Semiannual Report of Derivatives Activity

Board of Governors of the Federal Reserve System

Instructions for

Semiannual Report of Derivatives Activity
Phase 2
FR 2436
OMB No. 7100-0286
Approval expires December 31, 2007

This report is authorized by law [12 U.S.C. §§ 248(a), 353-359, and 461]. Your voluntary cooperation in submitting
this report is needed to make the results comprehensive, accurate and timely. The Federal Reserve may not conduct
or sponsor, and an organization is not required to respond to, a collection of information unless it displays a currently
valid OMB control number. The Federal Reserve System regards the individual institution information provided by
each respondent as confidential [5 U.S.C. §552(b)(4)]. If it should be determined that any information collected on
this form must be released, other than in the aggregate in ways that will not reveal the amounts reported by any one
institution, respondents will be notified.
Public reporting burden for this collection of information is estimated to be 150 hours per response, including time to
gather and maintain data in the proper form, to review instructions and to complete the information collection. Send
comments regarding this burden estimate to: Secretary, Board of Governors of the Federal Reserve System, 20th and
C Streets, NW, Washington, DC 20551; and to the Office of Management and Budget, Paperwork Reduction
Project, (7100-0286), Washington, DC 20503.

Contents for

Semiannual Report of Derivatives Activity Instructions
General Comments and Instructions
Reporting Content
Reporting Basis
Currency of Reporting and Currency Conversion
Rounding
Reporting and Filing Dates

1
1
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2
2
2

Categories for Reporting

3

1. Market Risk
1.1 Foreign exchange and gold contracts
1.2 Single-currency interest rate contracts
1.3 Equity and commodity-linked contracts
1.4 Credit default swap contracts

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3
3
3
3

2. Measures of Positions
2.1 Notional amounts outstanding
2.2 Gross market values
2.3 Credit exposures and liabilities

4
4
4
5

3. Instruments
3.1 Forward contracts
3.2 Swaps
3.3 OTC options
3.4 Credit default swaps

5
5
6
6
6

4. Currency, Equity Market, and Reference Entity Categories
4.1 Foreign exchange and gold and single-currency interest rate contracts
4.2 Equity and commodity-linked contracts
4.3 Credit default swap contracts

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7
9
9

5. Counterparties
5.1 Foreign exchange, interest-rate, and equity-linked contracts
5.2 Credit default swap contracts

10
10
10

6. Maturities

11

How to Classify Derivatives with Multiple Risk Characteristics
How to Classify Derivatives with Multiple Instrument Components

11
11

Glossary

12

Annex I: Reporting Forms
Annex II: List of Reporting Institutions
Annex III: Equity Derivative Regional Breakdown Detail

General Comments and Instructions

Reporting Content:

These instructions are for the United States portion of
the semiannual derivatives activity reporting program
undertaken by the central banks of the G-10 member
nations. The primary objective of the program is to
obtain reasonably comprehensive and internationally
consistent data on the size and structure of global
over-the-counter (OTC) financial derivatives markets.

This report collects data on your institution’s open
OTC derivatives contracts. An OTC derivative is a
financial instrument whose value depends on, or is
derived from, the value of an underlying asset,
reference rate, or index and which is not traded on an
organized exchange.
Exclude on-balance-sheet financial instruments that
contain embedded derivatives. For example, a bank
granting a mortgage loan would generally provide the
borrower an embedded option to prepay the remaining
principal outstanding on the loan at any time. This
contract would not be reported.

These instructions were created to conform as closely
as possible to other Federal Reserve and FFIEC
reports covering similar material, specifically the
Consolidated Financial Statements for Bank Holding
Companies, Off-Balance-Sheet Items (FR Y-9C,
Schedule HC-L), and the Reports of Condition and
Income (Call Report), Off-Balance-Sheet Items
(FFIEC 031, Schedule RC-L). Institutions may find
that they can draw substantially on the interpretations
and methodologies already established for completing
either the Call Report or the FR Y-9C when
completing this voluntary report. Specifically, the
data to be reported in the double-scored boxes of the
tables are based on data required from banks on the
FFIEC 031 and from bank holding companies on the
FR Y-9C.

Exclude spot transactions with regular way
settlements.
Reporting Basis:
Your institution should report on a consolidated basis.
Please use the consolidation guidelines indicated in
the latest version of the FR Y-9C, or, for nonbank
dealers, on the same basis as described in generally
accepted accounting principles (GAAP). Do not report OTC derivatives contracts between affiliates of
your institution.

