reporting form fr 2436, semiannual report of derivatives ... ·...

Board of the Governors of the Federal Reserve System

Instructions for the Preparation of

Semiannual Report of Derivatives Activity

Reporting Form FR 2436

Effective December 2019

Contents

General Instructions for Semiannual Report of Derivatives Activity

General Comments and Instructions ................................................................................................... GEN-1

Categories for Reporting .................................................................................................................... GEN-2

1. Market Risk .................................................................................................................................. GEN-2

2. Measures of Positions .................................................................................................................... GEN-3

3. Instruments ................................................................................................................................... GEN-5

4. Currency, Equity Market, Reference Credit, and Reference Entity Categories .................................... GEN-6

5. Counterparties ............................................................................................................................... GEN-9

6. Maturities .................................................................................................................................... GEN-10

How to Classify Derivatives with Multiple Risk Characteristics .......................................................... GEN-10

How to Classify Derivatives with Multiple Instrument Components .................................................... GEN-10

Glossary

General market-risk category definitions ................................................................................................ GL-1

General instrument definitions .............................................................................................................. GL-1

Market category specific definitions ....................................................................................................... GL-2

Instructions for Preparation of Semiannual Report of Derivatives Activity

Annex I—List of Reporting Institutions .............................................................................................. AN-I-1

Annex II—Equity Derivative Regional Breakdown Detail ................................................................... AN-II-1

Annex III—Credit Default Swap Counterparty Regional Breakdown Detail ....................................... AN-III-1

CONTENTS-1FR 2436 December 2019

INSTRUCTIONS FOR PREPARATIONOF

Semiannual Report of DerivativesActivity

General Instructions

General Comments and Instructions

These instructions are for the United States portion ofthe semiannual derivatives activity reporting programundertaken by the central banks of the G-10membernations. The primary objective of the program is toobtain reasonably comprehensive and internationallyconsistent data on the size and structure of global over-the-counter (OTC) financial derivatives markets.

These instructions were created to conform as closelyas possible to other Federal Reserve and FFIECreports covering similar material, specifically the Con-solidated Financial Statements for BankHoldingCompanies, Off-Balance-Sheet Items (FRY-9C,Schedule HC-L), and the Reports of Condition andIncome (Call Report), Off-Balance-Sheet Items(FFIEC 031, Schedule RC-L). Institutions may findthat they can draw substantially on the interpretationsandmethodologies already established for completingeither the Call Report or the FRY-9Cwhen complet-ing this voluntary report. Specifically, the data to bereported in the double-scored boxes of the tables arebased on data required from banks on theFFIEC 031 and from bank holding companies on theFRY-9C.

Despite the similarities with these reports, however,this report makes one significant departure in report-ing methodology. In contrast with other FFIEC or FRreports or published financial statements, this reportrequests that reporters break down complex contractsand slot their components into the risk or instrumentcategories with which they correspond. This departurefrom themethod in which data is reported in theFRY-9C and the FFIEC 031 is very useful in assessingmarket sizes of various market risk and instrumentcategories. If your institution is not currently able to

disaggregate contracts in the way requested, however, itmay report contracts in only onemarket risk or instru-ment category.

Annex I provides a list of all reporting institutionsworldwide. Annex II provides lists of countriesincluded for each region for which a breakdown isrequested in Tables 3A to 3C. Annex III provides listsof countries included for each region of credit defaultswap counterparty for which a breakdown is requestedin Table 4E.

Reporting Content

This report collects data on your institution’s openOTC derivatives contracts. AnOTC derivative is afinancial instrument whose value depends on, or isderived from, the value of an underlying asset, refer-ence rate, or index and which is not traded on an orga-nized exchange.

Exclude on-balance-sheet financial instruments thatcontain embedded derivatives. For example, a bankgranting amortgage loan would generally provide theborrower an embedded option to prepay the remainingprincipal outstanding on the loan at any time. Thiscontract would not be reported.

Exclude spot transactions with regular waysettlements.

Reporting Basis

Your institution should report on a consolidated basis.Please use the consolidation guidelines indicated in thelatest version of the FRY-9C. Do not report OTCderivatives contracts between affiliates of yourinstitution.

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Currency of Reporting and Currency Conversion

Report data in US dollars. Convert non-dollaramounts into US dollars using the closing exchangerates on the as-of date. Convert contracts that involvethe exchange of two currencies other than the US dol-lar by calculating the US dollar equivalent of only thepurchase side of the transaction (even if, in certain cir-cumstances, the contract is to be reported under bothcurrencies, as explained in Section 4.1).

Rounding

Round to the nearest million dollars; do not usedecimals.

Reporting and Filing dates

Report data as of close of business on the last calendarday of June or December, as appropriate. Bankinginstitutions should use the definition of close of busi-ness provided in the FFIEC 031 (Call Report). Report-ers which find it difficult to report as of these datesshould report as of the date they use for other financialand regulatory reporting. Submit the completed reportwithin 75 calendar days of the reporting date to theFederal Reserve Bank of NewYork electronically.Reporters should contact Federal Reserve Bank ofNewYork staff or go towww.frbservices.org/centralbank/reportingcentral/index.html for proceduresfor electronic submission.

Categories for Reporting

The FR 2436 reporting forms comprise a set of tableswhich are designed to categorize the data on deriva-tives by several criteria. Tables 1, 2, 3, and 4 separatethe data bymarket risk. Pages A, B, and CwithinTables 1 to 3 and pages A toHwithin Table 4 separatethe data by various measures of positions; within eachpage, the rows disaggregate the data by counterpartyand, in most cases, by instrument. In Tables 1 to 3 andpages B toHwithin Table 4, the columns disaggregateby details of the underlying risk—currency, country,credit rating, sector, or product type. Tables 4A-4E andTable 4H also disaggregate the data in pairs of columnsindicating whether credit protection is bought or sold.Tables 4A and 5 categorize the data bymaturity. Tables4G and 6 ask for data on credit exposures and liabili-ties arising fromOTC derivatives contracts.

