Form FR 2436 FR 2436 Semiannual Report of Derivatives Activity

Table 1A: Foreign Exchange and Gold Contracts (Notional Amounts Outstanding)
(A)

(D)
of which, contracts involving the following currencies (report both sides):

Total FX
contracts

(B)

(C)

Additional currencies in which the reporter has a material
amount of contracts outstanding
USD EUR JPY GBP CHF CAD SEK DKK AUD HKD IDR MXP NZD SGD THB

OTC Contracts
1. Forwards and FX Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Currency Swaps
with reporting dealers
with other financial institutions
with non-financial customers
3. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
4. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers

Total FX
contracts
including
gold

Table 1B: Foreign Exchange and Gold Contracts (Gross Positive Market Values)
(A)

(D)
of which, contracts involving the following currencies (report both sides):

Total FX
contracts

(B)

(C)
Additional currencies in which the reporter has a material
amount of contracts outstanding

USD

OTC Contracts
1. Forwards and FX Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Currency Swaps
with reporting dealers
with other financial institutions
with non-financial customers
3. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
4. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXP

NZD

SGD

THB

Total FX
contracts
including
gold

Table 1C: Foreign Exchange and Gold Contracts (Gross Negative Market Values)
(A)

(D)
of which, contracts involving the following currencies (report both sides):

Total FX
contracts

(B)

(C)
Additional currencies in which the reporter has a material
amount of contracts outstanding

USD

OTC Contracts
1. Forwards and FX Swaps
with reporting dealers
with other finnancial institutions
with non-financial customers
2. Currency Swaps
with reporting dealers
with other finnancial institutions
with non-financial customers
3. Bought Options
with reporting dealers
with other finnancial institutions
with non-financial customers
4. Sold Options
with reporting dealers
with other finnancial institutions
with non-financial customers

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXP

NZD

SGD

THB

Total FX
contracts
including
gold

Table 2A: Single-Currency Interest Rate Contracts (Notional Amounts Outstanding)
(A)
of which, contracts involving interest rates of the following currencies:
Total
interest
rate
contracts

OTC Contracts
1. Forwards and FX Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Single-Currency Interest Rate Swaps
with reporting dealers
with other financial institutions
with non-financial customers
3. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
4. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers

(B)

(C)

Additional currencies in which the reporter has a material
amount of contracts outstanding
USD EUR JPY GBP CHF CAD SEK DKK AUD HKD IDR MXP NZD SGD THB

Table 2B: Single-Currency Interest Rate Contracts (Gross positive market values)
(A)
of which, contracts involving interest rates of the following currencies:
Total
interest
rate
contracts

OTC Contracts
1. Forwards and FX Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Single-Currency Interest Rate Swaps
with reporting dealers
with other financial institutions
with non-financial customers
3. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
4. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers

(B)

(C)

Additional currencies in which the reporter has a material
amount of contracts outstanding
USD EUR JPY GBP CHF CAD SEK DKK AUD HKD IDR MXP NZD SGD THB

Table 2C: Single-Currency Interest Rate Contracts (Gross negative market value)
(A)
of which, contracts involving interest rates of the following currencies:
Total
interest
rate
contracts

OTC Contracts
1. Forwards and FX Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Single-Currency Interest Rate Swaps
with reporting dealers
with other financial institutions
with non-financial customers
3. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
4. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers

(B)

(C)

Additional currencies in which the reporter has a material
amount of contracts outstanding
USD EUR JPY GBP CHF CAD SEK DKK AUD HKD IDR MXP NZD SGD THB

Phase 2, effective as of end-December 2005
Table 4A: Credit Default Swaps by Remaining Maturity (Notional Amounts Outstanding)
(B)
(A)

Instruments
All Contracts
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial
Single-name instruments
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial
Multi-name instruments
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial

Total
Bought
Sold

of which, contracts with remaining maturity of:
One year or less
Bought
Sold

Over one year
through five years
Bought
Sold

Over five years
Bought
Sold

Phase 2, effective as of end-December 2005
Table 4B: Single-Name Credit Default Swaps by Rating Category (Notional Amounts Outstanding)
(B)
(A)

Instruments
Single-name instruments
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial

Total
Bought
Sold

of which, contracts involving
reference entities with the following ratings:
Investment grade
Bought
Sold

Below
investment grade
Bought
Sold

Not rated
Bought
Sold

Phase 2, effective as of end-December 2005
Table 4C: Single-Name Credit Default Swaps by Sector of Reference Entity (Notional Amounts Outstanding)
(B)
(A)
Instruments
Single-name instruments
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial

Total
Bought
Sold

of which, contracts involving
reference entities that are:
Sovereigns
Bought
Sold

Non-sovereigns
Bought
Sold

Phase 2, effective as of end-December 2005
Table 4D: Credit Default Swaps (Gross Positive and Gross Negative Market Values)

Instruments
All Contracts
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial
Single-name instruments
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial
Multi-name instruments
with reporting dealers
with other financial institutions, of which:
banks and securities firms
insurance firms
other
with non-financial

Gross
Positive
Market
Values

Gross
Negative
Market
Values

Table 5: Notional Amounts of OTC Derivatives Contracts by Remaining Maturity
Forwards and swaps

Bought Options

Sold Options

Total

Over one
One year Over one year Over five One year Over one year Over five One year Over one year Over five One year
years
or less
year through
years
or less
through five
years
or less
through five
or less
through five
years
years
five years
years
1. Foreign Exchange Contracts
with reporting dealers
with other financial institutions
with non-financial customers
2. Interest Rate Contracts
with reporting dealers
with other financial institutions
with non-financial customers
3. Equity Contracts
with reporting dealers
with other financial institutions
with non-financial customers

Over five
years

Table 6: Credit Exposures and Liabilities Arising From OTC Derivatives Contracts
Credit Exposures
Gross positive/negative market value
of which with reporting dealers
Market value after netting agreements
of which with reporting dealers

Liabilities