21 1 18 REGIONS BANK EQTWLK1G7ODGC2MGLV11 127543 146543 13718 750 553 1303 9 19 FIFTH THIRD BANK QFROUN1UWUYU0DVIWD51 169489 120582 18807 1604 2032 3636 19 20 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 145184 119669 16025 1309 1121 2430 15 21 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 125041 98176 12482 557 170 727 6 22 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 138262 69957 16953 172 1757 1929 11 23 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 108790 65105 11721 1065 903 1968 17 24 BRANCH BANKINGampTRUST CO JJKC32MCHWDI71265Z06 229886 52940 25294 665 232 897 4 25 BBVA USA C90VT034M03BN29IRA40 91975 52462 9553 471 171 641 7

TOP 25 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $11627163 $200264073 $1143741 OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 4932965 877196 527382 TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 16560128 201141269 1671123

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

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

TABLE 5 TABLE 5

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS HELD FOR TRADING TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TOTAL TOTAL HELD FOR HELD FOR NOT FOR TRADING TRADING TRADING amp MTM amp MTM MTM

NOT FOR TRADING

MTM 1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

TOP 4 COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES $5864849 $175314946 OTHER COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 10695279 25826323 TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES 16560128 201141269

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

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

TABLE 6

GROSS FAIR VALUES OF DERIVATIVE CONTRACTS TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TRADING NOT FOR TRADING CREDIT DERIVATIVES GROSS GROSS

POSITIVE NEGATIVE FAIR VALUE FAIR VALUE

GROSS GROSS POSITIVE NEGATIVE

FAIR VALUE FAIR VALUE

FAIR VALUE FAIR VALUE 1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

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

TABLE 7

TRADING REVENUES FROM CASH INSTRUMENTS AND DERIVATIVES TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

SEPTEMBER 30 2019 MILLIONS OF DOLLARS NOTE REVENUE FIGURES ARE FOR THE QUARTER (NOT YEAR-TO-DATE)

TOTAL TRADING REV FROM CASH amp OFF BAL SHEET POSITIONS

TRADING REV TRADING REV TRADING REV FROM FROM FROM

INT RATE FOREIGN EXCH EQUITY POSITIONS POSITIONS POSITIONS

TRADING REV FROM

COMMOD amp OTH POSITIONS

TRADING REV FROM CREDIT

POSITIONS 1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

Note Trading revenue is defined here as trading revenue from cash instruments and off-balance-sheet derivative instruments Note Numbers may not add up to total due to rounding Source Call reports Schedule RI

Note Effective in the first quarter of 2007 trading revenues from credit exposures are reported separately along with the four other types of exposures The total derivatives column includes credit exposures

TABLE 8

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY (INTEREST RATE FX AND GOLD) TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

INT RATE INT RATE INT RATE MATURITY MATURITY MATURITY lt 1 YR 1 - 5 YRS gt 5 YRS

INT RATE ALL

MATURITIES

FX and GOLD MATURITY lt 1 YR

FX and GOLD MATURITY 1 - 5 YRS

FX and GOLD MATURITY gt 5 YRS

FX and GOLD ALL

MATURITIES 1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

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

Note Numbers may not add up to total due to rounding Note Effective 2015 Q1 the reporting form and call report instructions changed Schedule RC-R now requires banks to report FX and gold notional amounts in aggregate rather than separately Source Call reports Schedule RC-R

TABLE 9

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE amp MATURITY (PRECIOUS METALS) TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

PREC METALS PREC METALS PREC METALS MATURITY MATURITY MATURITY lt 1 YR 1 - 5 YRS gt 5 YRS

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

Note Numbers may not add up to total due to rounding Source Call reports Schedule RC-R

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

TABLE 10

NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY (OTHER COMMODITY AND EQUITY) TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