1. Market Risk

1.1 Foreign exchange and gold contracts

(Tables 1A, 1B, and 1C)

Report foreign exchange and gold contracts in Tables1A to 1C.

Report data on foreign exchange contracts on a single-currency basis. That is, each contract will be reportedtwice, once under each currencymaking up either thepurchase or sale side of the contract. (For amore com-plete explanation and an illustrative example, see Sec-tion 4.1).

Report gold contracts (as an addition to foreignexchange contracts) in columnD.Gold contractsinclude all deals involving direct exposure to the priceof that commodity. (An option contract on a gold-mining company, for instance, would not be includedin this definition; an option contract on a certain quan-tity of gold would be included). Do not disaggregatedata on gold contracts by counterparty type in Tables1A, 1B and 1C, or by instrument type in Tables 1B and1C. Do not report the currency side of gold contractsunder columns B and C. For example, for a forwardcontract calling for the purchase of gold with dollars,do not report the dollar side of the contract under thedollar column in column B.

1.2 Single-currency interest rate contracts


Report single-currency interest rate derivatives inTables 2A to 2C.

Include only contracts where all the legs are exposed toonly one currency. Exclude contracts involving theexchange of different currencies (for example, cross-currency swaps) or having exposure to an exchangerate, and report these as foreign exchange contracts inTable 1.

Report as forward contracts unsettled securities trans-actions that exceed the regular way settlement timelimit that is customary in each relevant market. Forexample, a trade of U.S. Treasury bonds which willsettle in three days should be considered a forwardcontract.


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http://www.frbservices.org/centralbank/reportingcentral/index.html

1.3 Equity and commodity-linked contracts


Report equity contracts (columns A and B) and con-tracts linked to a commodity other than gold (columnsC andD) in Tables 3A to 3C.

Report in columnC contracts that have a return, or aportion of their return, linked to the price of preciousmetals (other than gold). Report in columnD othercommodity-linked contracts.

Do not disaggregate data in columns C andD by coun-terparty type in Tables 3A, 3B and 3C, or by instru-ment type in Tables 3B and 3C. Do not include data onprecious metals or other commodity-linked contractsin the regional breakdown of column B.

1.4 Credit default swap contracts

(Tables 4A, 4B, 4C, 4D, 4E, 4F, 4G, and 4H)

Report credit default swap contracts in Tables 4A to4H. Include credit default swaps in both the tradingand the banking book. Report all credit default swapinstruments in Tables 4A, 4B, 4C, 4E, 4F, and 4G. InTable 4D report only multiname instruments. InTable 4H, report only synthetic tranched structuredfinance instruments (defined below).

In Tables 4A to 4D, report the total notional amount ofcredit default swap contracts in columnA; for the sameinstruments, these amounts should be the same acrossall four tables. Report in column B of Table 4A break-downs of the amounts in columnA by remainingmaturity of the contracts. Report in column B ofTables 4B to 4D breakdowns of the amounts in columnA by the characteristics of the reference entities orassets. Report in columnA of Table 4E a breakdownthe amounts in the first row (“All Contracts”) byregion of the counterparty. In addition, report in col-umns B and C of Table 4E breakdowns of the amountin columnA by counterparty type.

1.5 Synthetic tranched structured financeinstruments

(Table 4H)

Report outstanding synthetic tranched structuredfinance instruments bought and sold in Table 4H. Syn-thetic tranched structured finance products (such as

synthetic collateralized debt obligations of CDOs) usecredit derivatives and a reference pool of assets (suchas whole loans, securitized assets, and bonds) to createa tradable capital market debt instrument. A syntheticinstrument means that the investors do not have aclaim against a reference pool of assets; rather, theoriginating bankmerely transfers the inherent creditrisk of the reference pool of assets by suchmeans as acredit default swap, a total return swap, or anotherarrangement in which the counterparty agrees uponspecific contractual covenants to cover a predeter-mined amount of losses in the loan pool.

2. Measures of Positions

2.1 Notional amounts outstanding

(Tables 1A, 2A, 3A, 4A, 4B, 4C, 4D, 4E, 4H, and 5)

Notional amount outstanding is defined as the grossnominal or notional value of all deals concluded andnot yet settled at the reporting date. Notional amountsare to be reported as absolute values. For contractswith variable notional principal amounts, report thenotional principal amounts as of the report date.

For a derivatives contract with amultiplier compo-nent, report the contract’s effective notional amount orpar value. For example, a swap contract with a statednotional amount of $1,000,000 whose terms called forquarterly settlement of the difference between 5 per-cent and LIBORmultiplied by 10 has an effectivenotional amount of $10,000,000.

No netting of contracts is permitted for purposes ofthis item. Therefore, do not net: (1) obligations of thereporting institution to purchase from third partiesagainst the institution’s obligations to sell to third par-ties, (2) sold options against bought options, or(3) contracts subject to bilateral or multilateral nettingagreements.

Forward contracts: Do not report the par value offinancial instruments intended to be delivered underforward contracts if this par value differs from the parvalue of the contracts themselves. For example, thisinstruction applies to mortgage-backed forward con-tracts where the marketplace allows some ‘‘slack’’ to bebuilt into contract terms for variances in, among otherthings, coupon rates andmaturities, for what is deemedgood delivery.



Equity and commodity-linked contracts: (Table 3A)Report for an equity or commodity contract the quan-tity (for example, number of units) of the commodityor equity product contracted for purchase or sale mul-tiplied by the contract price of a unit.