Despite the similarities with these reports, however,
this report makes one significant departure in
reporting methodology. In contrast with other FFIEC
or FR reports or published financial statements, this
report requests that reporters break down complex
contracts and slot their components into the risk or
instrument categories with which they correspond.
This departure from the method in which data is
reported in the FR Y-9C and the FFIEC 031 is very
useful in assessing market sizes of various market risk
and instrument categories. If your institution is not
currently able to disaggregate contracts in the way requested, however, it may report contracts in only one
market risk or instrument category.
Annex I contains copies of the reporting forms.
Annex II provides a list of all reporting institutions
worldwide. Annex III provides lists of countries
included for each region for which a breakdown is
requested in Tables 3A to 3C. The Glossary provides
definitions of various derivative contracts and
instruments.
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Instructions for preparing the FR 2436

Currency of Reporting and Currency Conversion:
Report data in US dollars. Convert non-dollar
amounts into US dollars using the closing exchange
rates on the as-of date. Convert contracts that involve
the exchange of two currencies other than the US
dollar by calculating the US dollar equivalent of only
the purchase side of the transaction (even if, in certain
circumstances, the contract is to be reported under
both currencies, as explained in Section 4.1).
Rounding:
Round to the nearest million dollars; do not use
decimals.
Reporting and Filing dates:
Report data as of close of business on the last
calendar day of June or December, as appropriate.
Banking institutions should use the definition of close
of business provided in the FFIEC 031 (Call Report).
Reporters which find it difficult to report as of these
dates should report as of the date they use for other
financial and regulatory reporting. Send the
completed report within 75 calendar days of the
reporting date to the Federal Reserve Bank of New
York, Financial Reports Department, 33 Liberty
Street, New York, NY 10045.

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Instructions for preparing the FR 2436

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

Categories for Reporting
The FR 2436 reporting forms comprise a set of tables
which are designed to categorize the data on
derivatives by several criteria. Tables 1, 2, 3, and 4
separate the data by market risk; pages A, B, and C
within those tables and page D within Table 4 separate the data by various measures of positions; and
within each page, the rows disaggregate the data by
instrument and counterparty and the columns by
currency or country. Tables 4A and 5 categorize the
data by maturity. Table 6 asks for data on credit
exposures and liabilities arising from OTC derivatives
contracts.

Report single-currency interest rate derivatives in
Tables 2A to 2C.
Include only contracts where all the legs are exposed
to only one currency. Exclude contracts involving the
exchange of different currencies (for example, crosscurrency swaps) or having exposure to an exchange
rate, and report these as foreign exchange contracts in
Table 1.

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

Report as forward contracts unsettled securities
transactions that exceed the regular way settlement
time limit that is customary in each relevant market.
For example, a trade of U.S. Treasury bonds which
will settle in three days should be considered a
forward contract.

Report foreign exchange and gold contracts in Tables
1A to 1C.

1.3 Equity and commodity-linked contracts
(Tables 3A, 3B, and 3C)

Report data on foreign exchange contracts on a
single-currency basis. That is, each contract will be
reported twice, once under each currency making up
either the purchase or sale side of the contract. (For a
more complete explanation and an illustrative
example, see Section 4.1).

Report equity contracts (columns A and B) and
contracts linked to a commodity other than gold
(columns C and D) in Tables 3A to 3C.

1. Market Risk

Report in column C contracts that have a return, or a
portion of their return, linked to the price of precious
metals (other than gold). Report in column D other
commodity-linked contracts.

Report gold contracts (as an addition to foreign
exchange contracts) in column D. Gold contracts
include all deals involving direct exposure to the price
of that commodity. (An option contract on a goldmining company, for instance, would not be included
in this definition; an option contract on a certain
quantity of gold would be included). Do not disaggregate data on gold contracts by counterparty type
in Tables 1A, 1B and 1C, or by instrument type in
Tables 1B and 1C. Do not report the currency side of
gold contracts under columns B and C. For example,
for a forward contract calling for the purchase of gold
with dollars, do not report the dollar side of the
contract under the dollar column in column B.

Do not disaggregate data in columns C and D by
counterparty type in Tables 3A, 3B and 3C, or by
instrument type in Tables 3B and 3C. Do not include
data on precious metals or other commodity-linked
contracts in the regional breakdown of column B.
1.4 Credit default swap contracts
(Tables 4A, 4B, 4C, and 4D)
Report credit default swap contracts in Tables 4A to
4D. Include credit default swaps in both the trading
and the banking book.

