1505-0012 instructions FC-1

Data reported on this form will be held in confidence.
(See Section A of the Instructions.)

Form Approved: OMB No.1505-0012
Estimated average burden: 1 hour
Foreign Currency Form FC-1, expires 12/31/06
U.S. Department of the Treasury

WEEKLY CONSOLIDATED FOREIGN CURRENCY
REPORT OF MAJOR MARKET PARTICIPANTS
TREASURY FOREIGN CURRENCY FORM FC-1

GENERAL

INSTRUCTIONS

A. INTRODUCTION
This report collects weekly, consolidated data on the foreign exchange contracts and positions of major market
participants. Data should be provided in millions of units of each specified currency. Filing is required by law (31
U.S.C. 5315; 31 C.F.R. 128, Subpart C). Failure to report can result in a civil penalty up to $10,000 (31
U.S.C. 5321(a)(3), 31 C.F.R. 128.4(c)).
Reported data will be held in confidence by the Department of the Treasury and Federal Reserve Banks acting as
fiscal agents of the Treasury. Data reported by individual banks and firms will not be published or otherwise
publicly disclosed. Aggregate data may be published or disclosed in ways which will not reveal the amounts
reported by any one institution. The data of individual reporters may be provided to other Federal agencies insofar
as authorized by the Paperwork Reduction Act (44 U.S.C. 3501 et seq.).
Paperwork Reduction Act Notice: The estimated average burden associated with this collection of information
is one hour per respondent. Comments concerning the accuracy of this estimate and suggestions for reducing the
burden should be directed to the Office of Information Resources Management, Room 2110, 1425 New York Ave.,
N.W., Washington, DC 20220, and the Office of Management and Budget, Paperwork Reduction Project (15050012), Washington, DC 20503.

B. WHO MUST REPORT
This report must be filed by each foreign exchange market participant that had more than $50 billion equivalent in
foreign exchange contracts on the last business day of any calendar quarter during the previous year (March,
June, September, or December) calculated using then prevailing exchange rates. Such contracts include the
amounts of foreign exchange spot contracts bought and sold, foreign exchange forward contracts bought and sold,
foreign exchange futures bought and sold, plus one half of the notional amount of foreign exchange options (that
is, foreign exchange options bought and sold divided by two).
Institutions required to report include banks, bank holding companies and depository institutions in the
United States; the agencies, branches, and subsidiaries located in the United States of foreign banks;
nonfinancial corporations; nonprofit institutions; brokers; dealers; mutual fund, foreign exchange, and hedge
fund managers; and other entities located in the United States, whether sole proprietorships, partnerships,
groups, associations, syndicates, trusts, or corporations, including the U.S. subsidiaries of foreign

Instructions for Foreign Currency Form FC-1 - Page 2 of 4

nonbanking concerns. Subsidiaries -- including banks, Edge Acts, and nonbanks -- should be consolidated
with those of the parent.
The subsidiaries and branches in the United States of any foreign bank or foreign institution must report if
their combined foreign exchange contracts as listed above exceed the exemption level. However, U.S.
subsidiaries of foreign entities should file only for offices located in the United States, not for their
foreign parents.
Except for foreign branches and agencies that have offices located in different Federal Reserve districts,
only one report should be filed by any institution. Institutions may choose to report at the level of the bank
unless the holding company's foreign currency commitments, including those of its subsidiary banks, exceed
those of the bank or banks by more than 2 percent. If this is the case, the holding company must report.

C. FILING THE REPORTS
1. The report must be filed no later than noon (12:00 p.m.) on Friday following the Wednesday to which the
report applies. If Wednesday is not a business day, the report should be filed as of the preceding
business day. If Friday is not a business day, the report should be submitted by noon the next business
day. The use of a facsimile machine is recommended.
2. The Federal Reserve acts as the collecting and processing agent for this report for the U.S. Department
of the Treasury. Banking institutions including foreign branches and agencies and bank holding
companies should submit this report to the Federal Reserve Bank in whose district they are located.
Nonbanks should file with the Federal Reserve Bank of New York (FRBNY).
3. The report should be filed on a fully consolidated basis. Reporters whose top-tier parent is located in the
United States should include data for all domestic and foreign offices. To facilitate reporting, data need
not be collected from those offices and subsidiaries that have immaterial positions. The amounts
reported must reflect the operations of offices which are responsible for at least 90 percent of all foreign
currency positions defined as the sum of the absolute values of all net reported dealing positions in its
global foreign exchange operations. For a foreign institution with operations in the United States, the
amounts reported by one or more of its affiliates must reflect at least 90 percent of all of its positions in
the United States defined as the sum of the absolute values of all net reported dealing positions. (See
instructions for Row 4 for a description of "net reported dealing position.") Also, be sure to check the
appropriate box: Fully consolidated or Partially on Form FC-1. In the event you need to change the
way you consolidate for this report or the offices whose activities are included, notify your Federal
Reserve Bank in advance.
4. All contracts should be reported on a gross basis. Contracts with the same customer, including those
netted by bilateral or multilateral master netting agreements, are to be reported gross. Contracts with
affiliates should be reported gross. However, exclude intra-office trades between desks or departments
within the same reporter (e.g., transactions between two trading "desks" at the same location). Also
exclude any off-market transactions between unconsolidated offices such as those used to transfer the
management of foreign currency exposure from a sales office to a trading operation.
5. Include foreign exchange contracts used for hedging.
6. Report both sides of foreign exchange transactions involving the report’s specified currencies. For