For commodity contracts (columns C andD,Table 3A) with multiple exchanges of principal, reportthe contractual amount multiplied by the number ofremaining payments (that is, exchanges of principal) inthe contract. For example, say a commodity contractcalls for the exchange of fifty thousand barrels of oilper quarter at a fixed price of $20 per barrel; the con-tract’s initial duration is four quarters. If twoexchanges (quarters) remain in the contract, thenotional amount of the contract would be calculated asfollows:

50,000 barrels x $20 x 2 = $2,000,000.

However, in the case of an option such as a cap orfloor, the notional amount would not be multiplied bythe number of payment dates since the principal is notexchanged in such contracts.

2.2 Gross fair values

(Tables 1B, 1C, 2B, 2C, 3B, 3C, and 4F)

Report as fair value the amount at which a contractcould be exchanged in a current transaction betweenwilling parties, other than in a forced or liquidationsale. If a quotedmarket price is available for a contract,report the number of trading units of the contract mul-tiplied by that market price. If a quotedmarket price isnot available, report the institution’s best estimate offair value based on the quotedmarket price of a similarcontract or on valuation techniques such as discountedcash flows. (See FASB Statement No. 107 and FASBStatement No. 140, for additional information aboutestimating fair value.)

Determine the fair value of derivatives contracts in thesamemanner that is used to determine the fair value ofthese contracts for other financial reporting purposes.For example, for interest rate swaps, fair value mayinclude accrued net settlement amounts that have notbeen paid or received. Otherwise, do not combine,aggregate, or net the reported fair value with the mar-ket or book value of any other derivative or asset orliability.

Gross fair value is defined as the gross fair value of allopen contracts before counterparty or any other net-ting. Thus, the gross positive fair value of a firm’s out-standing contracts is the sum of the fair values of allcontracts that are in a current gain position to thereporter at current market prices (and which therefore,if they were immediately settled, would representclaims on counterparties). The gross negative fair valueis the sum of the values of all contracts that have anegative value on the reporting date (that is, that are ina current loss position and which therefore, if theywere immediately settled, would represent liabilities ofthe firm to its counterparties).

The term gross is used to indicate that contracts withpositive and negative values with the same counter-party should not be netted. Do not offset against eachother the sums of positive and negative contract valueswithin amarket risk category such as foreign exchange,interest rate contracts, equities, or commodities.

2.3 Credit exposures and liabilities from creditdefault swap contracts

(Table 4G)

Report in Table 4G the reporter’s credit exposure andliability to counterparties that arise from only creditdefault swap contracts. Report in the net positive fairvalues (claims) column the sum of all credit defaultswap contracts with a positive fair value, where nettingof credit default swap contracts with a negative fairvalue is permitted if the contracts are with the samecounterparty and the reporter has a legally enforceableright of setoff. (If, for a given counterparty with whichthe reporter has a legally enforceable right of setoff, theabsolute value of credit default swap contracts with anegative fair value exceeds the value of credit defaultswap contracts with a positive fair value, do not add thenet for that counterparty to this column; the net shouldbe added to the net negative fair values (liabilities) col-umn. Similarly, report in the net negative fair values(liabilities) column the sum of all credit default swapcontracts with a negative fair value, where netting ofcredit default swap contracts with a positive fair valueis permitted if the contracts are with the same counter-party and the reporter has a legally enforceable right ofsetoff. (If, for a given counterparty with which thereporter has a legally enforceable right of setoff, thevalue of credit default swap contracts with a positive



fair value exceeds the absolute value of credit defaultswap contracts with a negative fair value, do not add anet for that counterparty to the column; the net shouldbe added to the net positive fair values (claims)column.)

2.4 Credit exposures and liabilities

(Table 6)

In Table 6, report information on credit exposures andliabilities arising fromOTC derivatives contracts(excluding commodity contracts) with all counterpar-ties and, separately, with reporting dealers and withcentral counterparties as defined in Section 5. For con-tracts that have a positive fair value, report the grossfair value of these contracts, as well as their net fairvalue (that is, credit exposure) after taking into accountany legally enforceable bilateral netting agreements.For contracts that have negative fair value, report thegross fair value of these contracts, as well as the net fairvalue (that is, liabilities) after taking into account anylegally enforceable bilateral netting arrangements.

Report data based only on foreign exchange, single-currency interest rate, equity, and credit default swapcontracts reported in Tables 1, 2, 3, and 4. Exclude goldand commodity contracts in calculating your institu-tion’s responses for Table 6, as counterparty break-downs are not required for these contracts elsewhere.

3. Instruments

3.1 Forward contracts (includes forwards, FXswaps, and forward rate agreements)

Report forward contracts that have been entered intoby the reporting institution and are outstanding (thatis, open contracts) as of the report date. Contracts areoutstanding (open) until they have been canceled byacquisition or delivery of the underlying financialinstruments or settled in cash. Such contracts can onlybe terminated, other than by receipt of the underlyingasset, by agreement of both buyer and seller.

Exclude commitments to purchase and sell when-issued securities. Also, exclude firm commitments tosell loans secured by 1 to 4 family residential properties.Note that this contrasts with the FFIEC 031 (CallReport) and FRY-9C instructions.

On Tables 1A to 1C: include both spot/forward andforward/forward foreign exchange swaps. The two cur-rency legs of a foreign exchange swap are considered tobe a single transaction, and the notional amountreported should be calculated by reference to only oneof its legs. The contract should be reported, however,under both currencies (in columns B and C). In thecase of foreign exchange swaps that are concluded asspot/forward transactions, report only the forward partof the deal. If, for practical reasons, reporting institu-tions find it difficult to distinguish between positionsthat relate to unsettled foreign exchange spot transac-tions and the spot leg of foreign exchange swaps, esti-mates may be used.

3.2 Swaps (includes currency swaps andsingle-currency interest rate swaps)

Include forward starting swap contracts as swaps.Report separately both forward parts of swapsexecuted on a forward/forward basis. For swaps on aspot/forward basis, report only the forward part of thetransaction.