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Instructions for preparing the FR 2436

In Tables 4A to 4C, report the total notional amount
of credit default swap contracts in column A; these
amounts should be for all three tables. Report in
column B of Table 4A breakdowns of the amounts in
column A by remaining maturity of the contracts.
Report in column B of Tables 4B to 4C breakdowns
of the amounts in column A by the characteristics of
the reference entities or assets.

forward contracts if this par value differs from the par
value of the contracts themselves. For example, this
instruction applies to mortgage backed forward
contracts where the marketplace allows some “slack”
to be built into contract terms for variances in, among
other things, coupon rates and maturities, for what is
deemed good delivery.
Equity and commodity-linked contracts: (Table 3A)
Report for an equity or commodity contract the
quantity (for example, number of units) of the
commodity or equity product contracted for purchase
or sale multiplied by the contract price of a unit.

2. Measures of Positions
Cross-currency deals actually passing through a
vehicle currency should be recorded as two separate
contracts against the vehicle currency. However,
cross-currency deals divided only for legal and/or
bookkeeping purposes into two deals against a vehicle
currency should not be recorded as two separate
contracts against the vehicle currency. (See Section
4.1 for a more complete explanation.)

For commodity contracts (columns C and D, Table
3A) with multiple exchanges of principal, report the
contractual amount multiplied by the number of
remaining payments (that is, exchanges of principal)
in the contract. For example, say a commodity
contract calls for the exchange of fifty thousand
barrels of oil per quarter at a fixed price of $20 per
barrel; the contract’s initial duration is four quarters.
If two exchanges (quarters) remain in the contract, the
notional amount of the contract would be calculated
as follows:
50,000 barrels x $20 x 2 = $2,000,000.
However, in the case of an option such as a cap or
floor, the notional amount would not be multiplied by
the number of payment dates since the principal is not
exchanged in such contracts.

2.1 Notional amounts outstanding
(Tables 1A, 2A, 3A, 4A, 4B, and 4C)
Notional amount outstanding is defined as the gross
nominal or notional value of all deals concluded and
not yet settled at the reporting date. Notional amounts
are to be reported as absolute values. For contracts
with variable notional principal amounts, report the
notional principal amounts as of the report date.
For a derivatives contract with a multiplier
component, report the contract's effective notional
amount or par value. For example, a swap contract
with a stated notional amount of $1,000,000 whose
terms called for quarterly settlement of the difference
between 5% and LIBOR multiplied by 10 has an
effective notional amount of $10,000,000.

2.2 Gross market values
(Tables 1B, 1C, 2B, 2C, 3B, 3C, and 4D)
Report as market value the amount at which a contract
could be exchanged in a current transaction between
willing parties, other than in a forced or liquidation
sale. If a quoted market price is available for a
contract, report the number of trading units of the
contract multiplied by that market price. If a quoted
market price is not available, report the institution's
best estimate of market value based on the quoted
market price of a similar contract or on valuation
techniques such as discounted cash flows. (See FASB
Statement No. 107 and FASB Statement No. 140, for
additional information about estimating market
value).

No netting of contracts is permitted for purposes of
this item. Therefore, do not net: (1) obligations of the
reporting institution to purchase from third parties
against the institution's obligations to sell to third
parties, (2) sold options against bought options, or (3)
contracts subject to bilateral or multilateral netting
agreements.
Forward contracts: Do not report the par value of
financial instruments intended to be delivered under

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Instructions for preparing the FR 2436

Determine the market value of derivatives contracts in
the same manner that is used to determine the market
value of these contracts for other financial reporting
purposes. For example, for interest rate swaps,
market value may include accrued net settlement
amounts that have not been paid or received.
Otherwise, do not combine, aggregate, or net the
reported market value with the market or book value
of any other derivative or asset or liability.

value (that is, liabilities) after taking into account any
legally enforceable bilateral netting arrangements.
Report data based only on foreign exchange, singlecurrency interest rate, equity, and credit default swap
contracts reported in Tables 1, 2, 3, and 4. Exclude
gold and commodity contracts in calculating your
institution's responses for Table 6, as counterparty
breakdowns are not required for these contracts
elsewhere.