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example, for a trade involving the purchase of U.S. dollars against the sale of Euros, report the dollar
side in row one and the Euros in row two.
7. Report all amounts in units of the indicated currency.
8. The reports are to be submitted on the forms provided by your district Federal Reserve Bank. Reports
must be clear and legible, typed or written in ink. Computer printouts in the same format as the form,
including all item and column captions may be used if approved in writing by your Federal Reserve Bank.

D. REVIEW OF DATA
Data submitted on Form FC-1 are reviewed by Federal Reserve staff. A reporter may be called to explain
changes in the data. In some cases, the reporter may be asked to submit revised reports. Reporters must
maintain records for the current and prior year in order to be able to comply with such requests. Revised reports
must be signed by an authorized officer.

E. DEFINITIONS
United States. The term "United States" means the States of the United States, the District of Columbia,
the Commonwealth of Puerto Rico, the Commonwealth of the Northern Mariana Islands, and the following:
American Samoa, Guam, Johnston Atoll, Midway Island, the U.S. Virgin Islands, and Wake Island.
Specified currencies. "Specified currencies" are the six currencies heading columns on the front of Form
FC-1: U.S. dollars, Euros, Swiss francs, U.K. pounds, Japanese yen, and Canadian dollars. Please note:
every exchange contract involves two currencies. If one is a specified currency, it should be reported. If
both are specified currencies, then the currency amounts should be included in both of the appropriate columns.
"Delta equivalent" value. For this report, this is an estimate of the relationship between an option's value and
an equivalent currency hedge; that is, the "delta equivalent" is the amount of currency that will have the
same gain or loss characteristics as the option over small movements in the exchange rate. The "delta
equivalent" value represents the product of the first partial derivative of an option valuation formula (with
respect to the price (rate) of the underlying currency) multiplied by the notional principal of the contract. The
option valuation formula should provide unbiased estimates of the price of an option as a function of the
price of the underlying asset. Report the valuation formula chosen, with estimation methodology, at the first
submission of Form FC-1 and at any time it is changed thereafter. The same valuation formula should be
used on both the FC-1 and FC-2.

F. ROUNDING
All entries should be rounded to the nearest million units; do not use decimals.

Instructions for Foreign Currency Form FC-1 - Page 4 of 4

SPECIFIC

INSTRUCTIONS

1. Foreign Exchange Spot, Forward, and Futures Purchased. Report in this row the outstanding
amounts of foreign exchange that the reporter has contracted to receive. Include amounts due on
unsettled spot, forward, swap, and futures contracts.
Report the principal amounts of swaps that are to be exchanged. Report the far leg and the near leg if it
has not settled. Do not report the notional amount of swaps where there is not an exchange of principal.
Identical futures (contracts of the same currency, for the same settlement date on the same organized
exchange) should be reported net. For example, if on the CME you have contracts to purchase 100
million in 30-day Japanese yen and contracts to sell 50 million in 30-day Japanese yen, you should
include 50 million in Row 1. Where applicable, report the principal to be exchanged on foreign currency
interest rate swaps.
2. Foreign Exchange Spot, Forward, and Futures Sold. Report in this row the outstanding amounts of
foreign exchange that the reporter has contracted to deliver. Include amounts due on unsettled spot,
forward, swap, and futures contracts. See instructions for Row 1 above for details on the reporting of
swaps and the netting of identical futures (contracts of the same currency, for the same settlement date
on the same organized exchange).
3. Net Options Position, Delta Equivalent Value Long or (Short). Reporters who buy and sell options
are required to supply these values if the aggregate notional principal amount of options purchased
and sold (written) by the reporter exceeds U.S.$500 million equivalent. Report the net "delta
equivalent" value of all currency option contracts, written and purchased, for each specified currency.
4. Net Reported Dealing Position Long or (Short). Report in this row the net dealing position for each of
the specified currencies as reported to senior management for internal risk management purposes. This
figure should be taken from or derived from the reporter’s internal risk management system. For
reporters with a top-tier parent located in the United States, it should reflect all positioning undertaken
under the authority of the manager in charge of global foreign exchange operations. For the U.S.
affiliates of foreign institutions, report the net dealing position undertaken under the authority of the
manager in charge of foreign exchange operations in the United States. However, if the reporter is an
affiliate of a foreign institution whose foreign exchange operations are managed on a global basis and
the internal risk management system does not provide a meaningful measure of positions for the U.S.
based operations, contact the Federal Reserve Bank staff to discuss alternate arrangements. Also
contact our staff if the internal risk management system does not calculate a position in the U.S. dollar.
Provide a description of what is included in calculating the net reported dealing position with the first
submission of Form FC-1 and at any time it is changed thereafter. This amount is also reported monthly
on line 9 of Form FC-2.