3.3 OTC options

Report swaptions (options to enter into swap con-tracts), caps, floors, collars, and corridors as options.Exclude options such as a call feature that are embed-ded in loans, securities, and other on-balance-sheetassets (for example, a purchase option in an equipmentlease contract) and commitments to lendmoney.

Sold options:

Report information on the financial instruments orcommodities that the reporting institution has, forcompensation (such as a fee or premium), obligateditself to either purchase or sell under OTC option con-tracts (sold options) that are outstanding as of thereport date. Include sold caps, floors, swaptions, andthe sold portion of collars and corridors.

Bought options:

Report information on the financial instruments orcommodities that the reporting institution has, forcompensation, purchased the right to either purchaseor sell under OTC option contracts (bought options)that are outstanding as of the report date. Include



bought caps, floors, swaptions, and the purchased por-tion of collars and corridors.

3.4 Credit default swaps

Report credit default swaps only. Exclude credit linkednotes, options on credit default swaps, and total returnswaps.

Credit default swaps sold:

Report information on credit default swap contractsthat the reporting institution has, for compensation(such as a fee or premium), obligated itself to make apayment contingent on the occurrence of a credit eventon a reference entity or asset.

Credit default swaps bought:

Report information on credit default swaps contractsthat the reporting institution has, for compensation,purchased a payment contingent on the occurrence ofa credit event on a reference entity or asset.

Single-name instruments:

Report information on credit default swap contracts inwhich a single reference entity or reference asset isspecified.

Multi-name instruments:

Report information on credit default swap contracts inwhichmore than one reference entity is specified, suchas in portfolio or basket credit default swaps or creditdefault swaps indices. A basket default swap is a creditdefault swap where the credit event is the default ofsome combination of the credits, in a specified basketof credits. In the particular case of an nth-to-defaultbasket, the contingent payment is triggered by the nthdefault among the basket of reference credits.

Also include multi-name credit default swaps that are“tranched” credit default swaps. Variations operateunder specifically tailored loss limits—these mayinclude a “first-loss” tranched credit default swap, a“mezzanine” tranched credit default swap, and a senior(also known as a “super-senior”) tranched creditdefault swap.

Multi-name instruments, of which index products:

Report in Table 4D information about those multi-name credit default swap (CDS) contracts that arestandardized CDS contracts with constituent reference

credits and a fixed coupon that are determined by anadministrator such as CDS Index Company (whichadministers the CDX indexes) or International IndexCompany (which administers the iTraxx indexes).Index products include tranches of credit default swapindexes. Index products include, at a minimum, anymulti-name credit default swap contract that is listed inTable 7 (“All Indexes and Index Tranches”) of DTCCDeriv/SERV’s trade information warehouse data.

3.5 Synthetic asset-backed securities

Report synthetic asset-backed securities bought andsold. Synthetic asset-backed securities are defined asinvestment instruments for which investors do not havea claim against a reference pool of assets; rather, theoriginator merely transfers the inherent credit risk ofthe reference pool of assets by suchmeans as a creditdefault swap, a total return swap, or another arrange-ment in which the counterparty agrees upon specificcontractual covenants to cover a predeterminedamount of losses in a specified underlying loan pool.

See the Glossary for definitions of specific types ofderivative instruments.

4. Currency, Equity Market, ReferenceCredit, and Reference Entity Categories

4.1 Foreign exchange and gold andsingle-currency interest rate contracts

(Tables 1 and 2)

On Tables 1 and 2, disaggregate the total data in col-umnA by currency.

As far as possible, classify contracts according to theiractual currency risk. For example, even if a JPY/GBPcontract is divided for legal and/or bookkeeping pur-poses into a JPY/USD and aGBP/USD contract,record its notional amount andmarket value underonly the JPY andGBP columns.

Break down data by each of the currencies of the G-10countries (of which there are eleven, but nowwith onlyseven currencies):

• USD:United States dollar

• JPY: Japanese yen

• GBP: British pound


GEN-6December 2019 FR 2436

• CHF: Swiss franc

• CAD: Canadian dollar

• SEK: Swedish krona

• EUR: Euro

Additionally, data are to be broken out for any addi-tional currencies in which your institution has a mate-rial amount of contracts outstanding. The followingcurrencies are listed for convenience:

• DKKDanish krona

• AUDAustralian dollar

• HKDHongKong dollar

• IDR Indonesian rupiah

• MXPMexican peso

• NZDNewZealand dollar

• SGD Singapore dollar

• THBThai baht

Do not break out data for any non-G-10 currency(including those listed above) unless, as of the report-ing date, your institution has a material amount ofoutstanding contracts in that currency. List and breakout data for any unlisted currency for which your insti-tution has material amounts of contracts outstanding.Two blank columns are provided for unspecified cur-rencies. Additional columnsmay be inserted, ifnecessary.

For Tables 1 and 2,material amountmeans a notionalamount outstanding in a currency for a givenmarket-risk category which is greater than or equal to 2 percentof the total notional amount outstanding in thatmarket-risk category. This criterion should be appliedto eachmarket risk category separately (foreignexchange and gold and single-currency interest ratederivatives).

For example, if more than 2 percent (in terms of totalnotional amounts) of all single-currency interest ratederivatives contracts are denominated in a certain non-G-10 currency, then the data for that currency shouldbe broken out for the single-currency interest rate cat-egory. This does notmean that data for this currencymust be broken out for foreign exchange contractsunless the data for the currency independentlymeet the

2 percent threshold as applied to that market-riskcategory.

Report data for foreign exchange contracts (Tables 1Ato 1C) on a single-currency basis. That is, report eachcontract twice under columns B and C, once for eachcurrencymaking up either the purchase or sale side ofthe contract. The total of the amounts reported forindividual currencies in columns B and Cwill thus be200 percent of total amounts outstanding. In columnA (Total FX contracts) report 100 percent of totalamounts outstanding.