OTHER COMM OTHER COMM OTHER COMM MATURITY MATURITY MATURITY lt 1 YR 1 - 5 YRS gt 5 YRS

OTHER COMM ALL

MATURITIES

EQUITY MATURITY lt 1 YR

EQUITY MATURITY 1 - 5 YRS

EQUITY MATURITY gt 5 YRS

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

NOTIONAL AMOUNTS OF CREDIT DERIVATIVE CONTRACTS BY CONTRACT TYPE AND MATURITY (INVESTMENT GRADE AND SUB-INVESTMENT GRADE) TOP 4 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

LEGAL ENTITY TOTAL TOTAL TOTAL CREDIT

RANK BANK NAME INDENTIFIER ASSETS DERIVATIVES DERIVATIVES

INVESTMENT GRADE CREDIT DERIVATIVES

SUB-INVESTMENT GRADE CREDIT DERIVATIVES

MATURITY MATURITY MATURITY lt 1 YR 1 - 5 YRS gt 5 YRS

ALL MATURITIES

MATURITY lt 1 YR

MATURITY MATURITY 1 - 5 YRS gt 5 YRS

ALL MATURITIES

1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $55245618 $1341368 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 49137162 1928452 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 49058993 174459 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21873173 506984

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

Note Numbers may not add up to total due to rounding Source Call reports Schedule RC-L and RC-R

TABLE 12

DISTRIBUTION OF CREDIT DERIVATIVE CONTRACTS HELD FOR TRADING TOP 25 COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

TOTAL CREDIT

DERVATIVES PURCHASED SOLD

DERIVATIVES TOTAL CREDIT PURCHASED SOLD

CREDIT TOTAL OTHER DEFAULT RETURN CREDIT CREDIT SWAPS SWAPS OPTIONS DERIVATIVES

1 JPMORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 $2367127 $53904250 $1341368 $682193 $659175 $612242 $28279 $37264 $4408 $597073 $16615 $45440 $47 2 CITIBANK NATIONAL ASSN E57ODZWZ7FF32TWEFA76 1472915 47208710 1928452 1003085 925367 898777 23167 81141 0 858404 9227 57736 0 3 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 211831 48884534 174459 97485 76974 91664 2134 3593 94 71076 2134 3716 48 4 BANK OF AMERICA NA B4TYDEB6GKMZO031MB27 1812976 21366189 506984 264528 242456 224182 11564 28782 0 206469 14152 21835 0 5 WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 1708548 12492646 39605 25433 14172 5146 0 800 19487 3969 0 0 10203 6 HSBC NA 1IE8VN30JCEQV1H4R804 182096 5427953 119521 66931 52590 53379 13552 0 0 51317 1273 0 0 7 STATE STREET BANKampTRUST CO 571474TGEMMWANRLN572 241364 2452512 0 0 0 0 0 0 0 0 0 0 0 8 BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 304096 1098511 165 165 0 165 0 0 0 0 0 0 0 9 U S BANK NATIONAL ASSN 6BYL5QZYBDK8S7L73M02 477394 547763 9596 3735 5861 1158 0 0 2578 0 0 0 5861 10 PNC BANK NATIONAL ASSN AD6GFRVSDT01YPT1CS68 395783 438924 10203 3163 7040 0 0 0 3163 0 0 0 7040 11 NORTHERN TRUST CO 6PTKHDJ8HDUF78PFWH30 123824 289555 0 0 0 0 0 0 0 0 0 0 0 12 MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 134715 278283 50 50 0 50 0 0 0 0 0 0 0 13 SUNTRUST BANK IYDOJBGJWY9T8XKCSX06 221424 255873 6054 3470 2584 919 2543 0 9 0 2543 0 41 14 TD BANK NATIONAL ASSN 03D0JEWFDFUS0SEEKG89 311038 222373 0 0 0 0 0 0 0 0 0 0 0 15 CITIZENS BANK NATIONAL ASSN DRMSV1Q0EKMEXLAU1P80 164652 194535 2657 0 2657 0 0 0 0 0 0 0 2657 16 CAPITAL ONE NATIONAL ASSN 207ALC1P1YM0OVDV0K75 318177 172515 4580 1641 2939 0 0 0 1641 0 0 0 2939 17 BOKF NATIONAL ASSN FU7RSW4CQQY98A2O7J66 43032 159809 10 1 8 1 0 0 0 8 0 0 0 18 REGIONS BANK EQTWLK1G7ODGC2MGLV11 127543 140423 6120 1890 4230 42 0 0 1848 42 0 0 4188 19 FIFTH THIRD BANK QFROUN1UWUYU0DVIWD51 169489 114895 5687 1342 4345 0 0 0 1342 0 0 0 4345 20 KEYBANK NATIONAL ASSN HUX2X73FUCYHUVH1BK78 145184 119171 498 192 306 192 0 0 0 213 93 0 0 21 MANUFACTURERSampTRADERS TR CO WWB2V0FCW3A0EE3ZJN75 125041 98176 0 0 0 0 0 0 0 0 0 0 0 22 MORGAN STANLEY BANK NA G1MLHIS0N32I3QPILB75 138262 62361 7596 7336 260 6733 0 603 0 260 0 0 0 23 HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 108790 62278 2827 1981 846 0 0 0 1981 0 0 0 846 24 BRANCH BANKINGampTRUST CO JJKC32MCHWDI71265Z06 229886 52120 820 83 737 0 0 0 83 0 0 0 737 25 BBVA USA C90VT034M03BN29IRA40 91975 51646 816 8 809 8 0 0 0 809 0 0 0