Gross market value is defined as the gross marked-tomarket value of all open contracts before counterparty
or any other netting. Thus, the gross positive market
value of a firm's outstanding contracts is the sum of
the market values of all contracts that are in a current
gain position to the reporter at current market prices
(and which therefore, if they were immediately
settled, would represent claims on counterparties).
The gross negative market value is the sum of the
values of all contracts that have a negative value on
the reporting date (that is, that are in a current loss
position and which therefore, if they were
immediately settled, would represent liabilities of the
firm to its counterparties).

3. Instruments
3.1 Forward contracts (includes forwards, FX swaps
and forward rate agreements)
Report forward contracts that have been entered into
by the reporting institution and are outstanding (that
is, open contracts) as of the report date. Contracts are
outstanding (open) until they have been canceled by
acquisition or delivery of the underlying financial
instruments or settled in cash. Such contracts can only
be terminated, other than by receipt of the underlying
asset, by agreement of both buyer and seller.
Exclude commitments to purchase and sell whenissued securities. Also, exclude firm commitments to
sell loans secured by 1 to 4 family residential
properties. Note that this contrasts with the
FFIEC 031 (Call Report) and FR Y-9C instructions.

The term gross is used to indicate that contracts with
positive and negative values with the same
counterparty should not be netted. Do not offset
against each other the sums of positive and negative
contract values within a market risk category such as
foreign exchange, interest rate contracts, equities or
commodities.

On Tables 1A to 1C: include both spot/forward and
forward/forward foreign exchange swaps. The two
currency legs of a foreign exchange swap are
considered to be a single transaction and the notional
amount reported should be calculated by reference to
only one of its legs. The contract should be reported,
however, under both currencies (in columns B and C).
In the case of foreign exchange swaps that are
concluded as spot/forward transactions, report only
the forward part of the deal. If, for practical reasons,
reporting institutions find it difficult to distinguish
between positions that relate to unsettled foreign
exchange spot transactions and the spot leg of foreign
exchange swaps, estimates may be used.

2.3 Credit exposures and liabilities
(Table 6)
In Table 6, report information on credit exposures and
liabilities arising from OTC derivatives contracts
(excluding commodity contracts). For contracts that
have a positive market value, report the gross market
value of these contracts, as well as their net market
value (that is, credit exposure) after taking into
account any legally enforceable bilateral netting
agreements. For contracts that have negative market
value of these contracts, as well as the net market

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Instructions for preparing the FR 2436

Credit default swaps bought:
Report information on credit default swaps contracts
that the reporting institution has, for compensation,
purchased a payment contingent on the occurrence of
a credit event on a reference entity or asset.

3.2 Swaps (includes currency swaps and singlecurrency interest rate swaps)
Include forward starting swap contracts as swaps.
Report separately both forward parts of swaps
executed on a forward/forward basis. For swaps on a
spot/forward basis, report only the forward part of the
transaction.

Single-name instruments:
Report information on credit default swap contracts in
which a single reference entity or reference asset is
specified.

3.3 OTC options

Multi-name instruments:
Report information on credit default swap contracts in
which more than one reference entity is specified,
such as in portfolio or basket credit default swaps or
credit default swaps indices. A basket default swap is
a credit default swap where the credit event is the
default of some combination of the credits, in a
specified basket of credits. In the particular case of
an nth-to-default basket, the contingent payment is
triggered by the nth default among the basket of
reference credits.

Report swaptions (options to enter into swap
contracts), caps, floors, collars, and corridors as
options. Exclude options such as a call feature that are
embedded in loans, securities, and other on-balancesheet assets (for example, a purchase option in an
equipment lease contract) and commitments to lend
money.
Sold options:
Report information on the financial instruments or
commodities that the reporting institution has, for
compensation (such as a fee or premium), obligated
itself to either purchase or sell under OTC option
contracts (sold options) that are outstanding as of the
report date. Include sold caps, floors, swaptions, and
the sold portion of collars and corridors.

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

Bought options:
Report information on the financial instruments or
commodities that the reporting institution has, for
compensation, purchased the right to either purchase
or sell under OTC option contracts (bought options)
that are outstanding as of the report date. Include
bought caps, floors, swaptions, and the purchased
portion of collars and corridors.

See the Glossary for definitions of specific types of
derivative instruments.