For example, a reporting institution enters into a for-ward contract to purchase British pound in exchangefor Japanese yen, with a notional principal equivalentto $100million and a gross positive fair value of$2million. In the table requesting notional amountsoutstanding (Table 1A), for instance, the reportinginstitution would report $100million in the GBP col-umn and $100million in the JPY column. In the tablerequesting gross positive fair value (Table 1B), the insti-tution would report $2 million in both the GBP andJPY columns. In the table requesting gross negativefair value (Table 1C), the institution would not reportthis contract, because it does not have a negative fairvalue.

4.2 Equity and Commodity-Linked Contracts

(Table 3)

In Table 3, disaggregate the total values in columnA byequity market. The value in each line of columnAshould equal the sum of the values in each line of col-umn B.

Report equity-linked contracts (Table 3A to 3C)according to the region or country of the equity mar-ket or stock index to which they are referenced:

• United States

• Japan

• Europe (excluding emergingmarkets in EasternEurope)

• Latin America

• Other Asia

• Other



See Annex II for a detailed description of the countriesincluded in each region.

Report contracts based on equity baskets that are con-structed predominantly with equities or equity indexesfrom a single region under the respective region. Forexample, if in your judgment the predominant compo-nents of an equity basket are Latin American equities,report the contract under the Latin America column.Report under the Other column contracts based onequity baskets whose components are geographicallydiversified (that is, not predominantly from a singleregion).

Reporters may need to exercise judgment in the compi-lation of regional allocations.

For Table 3,material amountmeans a notional amountoutstanding referenced to a given country or regionwhich is greater than or equal to 2 percent of the totalnotional amount outstanding in the market riskcategory.

Contracts referenced to countries or regions for whichyour institution has an immaterial amount of contracts(less than 2 percent of the total notional value of equityand commodity contracts) may be allocated to theOther category. For example, if less than 2 percent ofthe total notional value of your institution’s equity andcommodity derivatives contracts are referenced toLatin American stocks or stock indexes, then youmayinclude these contracts under the Other category andleave the Latin America column blank.

For commodity derivatives, no further breakdown bymarket-risk factor is requested.


(Table 4)

In Tables 4B and 4C, report the notional values of all,single-name, andmulti-name credit default swaps incolumnA by characteristics of the underlying refer-ence entity or obligation. The value in each line of col-umnA should equal the sum of the values in each lineof column B.

Report the rating of the underlying reference obliga-tion(s) for all, single-name, andmulti-name instru-ments in column B of Table 4B. Report the currentrating, not the rating at inception. Report the followingcategories:

• high investment grade (AAA or AA)

• low investment grade (A or BBB)

• multiple investment grade ratings

• below investment grade (BB and below)

• not rated

• multiple ratings, including below investment grade orunrated

If no public ratings are available, but internal ratingsare available, please modify the internal ratings to cor-respond to the categories above, as appropriate. If acontract refers to a specific reference asset for whichseveral public ratings are available, the lower of the twohighest ratings should be used for reporting. However,if the contract specifies a reference entity (i.e., a corpo-rate name or a sovereign) and does not specify a refer-ence credit, report the internal credit rating used by thereporter for its own internal risk managementpurposes.

For multi-name credit default swaps, report the ratingsaccording to the ratings of the underlying basket refer-ence credits, using the lower of the two highest publicratings or internal ratings, as specified above. If a rat-ing for the basket is not available and if all the underly-ing reference credits of a givenmulti-name creditdefault swap fall into only one of the following fourcategories— high investment grade, low investmentgrade, below investment grade, or not rated—thenreport the notional amount of that credit default swapunder the corresponding category. For those multi-name credit default swaps with reference credits thatdo not fit into one of those four categories, allocate thenotional amounts across the four categories accordingto the share of reference credits with ratings in each ofthe four categories, provided that reporting this way isnot overly burdensome. If it is overly burdensome andsome of the underlying reference credits of a multi-name credit default swap are investment grade, butothers are below investment grade or not rated, thenreport those credit default swaps under not rated.

In column B of Table 4C, report all, single-name, andmulti-name credit default swaps according the sectorof the reference entity—i.e., the issuer of the underly-ing reference credit. Report the following categories:

• sovereigns



• financial firms

• non-financial firms

• asset-backed securities

• multiple sectors

Sovereigns are defined as only entities of a country’scentral, state or local government. They do not includegovernment-owned financial or non-financial firms.Also exclude international organizations (e.g., theWorld Bank).

Financial firms are defined as all financial institutions,including banks, securities firms, insurance firms,hedge funds, and pension funds. I.e., financial firms areany firmwith aNorth American Industry Classifica-tion System two-digit code of 52 except asset-backedsecurities, includingmortgage-backed securities(defined below).

Non-financial firms are defined as all firms that are notsovereigns, financial firms, or asset-backed securities.

Asset-backed securities are defined as any security thatmeets the definition of mortgage-backed securities,(other) asset-backed securities, and structured prod-ucts, as defined in the instructions for lines 4 and 5 ofSchedule HC-B of the most recent FRY-9C report.

For multi-name credit default swaps, if all the underly-ing reference entities of a givenmulti-name creditdefault swap fall into only one of the following fourcategories—sovereigns, financial firms, non-financialfirms, or asset-backed securities—then report thenotional amount of that credit default swap under thecorresponding category. For those multi-name creditdefault swaps with reference entities that do not fit intoone of those four categories, then, if possible, allocatethe notional amounts according across the four catego-ries according to the share of reference credits withreference entities in each of the four categories, pro-vided that reporting this way is not overly burdensome.If doing so proves overly burdensome, then reportmulti-name credit default swaps under multiplesectors.