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

TOP 25 COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES OTHER COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES TOTAL AMOUNT FOR COMMERCIAL BANKS SAs amp TCs OF TOTAL COMMERCIAL BANKS SAs amp TCs WITH DERIVATIVES

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

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

TABLE 13

DERIVATIVES DATA REPORTED BY FFIEC 051 FILERS COMMERCIAL BANKS SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

Call Report Schedule SU A Gross Notional Amount of Derivatives Total gross notional amount of interest rate derivatives held for trading Total gross notional amount of all other derivatives held for trading Total gross notional amount of interest rate derivatives not held for trading Total gross notional amount of all other derivatives not held for trading

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Call Report Schedule RC-R A Notional principal amounts of over-the-counter derivative contracts covered by the regulatory capital rules a Interest rate $7172 $5858 $4147 $4459 $4584 $4471 $3847 $4657 $5024 $4758 b Foreign exchange rate and gold $4 $5 $3 $4 $5 $429 $0 $0 $0 $0 c Credit (investment grade reference asset) $39 $41 $35 $17 $14 $14 $13 $14 $8 $4 d Credit (non-investment grade reference asset) $25 $25 $12 $12 $12 $11 $11 $11 $11 $11 e Equity $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 g Other $5 $5 $5 $5 $5 $5 $5 $5 $5 $5 f Precious metals (except gold) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0

B Notional principal amounts of centrally cleared derivative contracts covered by the regulatory capital rules a Interest rate $168 $686 $1937 $2731 $3169 $129 $249 $343 $178 $158 b Foreign exchange rate and gold $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 c Credit (investment grade reference asset) $0 $0 $0 $0 $0 $0 $0 $0 $0 $4 d Credit (non-investment grade reference asset) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 e Equity $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 f Precious metals (except gold) $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 g Other $0 $0 $0 $0 $0 $0 $0 $0 $0 $0

C Current credit exposure across all derivative contracts covered by the regulatory capital rules $95 $59 $49 $76 $119 $62 $44 $57 $49 $39

Source Call reports Schedule SU and Schedule RC-R Beginning September 30 2019 the eligibility to file the FFIEC 051 Call Report expanded from banks with total assets less than $1 billion to include banks with less than $5 billion in total assets Beginning September 30 2019 banks filing the FFIEC 051 Call Report complete this information from schedule RC-R in the June and December reports only

