Form FR 3036 FR 3036 Derivatives Outstanding Survey

DRAFT
FR 3036
OMB No. 7100-0285
Hours per response: 60.0
Approval expires TBD

Report Forms for the

Central Bank Survey of Foreign
Exchange and Derivatives Market
Activity

Derivatives Outstanding Survey
End-June 2010

FR 3036
OMB No. 7100-0285

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 60 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, (7100-0285),
Washington, DC 20503.

DRAFT

Table 1
Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

0
0
0
0
0

FOREIGN EXCHANGE AND GOLD CONTRACTS ¹
Nominal or notional principal amounts outstanding at end-June 2010
(in millions of USD)
USD

Instruments

EUR

JPY

GBP

CHF

SEK

Other ²

TOT

OUTRIGHT FORWARDS AND
FOREIGN EXCHANGE SWAPS ³
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
–––––

TOTAL

–

–

–

TOTAL INCLUDING GOLD
CURRENCY SWAPS
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
–––––

TOTAL

–

–

–

OTC OPTIONS 4
Sold
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
–––––

TOTAL

–

–

–

TOTAL INCLUDING GOLD
Bought
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
TOTAL

–––––

–

–

–

–––––

–

–

–

–––––

–

–

–

TOTAL INCLUDING GOLD
TOTAL OTC OPTIONS
Other products 5
TOTAL FX CONTRACTS

–

TOTAL FX CONTRACTS INCLUDING GOLD
Memorandum items:
Gross positive market values 6

–

Gross negative market values 6
¹ All instruments involving exposure to more than one currency, whether in interest rates or exchange rates. ² Additional currencies in which the reporter
has a material amount of contracts outstanding. ³ If swaps are executed on a forward/forward basis, the two forward parts of the transaction should be reported separately.
4

Including currency warrants and multicurrency swaptions.

5

Any instrument where the transaction is highly leveraged and/or the notional amount is variable

and where a decomposition into individual plain vanilla components is impractical or impossible.

6

Gross market values of total FX contracts.

–

DRAFT

Table 2

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

0
0
0
0

SINGLE-CURRENCY INTEREST RATE DERIVATIVES ¹
Nominal or notional principal amounts outstanding at end-June 2010
(in millions of USD)
USD

Instruments

EUR

JPY

GBP

CHF

SEK

Other ²

TOT

FORWARD RATE
AGREEMENTS
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
––

TOTAL

––––

–

–

SWAPS
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
––

TOTAL

––––

–

–

OTC OPTIONS
Sold
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
––

TOTAL

––––

–

–

Bought
with reporting dealers

–

with other financial institutions

–
–

with non-financial customers
TOTAL

––

––––

–

–

TOTAL OTC OPTIONS

––

––––

–

–

––

––––

–

–

Other products ³
TOTAL INTEREST RATE CONTRACTS
Memorandum items:
Gross positive market values

4

–

4

–

Gross negative market values
¹ All instruments where all the legs are exposed to one and only one currency's interest rate, including all fixed/floating and floating/floating
single-currency interest rate contracts. ² Additional currencies in which the reporter has a material amount of contracts outstanding.
³ Any instrument where the transaction is highly leveraged and/or the notional amount is variable and where a decomposition into
4

individual plain vanilla components is impractical or impossible. Gross market values of total interest rate contracts.

DRAFT
Table 3

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

0
0
0
0

EQUITY, COMMODITY, CREDIT AND "OTHER" DERIVATIVES ¹
Nominal or notional principal amounts outstanding at end-June 2010
(in millions of USD)
Equity-linked derivatives

Instruments

Other
Asian ³

Precious
metals
Other
(other than commogold)
dities

Credit
derivatives

US

Japanese

European ²

Latin
American

–

–

–

–

–––

––

–

–

–

–

–––

––

TOTAL

–

–

–

–

–––

––

TOTAL OTC OPTIONS

–

–

–

–

–––

––

TOTAL CONTRACTS

–

–

–

–

–––

Other

Total

FORWARDS AND SWAPS
with reporting dealers
with other financial institutions
with non-financial customers
TOTAL
OTC OPTIONS
Sold
with reporting dealers
with other financial institutions
with non-financial customers
TOTAL
Bought
with reporting dealers
with other financial institutions
with non-financial customers

Memorandum items:
Gross positive market values
Gross negative market values
¹ Any instrument whose price is assumed to be mainly determined by the price of an equity or a stock index, a commodity or the creditworthiness of a
particular reference credit. ² Excluding Albania, Bulgaria, Hungary, Poland, Romania and the successor republics of the former Czechoslovakia, Soviet Union
and Yugoslavia. ³ All countries in Asia other than Japan. 4 Any instrument which does not involve an exposure to foreign exchange, interest rate, equity,
commodity or credit risk.

––

––

Other
derivatives 4

DRAFT
Table 4

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity

0
0
0
0

NOTIONAL AMOUNTS OUTSTANDING OF
OTC DERIVATIVES CONTRACTS
by remaining maturity at end-June 2010
(in millions of USD)
Forwards and swaps

OTC options sold

OTC options bought

Total

Risk category
Over one year
One year or
Over five
and up to five
less
years
years

Over one
Over one
Over one
One year year and Over five One year year and Over five One year or
Over five
year and up
or less up to five
years
or less up to five
years
less
years
to five years
years
years

FOREIGN EXCHANGE
AND GOLD CONTRACTS
FOREIGN EXCHANGE
CONTRACTS
with reporting dealers

––

–

with other financial institutions

––

–

with non-financial customers

––

TOTAL

–

–

–

–

––

–

––

–

–
–

–

INTEREST RATE
CONTRACTS
with reporting dealers

––

–

with other financial institutions

––

–

with non-financial customers

––

TOTAL

–

–

–

–

––

–

––

–

–
–

–

EQUITY
CONTRACTS
with reporting dealers

––

–

with other financial institutions

––

–

with non-financial customers

––

TOTAL

–

–

–

–

––

–

––

–

–
–

–

DRAFT
Table 5

Central Bank Survey of Foreign Exchange and
Derivatives Market Activity
CREDIT DEFAULT SWAPS
Nominal or notional principal amounts outstanding and gross-market values at end-June 2010
(in millions of USD)
Amounts Outstanding
Gross market values

SINGLE-NAME INSTRUMENTSInstruments
with reporting dealers
with central counterparties

Total
Bought

with other financial institutions

––

with non-financial customers

––

TOTAL

––

Sovereigns
Sold

Non-sovereigns

Bought

Sold

Bought

Sold

–

–

–

–

Gross positive
market values

Gross negative
market values

–

–

MULTI-NAME INSTRUMENTS
with reporting dealers
with central counterparties
with other financial institutions
with non-financial customers
TOTAL

––

TOTAL CDS

––