In Table 4D, report the notional values of multi-namecredit default swaps in columnA. In column B, reportthe notional values of index products (as defined inSection 3.4), which are a subset of multi-name con-tracts. The values in each line of column B should notexceed the values in each line of columnA.

5. Counterparties

5.1 Foreign Exchange, Interest-Rate, andEquity-Linked Contracts

(Tables 1A to 3C, 5)

For each product category in each of the three broadmarket-risk classes (foreign exchange, interest-rate,and equity-linked), report OTC contracts with report-ing dealers, central counterparties, other financial insti-tutions, and non-financial customers separately.

Reporting dealers are defined as all institutions (bothforeign and domestic) participating in the regularderivatives reporting program. A list of reporting deal-ers is provided in Annex I.

Central counterparties are defined as counterparties(for example, clearing houses) that facilitate tradesbetween counterparties in one or more financial mar-kets by either guaranteeing trades or novating con-tracts. For this report, report contracts as being with acentral counterparty only if that counterparty is per-forming the function of a central counterparty for thatcontract.

Other financial institutions are defined as all financialinstitutions other than reporting dealers and centralcounterparties, including banks, funds, and non-bankfinancial institutions whichmay be considered asfinancial endusers. Examples include, but are not lim-ited to, mutual funds, pension funds, hedge funds, cur-rency funds, moneymarket funds, leasing companies,insurance companies, central banks, credit unions,building societies, and securities firms. Financial sub-sidiaries of industrial companies are included in thiscategory.

Nonfinancial customers are defined as any other coun-terparty. This category includes governments andmul-tinational organizations (for example, theWorldBank).


(Tables 4A to 4G)

For credit default swap contracts, report, separately,OTC contracts with reporting dealers, central counter-parties, other financial institutions, and nonfinancialcustomers, as defined in Section 5.1.



In addition, break out other financial institutions intobanks and securities firms, insurance firms, special pur-pose entities, hedge funds, andmiscellaneous.

A special purpose entity is defined as a trust or otherlegal vehicle that is a distinct legal entity and that haspermissible activities that are significantly limited andare entirely specified in the legal documents establish-ing the special purpose entity.

Hedge funds are defined using the same definition as inSchedule HC-L of the latest FRY-9C report.1

Miscellaneous is defined as a residual category thatcovers all remaining financial institutions that are notlisted above, such as mutual funds and pension funds.

In Table 4E, report in columnA the notional values ofall outstanding credit default swap contracts boughtand sold with counterparties by the region of the coun-terparties. Regions are listed in Annex III. Also reportcontracts with U.S. counterparties that are reportingdealers (see the definition of reporting dealers in Sec-tion 5.1, above, and the list of reporting dealers inAnnex I).

5.3 Credit exposures and liabilities

(Table 6)

For credit exposures and liabilites, report OTC con-tracts (excluding commodities contracts) with all coun-terparties, and report, separately, contracts with report-ing dealers and with central counterparties as defined inSection 5.1.

6. Maturities

(Tables 4A and 5)

In Table 5, report notional amounts outstanding ofOTC foreign exchange, interest rate, and equity deriva-tives contracts by remainingmaturity:

• one year or less

• over one year through five years

• over five years

Remainingmaturity is determined by the date of con-clusion of the deal. For transactions with two legs, thisis equivalent to the time until the far leg is concluded,rather than the difference between the near and far-enddates of the transaction. Report each transaction onlyonce.

In column B of Table 4A, report the notional amountsoutstanding of credit default swap contracts by thesame three splits for remainingmaturity that aredescribed above. For credit default swap contracts,remainingmaturity is determined by the scheduledtermination date for the contract and not by any resetdates.

How to Classify Derivatives with MultipleRisk Characteristics

For purposes of this report, derivatives contracts arecategorized into five market classes: foreign exchange,single-currency interest rate, equity, commodity, andcredit. Individual derivatives contracts may involvemore than onemarket category.

For contracts that are combinations of exposures todifferent types of market risk, separately report theirindividual components.

If your institution is not currently able to disaggregatecontracts in this way, youmay report contracts in onlyonemarket-risk category. In this case, categorize prod-ucts with multiple risk characteristics by the predomi-nant risk characteristic at the origination of thederivative.

How to Classify Derivatives with MultipleInstrument Components

For purposes of this report, individual foreignexchange, interest rate, equity, and commodity deriva-tives contracts are categorized into three generalinstrument classes: forwards, swaps, and options.(Credit default swaps are categorized into single-nameandmultiple-name instruments). In practice, however,individual derivatives contracts may consist of morethan one instrument.

For contracts that are combinations of instruments,separately report each instrument component.

1. The June 2019 FR Y-9C defines hedge funds as generally privately

owned investment funds with a limited range of investors. Hedge funds

are not required to register with the SEC, which provides them with an

exemption in many jurisdictions from regulations governing short sell-

ing, derivative contracts, leverage, fee structures, and the liquidity of

investments in the fund.


GEN-10December 2019 FR 2436

If your institution is not currently able to disaggregatecontracts in this way, youmay report contracts in onlyone instrument category. The OTC options sectionbears precedence in classification. Thus, report anyderivatives contract that includes an option under the

OTC options section. All other derivative productsshould be reported in either the forwards or swaps sec-tion based upon the predominant characteristic of thecontract.


GEN-11FR 2436 June 2016

Glossary

General market-risk category definitions

Foreign exchange contracts: All deals involving anexchange of more than one currency or with exposureto an exchange rate. Foreign exchange contractsinclude cross-currency interest rate swaps (line 2), cur-rency swaps (line 2), forward foreign exchange con-tracts (line 1) and currency options (lines 3 and 4).Exclude spot foreign exchange contracts, which aredefined to be single leg contracts to be settled withintwo business days.