Contents

About This Report

Executive Summary

Revenue

Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue




Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue

Counterparty Credit Risk








Market Risk

Value-at-Risk



Volatility Index





Table 10 Derivative Notional Amounts by Underlying Risk Exposure Quarter-Over-Quarter in Billions of Dollars


Credit Derivatives






Glossary of Terms

Index of Tables and Figures

Appendix Supplementary Graphs and Tables

3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Contents About This Report 1

Executive Summary1

Revenue2 Insured US Commercial Banks and Savings Associationsrsquo Trading Revenue2 Holding Company Trading Revenue 2 Bank Trading Revenue as a Percentage of Consolidated Holding Company Trading Revenue3

Counterparty Credit Risk 3

Market Risk8 Value-at-Risk 8 Volatility Index 8 Level 3 Trading Assets 9 Notional Amounts of All Derivative Contracts 10 Credit Derivatives 11 Compression Activity 11 Centrally Cleared Derivative Contracts 12

Glossary of Terms13

Index of Tables and Figures15

Appendix Supplementary Graphs and Tables16

Quarterly Derivatives Report Third Quarter 2019 i

Executive Summary

Revenue

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ change

3Q 2018

YY change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Executive Summary

Revenue

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ change

3Q 2018

YY change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Revenue

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ change

3Q 2018

YY change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2018

YY Change

3Q 2019

2Q 2019

QQ Change

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

3Q 2019

2Q 2019

QQ Change

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

3Q 2019 422 19 91 468 2Q 2019 415 43 98 445 1Q 2019 435 46 96 423 4Q 2018 417 50 100 432 4Q 2017 417 31 79 473 4Q 2016 484 20 65 430 4Q 2015 533 21 60 385

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

3Q 2019 1318 5438 491 828 1092 2Q 2019 1309 3352 472 830 1101 1Q 2019 1277 3438 482 882 1134 4Q 2018 1289 3080 471 918 1137 4Q 2017 1244 4955 251 898 1115 4Q 2016 1191 4915 342 670 985 4Q 2015 1016 4355 156 662 896

US gov agency

Corpbonds

Equitysecurities

3Q 2019 358 273 110 15 18 63 162 2Q 2019 349 260 120 15 19 66 171 1Q 2019 340 260 119 16 21 74 172 4Q 2018 372 233 108 22 21 71 172 4Q 2017 376 255 103 19 25 57 165 4Q 2016 401 315 81 17 16 50 120 4Q 2015 437 317 46 16 14 53 117

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Market Risk

Value-at-Risk

JPMorganChase Bank

America NA

Goldman Sachs Bank

JPMorganChase Bank

America NA

Goldman Sachs Bank

Volatility Index

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Source Bloomberg

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

3Q 2019 2Q 2019 QQ

YY Change

3Q 2019 2Q 2019 QQ

YY Change

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Credit Derivatives

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Source LCH Clearnet

Interest rate

3Q 2019 551 15 268 65 283 152 430 2Q 2019 539 14 268 102 259 154 425 1Q 2019 540 13 269 100 277 160 424 4Q 2018 510 12 257 80 293 175 398 4Q 2017 478 10 257 78 258 150 380 4Q 2016 491 10 235 56 204 150 388 4Q 2015 462 05 200 37 168 140 369

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

inbiin

$2000 50

$2000 00

$1000 50

$1000 00

$50000

Q2 Q3 Q4 Q1

TotalNotional

Dealer(Trading)

182437

$192952

180186

$190057

167873

$177466

156901

$165252

169971

$178335

177519

$185522

180344

$188351

165002

$171973

196684

$203767

200286

$207201

199891

$206995

169636

$176353

194518

$201282

197950

$204874

193797

$201141

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

00052$

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

ToaOpintl tos

TotalSwaps

2ToaN toatloinl

00002$

00051$

00001$

niolli

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

00002$

00051$

00001$

$84530 $107435 $129491 $175895 $181454 $193399 $187866 $177650 $193084 $174687 $138369 $124488 $130417 $128173 $147079 $151852 $149183

