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pdfDRAFT June 2013
Table 1A: Foreign Exchange and Gold Contracts (Notional Amounts Outstanding)
(A)
(D)
of which, contracts involving the following currencies (report both sides):
(B)
(C)
Additional currencies in which the reporter has a material amount of contracts
outstanding
Total FX
contracts
USD
OTC Contracts
1. Forwards & 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
DRAFT June 2013
Table 1B: Foreign Exchange and Gold Contracts (Gross Positive Fair Values)
(A)
(D)
of which, contracts involving the following currencies (report both sides):
(B)
(C)
Additional currencies in which the reporter has a material amount of contracts
outstanding
Total FX
contracts
USD
OTC Contracts
1. Forwards & 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
DRAFT June 2013
Table 1C: Foreign Exchange and Gold Contracts (Gross Negative Fair Values)
(A)
(D)
of which, contracts involving the following currencies (report both sides):
(B)
(C)
Additional currencies in which the reporter has a material amount of contracts
outstanding
Total FX
contracts
USD
OTC Contracts
1. Forwards & 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
DRAFT June 2013
Table 2A: Single-Currency Interest Rate Contracts (Notional Amounts Outstanding)
(A)
of which, contracts involving interest rates of the following currencies:
(B)
(C)
Additional currencies in which the reporter has a material amount of contracts
outstanding
Total FX
contracts
USD
OTC Contracts
1. Forwards & 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
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXP
NZD
SGD
THB
DRAFT June 2013
Table 2B: Single-Currency Interest Rate Contracts (Gross Positive Fair Values)
(A)
of which, contracts involving interest rates of the following currencies:
(B)
(C)
Additional currencies in which the reporter has a material amount of contracts
outstanding
Total FX
contracts
USD
OTC Contracts
1. Forwards & 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
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXP
NZD
SGD
THB
DRAFT June 2013
Table 2C: Single-Currency Interest Rate Contracts (Gross Negative Fair Values)
(A)
of which, contracts involving interest rates of the following currencies:
(B)
(C)
Additional currencies in which the reporter has a material amount of contracts
outstanding
Total FX
contracts
USD
OTC Contracts
1. Forwards & 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
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXP
NZD
SGD
THB
DRAFT June 2013
Table 3A: Equity and Commodity-Linked Contracts (Notional Amounts Outstanding)
Total
(B)
equityof which, contracts involving equity markets in the following
linked
Europe
contracts
(excluding
Other
(A)
Eastern
Asian
Latin
US
Japan
Europe) America countries
Other
OTC Contracts
1. Forwards and Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
3. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers
Precious
Other
Metals
Commodit
(other
ies
than gold)
(C)
(D)
DRAFT June 2013
Table 3B: Equity and Commodity-Linked Contracts (Gross Positive Fair Values)
Total
Precious
(B)
Other
equity- of which, contracts involving equity markets in the following countries or Metals
Commodit
linked
(other
ies
contracts
than gold)
Europe
Other
(A)
(C)
(D)
(excluding
Asian
Latin
US
Japan Eastern Europe) America countries
Other
OTC Contracts
1. Forwards and Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
3. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers
DRAFT June 2013
Table 3C: Equity and Commodity Linked Contracts (Gross Negative Fair Values)
Total
(B)
equityof which, contracts involving equity markets in the following
linked
Europe
contracts
(excluding
Other
(A)
Eastern
Asian
Latin
US
Japan
Europe) America countries
Other
OTC Contracts
1. Forwards and Swaps
with reporting dealers
with other financial institutions
with non-financial customers
2. Bought Options
with reporting dealers
with other financial institutions
with non-financial customers
3. Sold Options
with reporting dealers
with other financial institutions
with non-financial customers
Precious
Other
Metals
Commodit
(other
ies