3.4 Credit default swaps
Report credit default swaps. Exclude credit linked
notes, options on credit default swaps, and total return
swaps.
Credit default swaps sold:
Report information on credit default swap contracts
that the reporting institution has, for compensation
(such as a fee or premium), obligated itself to make a
payment contingent on the occurrence of a credit
event on a reference entity or asset.
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Instructions for preparing the FR 2436

4. Currency, Equity Market, and Reference
Entity Categories
4.1 Foreign Exchange and Gold and SingleCurrency Interest Rate Contracts
(Tables 1 and 2)
On Tables 1 and 2, disaggregate the total data in
column A by currency.
As far as possible, classify contracts according to
their actual currency risk. For example, even if a
JPY/GBP contract is divided for legal and/or bookkeeping purposes into a JPY/USD and a GBP/USD
contract, record its notional amount and market value
under only the JPY and GBP columns.
Break down data by each of the currencies of the
G-10 countries (of which there are eleven, but now
with only seven currencies):
USD:
JPY:
GBP:
CHF:
CAD:
SEK:
EUR:

United States dollar
Japanese yen
British pound
Swiss franc
Canadian dollar
Swedish krona
Euro 1

1 Effective February 2002 the following currencies were
replaced by the Euro: French franc, Deutsche mark, Italian
lira, Spanish peseta, Dutch guilder, Portuguese escudo,
Belgian franc, Austrian schilling, Irish punt, Luxembourg
franc, Finnish markka and Greek drachma.

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Instructions for preparing the FR 2436

for individual currencies in columns B and C will thus
be 200 percent of total amounts outstanding. In
column A (Total FX contracts) report 100 percent of
total amounts outstanding.

Additionally, data are to be broken out for any
additional currencies in which your institution has a
material amount of contracts outstanding. The
following currencies are listed for convenience:
DKK
AUD
HKD
IDR
MXP
NZD
SGD
THB

Danish krona
Australian dollar
Hong Kong dollar
Indonesian rupiah
Mexican peso
New Zealand dollar
Singapore dollar
Thai baht

For example, a reporting institution enters into a
forward contract to purchase British pound in
exchange for Japanese yen, with a notional principal
equivalent to $100 million and a gross positive market
value of $2 million. In the table requesting notional
amounts outstanding (Table 1A), for instance, the
reporting institution would report $100 million in the
GBP column and $100 million in the JPY column. In
the table requesting gross positive market value
(Table 1B), the institution would report $2 million in
both the GBP and JPY columns. In the table
requesting gross negative market value (Table 1C),
the institution would not report this contract, because
it does not have a negative market value.

Do not break out data for any non-G-10 currency
(including those listed above) unless, as of the
reporting date, your institution has a material amount
of outstanding contracts in that currency. List and
break out data for any unlisted currency for which
your institution has material amounts of contracts
outstanding. Two blank columns are provided for
unspecified currencies. Additional columns may be
inserted, if necessary.
For Tables 1 and 2, material amount means a notional
amount outstanding in a currency for a given market
risk category which is greater than or equal to 2
percent of the total notional amount outstanding in
that market risk category. This criterion should be
applied to each market risk category separately
(foreign exchange and gold and single-currency
interest rate derivatives).
For example, if more than 2 percent (in terms of total
notional amounts) of all single-currency interest rate
derivatives contracts are denominated in a certain
non-G-10 currency, then the data for that currency
should be broken out for the single-currency interest
rate category. This does not mean that data for this
currency must be broken out for foreign exchange
contracts unless the data for the currency
independently meet the 2 percent threshold as applied
to that market risk category.
Report data for foreign exchange contracts (Tables
1A to 1C) on a single-currency basis. That is, report
each contract twice under columns B and C, once for
each currency making up either the purchase or sale
side of the contract. The total of the amounts reported
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Instructions for preparing the FR 2436

commodity derivatives contracts are referenced to
Latin American stocks or stock indexes, then you may
include these contracts under the Other category and
leave the Latin America column blank.

4.2 Equity and Commodity-Linked Contracts
(Table 3)
In Table 3, disaggregate the total values in column A
by equity market. The value in each line of column A
should equal the sum of the values in each line of
column B.

For commodity derivatives, no further breakdown by
market risk factor is requested.

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

4.3 Credit default swap contracts
(Table 4)
In Tables 4B and 4C, report the notional values of
single-name credit default swaps in column A by
characteristics of the underlying reference entity or
obligation. The value in each line of column A
should equal the sum of the values in each line of
column B.

- US
- Japanese
- European (excluding emerging markets in
Eastern Europe)
- Latin American
- Other Asian
- Other

Report the rating of the underlying reference
obligation(s) for single-name instruments in column B
of Table 4B. Report the current rating, not the rating
at inception. Report the following categories:

See Annex III for a detailed description of the
countries included in each region.