201141

204874

201282

176353

171973

165252

180959

221078

235992

221794

230998

231099

214786

211416

165559

131519

InterestRate

ForeignExchange

Equities

Commodities

CreditDerivatives

TotalNotional

00052$

niolli

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Futuresamp Forwards

TotalSwaps

TotalOptions

Credit Derivatives

TotalNotional

AllOtherBanks

0 10000900008000070000600005000040000300002000010 101000 2000 0 1 3000 01 4000 01 5000 0 1 6000 01 000 01 80007 01 9000 0 1 0000 02dfnollii ollso a

Inbillionsofdollars

TotalSwaps 96025 12910 108935

TotalNotional 175315 25826 201141

0 000s r

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Graph5

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

CitibankNA

2015 2016 2017 2018 2019

Q3 Q4 Q1

CitibankNA 172 171 170 170 165 164 161 148 147 156 190 173 187 184 181 166 180 181 188 183 186 184 171 140 146 139 144 132 130 132 134

GoldmanSachs 751 738 727 705 703 693 719 741 689 620 539 516 547 563 530 516 482 467 433 481 472 484 433 420 389 384 371 354 366 372 372

284 282 281 271 261 258 262 262 248 240 224 211 238 242 232 223 226 222 217 220 220 218 205 191 195 187 188 173 178 169 176

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

feneNettgB

0 1 1 1 1 1 1 1 1 1 10 0 0 0 0 0 0 0 0 0 02 2 2 2 2 2 2 2 2 2 2

NettingBenefit

2011 2012 2013 2014 2015 2016 2017 2018 2019

14 813 810 804 897 705 800816 829 852 862860 865 876 877867 868 868 876888 886 889 887893 897 891 898802 903 903 999804 902 986 8828

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

inmillions

Charge-Offsas

Charge-Offs(Banks)

Charge-Offsas NCCE

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Q2 Q3 Q4 Q1

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

inmillions

Charge-Offs(Banks)

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Q2 Q3 Q4 Q1

Q3 Q4 Q1

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Q2 Q3 Q4

Charge-O ffs(Banks)

Q2 Q3 Q4 Q1

Charge-O ffs(Banks)

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

($4000)

($2000)

$10000

inmillions

Inmillionsofdollars

Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($1547)

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

$10000

$15000

$20000

$25000

inmillions

Inmillionsofdollars

Q2 Q3 Q4 Q1

InterestRate

ForeignExchange

Equity

CommodityampOther

Credit

($243)

($1193)

($336)

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

JPMorganChaseBankNA

2015 2016 2017 2018 2019

BankofAmericaNA

2015 2016 2017 2018 2019

Revenue

CitibankNA

2015 2016 2017 2018 2019

GoldmanSachs

2015 2016 2017 2018 2019

2014 2015 2016 2017 2018 2019

CitibankNA 851 743 548 478 917 841 654 630 719 941 647 1097 1047 850 912 694 1133 1069 1126 466 1232 723 848

GoldmanSachs 2367 2221 1374 1306 1585 1732 1332 616 2378 954 1216 722 1771 1566 710 215 1085 184 1277 186 1031 565 281

1006 1045 853 535 1168 762 841 503 845 1014 851 851 1168 932 939 755 977 895 882 436 1243 953 793

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

InterestRate

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

F FXampGOLDgt5ys r

$3IRlt1yr

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

IR1-5yr

I gt5ys R r

FXampGOLDlt1yr

FXampGOLD1-5yr

2 FXampGOLDgt5yrs

00051$

00001$

niolli

FXampGold

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

PreciousMetals

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

niolli

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Commodity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $100

inbiillo

Equity

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

0 $400

inbiillo

Inbillionsofdollars

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Commoditylt1yr $55 $43 $64 $133 $185 $206 $179 $176 $203 $261 $261 $235 $257 $668 $750 $883 $688 $790 $790 $767

Commodity1-5yr 35 103 205 707 235 297 233 198 209 209 208 144 164 197 179 202 198 191 219 283