Interest-rate contracts: Contracts related to an interest-bearing financial instrument whose cash flows aredeter- mined by referencing interest rates or otherinterest rate contracts (for example, an option on afutures contract to purchase a Treasury bill). Single-currency interest rate contracts include single-currencyinterest rate swaps (line 2), basis swaps (line 2), forwardrate agreements (line 1), and interest-rate options (lines3 and 4), including caps, floors, collars, corridors andswaptions.

Equity derivative contracts: Contracts that have areturn, or a portion of their return, linked to the priceof a particular equity or to an index of equity prices,such as the Standard and Poor’s 500 index.

Commodity contracts: Contracts that have a return, ora portion of their return, linked to the price of, or to aprice index of, commodities such as precious metals,petroleum, lumber, or agricultural products.

Credit default swap contracts: Contracts in which a pro-tection buyer pays a fixed periodic fee in return for acontingent payment by a protection seller; the contin-gent payment is triggered by a credit event on a refer-ence entity, and, if the contract specifies physical settle-ment, by the delivery to the protection seller deliverableobliga- tions of the reference entity. Credit events,which are specified in credit default swap contracts,may include bankruptcy, default, or restructuring.

General instrument definitions

Forward contracts: Agreements for delayed delivery offinancial instruments, currencies or commodities inwhich the buyer agrees to purchase and the selleragrees to deliver, at a specified future date, a specifiedinstrument, currency amount or commodity at a speci-fied price or yield. Forward contracts are not traded onorganized exchanges and their contractual terms arenot standardized.

Swaps: Contracts in which two parties agree toexchange payment streams based on a specifiednotional amount for a specified period.

Option contracts: Convey either the right or the obliga-tion (depending upon whether the reporting institutionis the purchaser or the writer, respectively) to buy orsell a financial instrument or commodity; the quantity,price and settlement date are specified at the inceptionof the contract. OTC option contracts include all trad-able option contracts not traded on an organizedexchange.

GL-1FR 2436 June 2016

Market category specific definitions

(In parentheses, the lines of the reporting tables to which the contract belongs)

Foreign exchange contracts (Tables 1A, 1B, and 1C)

Outright forward: (line 1) Transaction involving the exchange of two currencies at a rate agreed on thedate of the contract for value or delivery (cash settlement) at more than twobusiness days in the future.

Foreign exchange swap: (line 1) Transaction which involves the actual exchange of two currencies (principalamount only) on a specific date at a rate agreed at the time of the conclusionof the contract (the short leg), and a reverse exchange of the same two curren-cies at a date further in the future at a rate (generally different from the rateapplied to the short leg) agreed at the time of the contract (the long leg).

Currency swap: (line 2) Contract which commits two counterparties to exchange streams of interestpayments in different currencies for an agreed period of time and to exchangeprincipal amounts in different currencies at a pre-agreed exchange rate atmaturity.

Cross-currency swap: (line 2) Variation of currency swap in which at least one of the payment streams varieswith a floating interest rate. These instruments fall into the currency swapssection.

Currency option: (lines 3 and 4) Option contract that gives the right to buy or sell a currency with another cur-rency at a specified exchange rate during a specified period. This category alsoincludes exotic foreign exchange options such as average rate options and bar-rier options.

Currency swaption: (lines 3 and 4) OTC option to enter into a currency swap contract.

Currency warrant: (lines 3 and 4) OTC option; long-dated (over one year) currency option.

Glossary

GL-2June 2016 FR 2436

Single-currency interest-rate derivatives (Tables 2A, 2B, and 2C)

Forward rate agreement (FRA):(line 1)

Interest rate forward contract in which the rate to be paid or received on a spe-cific obligation for a set period of time, beginning at some time in the future, isdetermined at contract initiation.

Interest rate swap: (line 2) Agreement to exchange periodic payments, in a single currency, related tointerest rates; can be fixed for floating, or floating for floating based on differ-ent indices. This group includes those swaps whose notional principal is amor-tized according to a fixed schedule independent of interest rates.

Interest rate option: (lines 3 and 4) OTC option, provision to pay or receive a specific interest rate on a predeter-mined principal for a set period of time.

Interest rate cap: (lines 3 and 4) OTC option that pays the difference between a floating interest rate and thecap rate.

Interest rate floor: (lines 3 and 4) OTC option that pays the difference between the floor rate and a floatinginterest rate.

Interest rate collar: (lines 3 and 4) Combination of cap and floor.

Interest rate swaption: (lines 3 and4)

OTC option to enter into an interest-rate swap contract, purchasing the rightto pay or receive a certain fixed rate.

Equity and stock index derivatives (Tables 3A, 3B, and 3C)

Equity forward: (line 1) Contract to exchange an equity or equity basket at a set price at a future date.

Equity swap: (line 1) Contract in which one or both payments are linked to the performance ofequities or an equity index (for example, S&P 500). It involves the exchange ofone equity or equity index return for another, or the exchange of an equity orequity index return for a floating or fixed interest rate.

Equity option: (lines 3 and 4) OTC option with provision to deliver or receive a specific equity, equity basketor to pay or receive a specific return based on a specific equity, equity basket,or equity index at an agreed price at an agreed time in the future.

Equity warrant: (lines 3 and 4) OTC option; long-dated (over one year) equity option.

Glossary

GL-3FR 2436 June 2016

Commodity derivatives (Tables 3A, 3B, and 3C)

Commodity forward: (line 1) Forward contract to exchange a commodity or commodity index at a set priceat a future date.

Commodity swap: (line 1) Contract with one or both payments linked to the performance of a commod-ity price or a commodity index. It involves the exchange of the return on acommodity or commodity index for another, or the exchange of a commodityor commodity index for a floating or fixed interest rate.

Commodity option: (lines 3 and 4) OTC option with provision to deliver or receive a commodity, its cash value, ora commodity index at an agreed price at a set date in the future.