- investment-grade
- below investment-grade
- not rated

Report contracts based on equity baskets that are
constructed predominantly with equities or equity
indexes from a single region under the respective
region. For example, if in your judgment the
predominant components of an equity basket are Latin
American equities, report the contract under the Latin
American column. Report under the Other column
contracts based on equity baskets whose components
are geographically diversified (that is, not
predominantly from a single region).

If no public ratings are available, but internal ratings
are available, please modify the internal ratings to
correspond to the categories above, as appropriate. If
a contract refers to a specific reference asset for
which several public ratings are available, the lower
of the two highest ratings should be used for
reporting. However, if the contract specifies a
reference entity (i.e., a corporate name or a sovereign)
and does not specify a reference credit, report the
internal credit rating used by the reporter for its own
internal risk management purposes.

Reporters may need to exercise judgment in the
compilation of regional allocations.
For Table 3, material amount means a notional
amount outstanding referenced to a given country or
region which is greater than or equal to 2 percent of
the total notional amount outstanding in the market
risk category.

In column B of Table 4C, report single-name credit
default swaps according to the sector of the reference
entity or obligor, in the following categories:
sovereigns and non-sovereigns.

Contracts referenced to countries or regions for which
your institution has an immaterial amount of contracts
(less than 2% of the total notional value of equity and
commodity contracts) may be allocated to the Other
category. For example, if less than 2% of the total
notional value of your institution’s equity and

Sovereigns are defined as only entities of a country’s
central, state or local government. They do not
include government-owned financial or non-financial
firms. Also exclude international organizations (e.g.,
the World Bank).
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Instructions for preparing the FR 2436

Non-Sovereigns are defined as all entities other than
sovereigns (as defined above).

Other is defined as a residual category that covers all
remaining financial institutions that are not listed
above, including mutual funds, hedge funds, and
special purpose entities.

5. Counterparties
5.1 Foreign Exchange, Interest-Rate, and EquityLinked Contracts
(Tables 1A to 3C, 5)
For each product category in each of the three broad
market risk classes (foreign exchange, interest-rate,
and equity-linked), report OTC contracts with
reporting dealers, other financial institutions, and
non-financial customers separately.
Reporting dealers are defined as all institutions (both
foreign and domestic) participating in the regular
derivatives reporting program. A list of reporting
dealers is provided in Annex II.
Other financial institutions are defined as all financial
institutions not participating in regular reporting,
including banks, funds, and non-bank financial
institutions which may be considered as financial endusers. Examples include, but are not limited to,
mutual funds, pension funds, hedge funds, currency
funds, money market funds, leasing companies, insurance companies, central banks, credit unions, building
societies, and securities firms). Financial subsidiaries
of industrial companies are included in this category.
Non-financial customers are defined as any other
counterparty. This category includes governments and multinational organizations (for example,
the World Bank).
5.2 Credit default swap contracts
(Tables 4A to 4D)
For credit default swap contracts, report OTC
contracts with reporting dealers, other financial
institutions, and non-financial customers separately,
as defined above.
In addition, break out other financial institutions into
banks and securities firms, insurance firms, and
other.

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Instructions for preparing the FR 2436

6. Maturities
(Tables 4A and 5)

How to Classify Derivatives with Multiple
Instrument Components

In Table 5, report notional amounts outstanding of
OTC foreign exchange, interest rate, and equity
derivatives contracts by remaining maturity:

For purposes of this report, individual foreign
exchange, interest rate, equity, and commodity
derivatives contracts are categorized into three general instrument classes: forwards, swaps, and options.
(Credit default swaps are categorized into singlename and multiple-name instruments). In practice,
however, individual derivatives contracts may consist
of more than one instrument.

- one year or less
- over one year through five years
- over five years
Remaining maturity is determined by the date of
conclusion of the deal. For transactions with two legs,
this is equivalent to the time until the far leg is
concluded, rather than the difference between the near
and far-end dates of the transaction. Report each
transaction only once.

For contracts that are combinations of instruments,
separately report each instrument component.
If your institution is not currently able to disaggregate
contracts in this way, you may report contracts in only
one instrument category. The OTC options section
bears precedence in classification. Thus, report any
derivatives contract that includes an option under the
OTC options section. All other derivative products
should be reported in either the forwards or swaps
section based upon the predominant characteristic of
the contract.