Commoditygt5yrs 9 14 40 175 20 25 43 33 25 46 28 6 20 22 23 25 9 8 10 10

Equitylt1yr 127 197 273 321 341 473 409 312 296 427 627 645 996 1743 1842 2296 2449 2715 2725 2687

Equity1-5yr 249 674 736 1428 221 297 256 228 191 210 262 291 352 628 677 733 864 958 972 995

Equitygt5yrs 25 84 140 383 45 70 72 82 85 94 82 136 101 130 123 113 139 143 149 148

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

inbiin

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Inbillionsofdollars

Q3 Q4 Q1

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

$40000

ALLBANKS

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

BankofAmericaNA

CitibankNA

GoldmanSachs

HSBCNA

JPMorganChaseBankNA

MorganStanleyBankNA

WellsFargoBankNA

CentrallyCleared

Over-the-Counter

inbiin

$10000

$20000

Inbillionsofdollars

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

InvestmentGrade

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

80854 66416 595 36687 1026 2776 3 38 875 2085 289 821 160 836 GrandTotal

31572 36083 67655 20985 23669 44654 11489 10623 22112 8070 33918 41988 5 216 54317 8 33 8528 3126 11653 0 56 56

380 1960 19680 06 340

2135 1317 2 2748 0 27 0 0 1 20 0 19 2 63 3 413 63219 9 32 ALLOTHER

82988 67733 596 39435 1026 2803 3 38 876 2104 289 840 161 899 590 1383 19984 15 973 TOTAL

ofTotal

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Centrally Cleared

Over-the-Counter

Noinl toa

47 47 52 19 59 73 0

Noinl toa

53 53 48 81 41 27 100

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

nmiin $15

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 1

SPOT FX

$3848509 $8726751 $42974551 $108315089 $32231105 $4168069 3428 1003 131465 619825 106854 14622

3851937 8727753 43106016 108934914 32337958 4182691

$2282634 1736

2284370

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 2

SPOT FX

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 3

PERCENT OTHER

CONTRACTS

PERCENT CREDIT

DERIVATIVES

() () 72 928 36 964 114 886 24 976 33 967 26 974 03 997 13 987 43 957 16 984 00 1000 08 992 98 902 00 1000 39 961 09 991 08 992 10 990 09 991 11 989 00 1000 01 999 03 997 03 997 85 915

() () () 705 220 34 632 298 20 862 134 01 704 247 25 936 34 21 682 274 15 11 978 00 305 694 01 863 116 00 902 43 13 54 944 02 964 34 01 784 44 139 983 17 00 921 65 00 884 16 00 972 03 01 940 09 00 750 112 24 894 52 00 993 07 00 251 628 13 866 36 06 973 12 00 944 30 10