Glossary

GL-4June 2016 FR 2436

List of Reporting InstitutionsAnnex I

Australia andNewZealand BankingGroup Ltd.Commonwealth Bank of AustraliaMacquarie Bank LimitedNational Australia BankSuncorpMetway LimitedWestpac Banking Corporation

Fortis BankKBC

Bank of MontrealCanadian Imperial Bank of CommerceRoyal Bank of CanadaTDBankBank of Nova Scotia

Credit Suisse GroupUBS

Bayerische LandesbankCommerzbankDeutsche BankDZBankLandesbank Baden-Wurrtembert

Banco Bilbao Vizcaya Argentaria, S.A.Bankia, S.A.Banco Santander, S.A.Caixabank, S.A.

Banque Federative du CreditMutuelBNP-ParibusBPCEBanque Populaire Caisse d’EpargneCaisse des DepotsCredit Agricole SACredit Industriel et CommercialDeixa Credit LocalSociete de Financement LocalSociete Generale

BarclaysHSBCNatWestRBS - Royal Bank of Scotland

Banco Popolare Societa CooperativaIntesa Sanpaolo SPAMediobanca SPAMonte Dei Paschi di Siena SPAUBI Banca SCPAUnicredit SPA

Aozora Bank, Ltd.Bank of Tokyo-Mitsubishi UFJDaiwa Securities Co. Ltd.Japan Post Bank Co. Ltd.Mitsubishi UFJ Securities Holdings Co., Ltd.Mitsubishi UFJ Trust and Banking CorporationMizhuo Bank, Ltd.Mizhuo Securities Co., Ltd.Mizhuo Trust and Banking Co., Ltd.NomuraHoldings, Inc. Norinchukin BankResonaBank, Ltd.Shinkin Central BankShinsei Bank, Ltd.SumitomoMitsui Banking CorporationSumitomoMitsui Trust Bank, Limited

ABNAMROHoldingINGBankNVRabobank

Nordea ABSkandinaviska Enskilda Banken AB, SEBSvenskaHandelsbanken ABSwedbankAB

AN-I-1FR 2436 June 2016

Bank of AmericaBank of NewYorkMellon CorporationCitigroupJ PMorgan Chase &Co.Morgan Stanley

State Street CorporationTheGoldman Sachs Group, Inc.Wells Fargo &Company

Annex I

AN-I-2June 2016 FR 2436

Equity Derivative Regional BreakdownDetailAnnex II

United States

Japan

Europe (excluding Eastern Europe)

Excludes:

AlbaniaBulgariaHungaryPolandRomaniaSuccessor republics of: Czechoslovakia, Soviet Union,and Yugoslavia

Includes:

BelgiumCyprusDenmarkFinlandFranceGermanyGibraltarGreeceIcelandIrelandItalyLuxembourgMaltaMonacoNetherlandsNorwayPortugalSpainSwedenSwitzerlandTurkeyUnitedKingdomVatican CityOther Europe

Latin America (includes Caribbean)

ArgentinaBahamasBarbadosBelizeBermudaBoliviaBrazilBritishWest IndiesCayman IslandsChileColombiaCosta RicaCubaDominican RepublicEcuadorEl SalvadorFalkland IslandsFr.W. Indies & Fr. GuineaGrenadaGuatemalaGuyanaHaitiHondurasJamaicaMexicoNetherlands AntillesNicaraguaPanamaPeruSurinameTrinidad and TobagoUruguayVenezuelaOther Latin America &Caribbean

Other Asia (excluding Japan)

AfghanistanBahrain

AN-II-1FR 2436 June 2016

BangladeshBhutanBruneiBurmaCambodiaChinaMainland TaiwanHongKongIndiaIndonesiaIranIraqIsraelJordanKoreaKuwaitLaosLebanonMacauMalaysiaMaldives

MongoliaNepalNorthKoreaOmanPakistanPhilippinesQatarSaudi ArabiaSingaporeSri LankaSyriaThailandUnited Arab EmiratesVietnamYemenOther Asia &Middle East

Other

All other countries

Annex II

AN-II-2June 2016 FR 2436

Credit Default Swap CounterpartyRegional Breakdown Detail1

Annex III

United States

Japan

Western Europe

AustriaBelgiumDenmarkFinlandFranceGermanyGreeceIrelandItalyLuxembourgNetherlandsPortugalSpainSwedenSwitzerlandUnitedKingdom

Latin America (includes Caribbean)

ArgentinaBahamasBarbadosBelizeBermudaBoliviaBrazilBritishWest IndiesCayman IslandsChileColombiaCosta Rica

CubaDominican RepublicEcuadorEl SalvadorFalkland IslandsFr.W. Indies & Fr. GuineaGrenadaGuatemalaGuyanaHaitiHondurasJamaicaMexicoNetherlands AntillesNicaraguaPanamaPeruSurinameTrinidad and TobagoUruguayVenezuelaOther Latin America/ Caribbean

Other Asia (excluding Japan)

AfghanistanBahrainBangladeshBhutanBruneiBurmaCambodiaChinaMainland TaiwanHongKongIndiaIndonesiaIranIraqIsrael

1. The regions in Annex III differ from those in Annex II for Western

Europe and for other countries. Western Europe in Annex III is a more

limited list than Europe excluding Eastern Europe in Annex II. As a

result of the difference in Western Europe, other countries in Annex III

is more inclusive than in Annex II.

AN-III-1FR 2436 June 2016

JordanKoreaKuwaitLaosLebanonMacauMalaysiaMaldivesMongoliaNepalNorthKoreaOmanPakistanPhilippines

QatarSaudi ArabiaSingaporeSri LankaSyriaThailandUnited Arab EmiratesVietnamYemenOther Asia/Middle East

Other

All other countries, including all other Europe

Annex III

AN-III-2June 2016 FR 2436

reporting form fr 2436, semiannual report of derivatives ... ·...

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