In column B of Table 4A, report the notional amounts
outstanding of credit default swap contracts by the
same three splits for remaining maturity that are
described above. For credit default swap contracts,
remaining maturity is determined by the scheduled
termination date for the contract and not by any reset
dates.
How to Classify Derivatives with Multiple Risk
Characteristics
For purposes of this report, derivatives contracts are
categorized into five market classes: foreign
exchange, single-currency interest rate, equity,
commodity, and credit. Individual derivatives
contracts may involve more than one market category.
For contracts that are combinations of exposures to
different types of market risk, separately report their
individual components.
If your institution is not currently able to disaggregate
contracts in this way, you may report contracts in only
one market risk category. In this case, categorize
products with multiple risk characteristics by the
predominant risk characteristic at the origination of
the derivative.

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Instructions for preparing the FR 2436

Glossary
General market risk category definitions
Foreign exchange contracts: All deals involving an exchange of more than one currency or with exposure to an
exchange rate. Foreign exchange contracts include cross-currency interest rate swaps (line 2), currency swaps (line
2), forward foreign exchange contracts (line 1) and currency options (lines 3 and 4). Exclude spot foreign exchange
contracts, which are defined to be single leg contracts to be settled within two business days.
Interest rate contracts: Contracts related to an interest-bearing financial instrument whose cash flows are
determined by referencing interest rates or another interest rate contracts (for example, an option on a futures
contract to purchase a Treasury bill). Single-currency interest rate contracts include single-currency interest rate
swaps (line 2), basis swaps (line 2), forward rate agreements (line 1), and interest rate options (lines 3 and 4),
including caps, floors, collars, corridors and swaptions.
Equity derivative contracts: Contracts that have a return, or a portion of their return, linked to the price of 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, or a portion of their return, linked to the price of, or to a price
index of, commodities such as precious metals, petroleum, lumber, or agricultural products.
Credit default swap contracts: Contracts in which a protection buyer pays a fixed periodic fee in return for a
contingent payment by a protection seller; the contingent payment is triggered by a credit event on a reference
entity, and, if the contract specifies physical settlement, by the delivery to the protection seller deliverable
obligations 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 of financial instruments, currencies or commodities in which
the buyer agrees to purchase and the seller agrees to deliver, at a specified future date, a specified instrument,
currency amount or commodity at a specified price or yield. Forward contracts are not traded on organized
exchanges and their contractual terms are not standardized.
Swaps: Contracts in which two parties agree to exchange payment streams based on a specified notional amount for
a specified period.
Option contracts: Convey either the right or the obligation (depending upon whether the reporting institution is the
purchaser or the writer, respectively) to buy or sell a financial instrument or commodity; the quantity, price and
settlement date are specified at the inception of the contract. OTC option contracts include all tradable option
contracts not traded on an organized exchange.

12

Instructions for preparing the FR 2436

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
the date of the contract for value or delivery (cash settlement) at more
than two business days in the future.

Foreign exchange swap: (line 1)

Transaction which involves the actual exchange of two currencies
(principal amount only) on a specific date at a rate agreed at the time of
the conclusion of the contract (the short leg), and a reverse exchange of
the same two currencies at a date further in the future at a rate (generally
different from the rate applied 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
interest payments in different currencies for an agreed period of time and
to exchange principal amounts in different currencies at a pre-agreed
exchange rate at maturity.

Cross-currency swap: (line 2)

Variation of currency swap in which at least one of the payment streams
varies with a floating interest rate. These instruments fall into the
currency swaps section.

Currency option: (lines 3 and 4)

Option contract that gives the right to buy or sell a currency with another
currency at a specified exchange rate during a specified period. This
category also includes exotic foreign exchange options such as average
rate options and barrier 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.

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 specific obligation for a set period of time, beginning at
some time in the future, is determined at contract initiation.

Interest rate swap: (line 2)

Agreement to exchange periodic payments, in a single currency, related
to interest rates; can be fixed for floating, or floating for floating based on
different indices. This group includes those swaps whose notional
principal is amortized according to a fixed schedule independent of
interest rates.

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Instructions for preparing the FR 2436

Interest rate option: (lines 3 and 4)

OTC option, provision to pay or receive a specific interest rate on a
predetermined 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
the cap rate.

Interest rate floor: (lines 3 and 4)

OTC option that pays the difference between the floor rate and a floating
interest rate.

Interest rate collar: (lines 3 and 4)

Combination of cap and floor.

Interest rate swaption: (lines 3 and 4)

OTC option to enter into an interest rate swap contract, purchasing the
right to 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 of
equities or (an equity index (for example, S&P 500). It involves the
exchange of one equity or equity index return for another, or the
exchange of an equity or equity 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
basket or 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.