() 17 09 00 01 06 08 11 00 03 19 00 00 10 00 00 75 25 09 68 50 00 00 49 00 00

() 24 39 04 23 03 22 00 00 17 23 00 00 23 00 13 26 00 42 47 04 00 109 43 15 16

$12575260 $187688814 4431 872766

12579690 188561579

$146276890 $44331073 $3832219 802064 51035 3237

147078954 44382109 3835456

$1655822 6238

1662059

$4168069 14622

4182691

() () 63 933 00 04 63 937

() () () 727 220 19 04 00 00 731 221 19

() 08 00 08

() 21 00 21

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 4

$414241 $534907 $949148 83 10559 6946 17505 3 424800 541853 966653 58

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 5 TABLE 5

NOT FOR TRADING

$53432988 991 $471262 47093001 998 115709 48859483 999 25051 20816707 974 549482

09 02 01 26

$170202179 993 $1161504 23594592 922 2000303 193796771 984 3161807

07 78 16

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 6

$645617 $624663 493157 486664 735538 725257 187040 176008

$2765 $2389 1441 1300 320 235

17952 22206

$15381 $16557 20380 21030 3840 4339 5606 5751

$2061352 $2012592 135660 127916 2197012 2140508

$22478 $26130 12710 11052 35188 37182

$45207 $47677 1789 1830 46996 49507

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 7

TRADING REV FROM

$3503 1600 71 686

$886 $938 $1150 1270 314 141 (1241) 1139 105 (143) 298 349

$249 104 0 84

$280 (229) 68 98

$5860 1338 7198

$772 $2689 $1745 751 29 60 1523 2718 1805

$437 672 1109

$217 (174) 43

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 8

INT RATE ALL

MATURITIES

FX and GOLD ALL

$27518852 $16046554 $9296711 22254023 3381955 2842824 22193853 7283152 6139346 7616357 5188457 2871889

$52862117 28478802 35616351 15676703

$7032335 12700252 4918193 4648498

$2176560 606568 693419 492811

$1064662 189482 554706 202703

$10273557 13496302 6166318 5344012

$79583085 $31900118 $21150770 9141356 5606607 3339787 88724441 37506725 24490557

$132633973 18087749 150721722

$29299278 4302880 33602158

$3969358 310478 4279836

$2011553 137381 2148934

$35280189 4750738 40030927

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 9

PREC METALS ALL

$20435 $820 $0 10720 451 0

0 0 0 8 148 0

$21255 11171

$31163 $1419 $0 7546 726 0 38709 2145 0

$32582 8272 40854

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 10

OTHER COMM ALL

MATURITIES

EQUITY ALL

$587119 $118294 $5027 118605 63529 4401 3369 1868 0 11636 15073 14

$710440 186535 5237 26723

$1705825 406446 16420 411728

$598928 148397 11276 130856

$105007 21377 1789 5808

$2409760 576220 29485 548392

$720729 $198764 $9442 46446 84439 869 767175 283203 10311

$928935 131755 1060690

$2540419 146846 2687265

$889457 105175 994632

$133981 13540 147521

$3563857 265561 3829418

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 11

ALL MATURITIES

MATURITY lt 1 YR

ALL MATURITIES

$227142 $634455 $146154 297322 1115877 110111 18904 64186 14046 111121 207428 40081

$1007751 1523310 97136 358630

$81592 110478 8432 56057

$207291 $44734 272251 22413 55706 13185 78110 14187

$333617 405142 77323 148354

$654489 $2021946 $310392 20044 62496 19975 674533 2084442 330367

$2986827 102515 3089342

$256559 18447 275006

$613358 $94519 94390 16076 707748 110595

$964436 128913 1093349

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 12

TOTAL CREDIT

$4168069 14622

4182691

$2164713 $2003357 7686 6936

2172399 2010292

$1894657 $81238 $152183 $36634 143 3879 0 3664

1894800 85117 152183 40298

$1789641 $46036 $128727 $38952 738 2 0 6195

1790379 46038 128727 45148

() 997 03

() () 518 479 02 02 519 481

() () () () 453 19 36 09 00 01 00 01 453 20 36 10

() () () () 428 11 31 09 00 00 00 01 428 11 31 11

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

TABLE 13

3Q19 $2524 $30

$18291 $546

2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17 3Q17 2Q17 1Q17 $913 $1131 $623 $751 $736 $684 $542 $729 $749 $655 $37 $24 $2 $2 $5 $7 $5 $5 $6 $2

$11135 $9020 $8432 $6893 $7642 $8483 $6092 $7731 $8259 $7154 $273 $242 $160 $2754 $3133 $531 $86 $89 $89 $80

Contents

About This Report

Executive Summary

Revenue














Market Risk

Value-at-Risk



Volatility Index







Credit Derivatives






Glossary of Terms



3Q19 Tables 1-13pdf

Table 1

Table 2

Table 3

Table 4

Table 5

Table 6

Table 7

Table 8

Table 9

Table 10

Table 11

Table 12

Table 13

Documents

Quarterly Report on Bank Trading and Derivatives ActivitiesThe Office of the Comptroller of the Currency’s (OCC) quarterly report on bank trading and derivatives activities is based