than gold)
(C)
(D)
DRAFT June 2013
Table 4A: Credit Default Swaps by Remaining Maturity (Notional Amounts Outstanding)
(A)
(B)
of which, contracts with remaining maturity of:
Instruments
All Contracts
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Single-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Multi-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Total
Bought
Sold
One year or less
Bought
Sold
Over one year, up to
five years
Bought
Sold
Over five years
Bought
Sold
DRAFT June 2013
Table 4B: Credit Default Swaps by Rating Category (Notional Amounts Outstanding)
(A)
(B)
of which, contracts involving reference entities with a rating of:
Instruments
All Contracts
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Single-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Multi-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Total
Bought
Sold
AAA or AA
Bought
Sold
A or BBB
Bought
Sold
BB and below
Bought
Sold
Not Rated
Bought
Sold
DRAFT June 2013
Table 4C: Credit Default Swaps by Sector of Reference Entity (Notional Amounts Outstanding)
(A)
(B)
of which, contracts involving reference entities that are:
Instruments
All Contracts
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Single-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Multi-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Total
Bought
Sold
Sovereigns
Bought
Sold
Financial Firms
Bought
Sold
Non-Financial Firms
Bought
Sold
Asset-Backed
Securities
Bought
Sold
Multiple Sectors
Bought
Sold
DRAFT June 2013
Table 4D: Multi-Name Credit Default Swaps, of which Contracts that are Index Products (Notional Amounts Outstanding)
(A)
(B)
Total
Instruments
Multi-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Bought
Sold
of which, contracts that
are index products:
Bought
Sold
DRAFT June 2013
TABLE 4E: Credit Default Swaps by Location of Counterparty (Notional Amounts Outstanding)
Aggregated Data
(A)
(B)
(C)
of which, contracts involving counterparties that
are:
Total
Report as of date:
mm/dd/yyyy
Instruments
All Contracts
With all counterparties in:
United States
Japan
Western Europe1
Latin America
Other Asian countries (ex. Japan)
All other countries
With reporting dealers in home region
1
With reporting dealers
Bought
Sold
Bought
Sold
With non-reporters
Bought
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Western Europe consists of Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the
Netherlands, Portgual, Spain, Sweden, Switzerland, and the United Kingdom.
Sold
DRAFT June 2013
Table 4F: Credit Default Swaps (Gross Positive and Gross Negative Fair Values)
Instruments
All Contracts
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Single-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Multi-name instruments
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
Gross Positive Fair
Values
Gross Negative Fair
Values
DRAFT June 2013
Table 4G: Counterparty Credit Exposure from Credit Default Swaps (Net Positive and Net Negative Fair Values*)
Instruments
All Contracts
with reporting dealers
with central counterparties
with non-reporting financial institutions, of which:
banks and securities firms
insurance firms
special purpose vehicles (SPVs)
hedge funds
other
with non-financial
*CDS Contracts should be netted in accordance with FIN 39.
Claims
Liabilities
DRAFT June 2013
Table 4H: Synthetic Collateralized Debt Obligations (Notional Amounts Outstanding)
Instruments
All Synthetic CDOs
Bought
Sold
DRAFT June 2013
Table 5: Notional Amount of OTC Derivative Contracts by Remaining Maturity
FORWARDS & SWAPS
BOUGHT OPTIONS
SOLD OPTIONS
1 yr. or less 1 thru 5 yrs Over 5 yrs
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
1 yr. or
less
1 thru 5
yrs
Over 5 yrs
1 yr. or
less
1 thru 5
yrs
TOTAL
Over 5 yrs 1 yr. or less 1 thru 5 yrs Over 5 yrs
DRAFT Jun 2013
Table 6: Credit Exposures and Liabilities Arising From OTC Derivatives Contracts
Credit Exposures
Liabilities
Gross positive/negative fair value
of which with reporting dealers
Market value after netting agreements
of which with reporting dealers
| File Type | application/pdf |
| File Modified | 2013-01-29 |
| File Created | 2013-01-29 |