Commodity derivatives (Tables 3A, 3B, and 3C)
Commodity forward: (line 1)

Forward contract to exchange a commodity or commodity index at a set
price at a future date.

Commodity swap: (line 1)

Contract with one or both payments linked to the performance of a
commodity price or a commodity index. It involves the exchange of the
return on a commodity or commodity index for another, or the exchange
of a commodity or 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, or a commodity index at an agreed price at a set date in the future.

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Instructions for preparing the FR 2436

Annex I
Instructions for

Semiannual Report of Derivatives Activity

Reporting Tables

Annex II
Instructions for

Semiannual Report of Derivatives Activity
List of Reporting Institutions
Fortis Bank
KBC
Bank of Montreal
Canadian Imperial Bank of Commerce
Royal Bank of Canada
Credit Suisse Group
UBS
Bayerische Hypo -und Vereinsbank
Bayerische Landesbank
Commerzbank
Deutsche Bank
Dresdner Bank
DZ Bank
West LB
Banque Federale des Banques Populaires
Banque Federative du Credit Mutuel
BNP-Paribus
Caisse des Depots
Caisse Nationale des Caisses D’Epargne
Credit Industriel et Commercial
Credit Lyonnais
Societe Generale
Barclays
HSBC
Nat West
RBS – Royal Bank of Scotland

The Aozora Bank, Ltd.
Bank of Tokyo-Mitsubishi
The Chuo Mitsui Trust & Banking Co., Ltd.
Resona Bank, Ltd.
Mitsubishi UFJ Trust and Banking Corporation
Mizhuo Asset Trust and Banking Co., Ltd.
Mizhuo Bank, Ltd.
Mizhuo Corporate Bank, Limited
Shinsei Bank, Ltd.
The Sumitomo Mitsui Banking Corporation
The Sumitomo Trust & Banking Co., Ltd.
ABN AMRO Holding
ING Bank NV
Rabobank
ForeningsSparbanken AB, Swedbank
Nordea Bank Sverige AB
Skandinaviska Enskilda Banken AB, SEB
Svenska Handelsbanken AB
Bank of America
Citigroup
J P Morgan Chase & Co.
Merrill Lynch & Co., Inc.
Morgan Stanley Dean Witter
The Goldman Sachs Group, L.P.
Lehman Bros.

Capitalia SPA
Banca Nazionale del Lavoro SPA
Intesabci SPA
Monte Dei Paschi di Siena Spa
San Paolo IMI SPA
Unicredito Italiano SPA

December 2006

Annex III
Instructions for

Semiannual Report of Derivatives Activity
Equity Derivative Regional Breakdown Detail
U.S.
Japan
Europe (excluding
Eastern Europe)
Excludes:
Albania
Bulgaria
Hungary
Poland
Romania
Successor
republics of:
Czechoslovakia,
the Soviet Union
and Yugoslavia
Includes:
Belgium
Cyprus
Denmark
Finland
France
Germany
Gibraltar
Greece
Iceland
Ireland
Italy
Luxembourg
Malta
Monaco
Netherlands
Norway
Portugal

Spain
Sweden
Switzerland
Turkey
United Kingdom
Vatican City
Other Europe

Latin American
(includes
Caribbean)
Argentina
Bahamas
Barbados
Belize
Bermuda
Bolivia
Brazil
British West Indies
Cayman Islands
Chile
Colombia
Costa Rica
Cuba
Dominican
Republic
Ecuador
El Salvador
Falkland Islands
Fr. W. Indies & Fr.
Guinea
Grenada
Guatemala
Guyana
Haiti
Honduras

Jamaica
Mexico
Netherlands
Antilles
Nicaragua
Panama
Peru
Suriname
Trinidad and
Tobago
Uruguay
Venezuela
Other Latin American/Caribbean

Other Asian
(excluding Japan)
Afghanistan
Bahrain
Bangladesh
Bhutan
Brunei
Burma
Cambodia
China
Mainland
Taiwan
Hong Kong
India
Indonesia
Iran
Iraq
Israel
Jordan
Korea
Kuwait

Laos
Lebanon
Macau
Malaysia
Maldives
Mongolia
Nepal
North Korea
Oman
Pakistan
Philippines
Qatar
Saudi Arabia
Singapore
Sri Lanka
Syria
Thailand
United Arab
Emirates
Vietnam
Yemen
Other Asia/Middle
East

Other
All other countries