Form FR 3036 FR 3036 Central Bank Survey of Foreign Exchange and Derivatives

Draft

Table 1
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
FOREIGN EXCHANGE AND GOLD CONTRACTS ¹
Nominal or notional principal amounts outstanding at end-June 2013
(in millions of USD)

Instruments

USD

EUR

JPY

GBP

CHF

CAD

SEK

Other ²

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

TOT

–
–
–
–

–

–

–

–

–

–

–

–

–

–

–

–

–

–

–
–
–
–

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
6
–
Gross negative market values
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
4
5
parts of the transaction should be reported separately. Including currency warrants and multicurrency swaptions. Any instrument
where the transaction is highly leveraged and/or the notional amount is variable and where a decomposition into individual plain vanilla
6
components is impractical or impossible. Gross market values of total FX contracts.

Draft

Table 2
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
SINGLE-CURRENCY INTEREST RATE DERIVATIVES ¹
Nominal or notional principal amounts outstanding at end-June 2013
(in millions of USD)
Instruments
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:

USD

–

–

–

EUR

–

–

–

JPY

–

–

–

GBP

–

–

–

CHF

–

–

–

CAD

SEK

–

–

–

Other ²

TOT

–

–
–
–
–

–

–
–
–
–

–

–
–
–
–

–
–

–
–

–
–

–
–

–
–

–
–

–
–

–
–
–
–
–

–

–

–

–

–

–

–

–

4
–
Gross positive market values
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 individual plain
vanilla components is impractical or impossible. 4 Gross market values of total interest rate contracts.

Draft

Table 3
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
EQUITY, COMMODITY, CREDIT AND "OTHER" DERIVATIVES ¹
Nominal or notional principal amounts outstanding at end-June 2013
(in millions of USD)
Equity-linked derivatives

Instruments
US
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
TOTAL
TOTAL OTC OPTIONS
TOTAL CONTRACTS
Memorandum items:
Gross positive market values
Gross negative market values
1

–

–

–
–
–

Japanese

–

–

–
–
–

European ²

–

–

–
–
–

Latin
American

–

–

–
–
–

Other Asian
³

–

–

–
–
–

Other

4

Total

Precious
metals
(other than
gold)

Other
Credit
Other
5
commodities derivatives derivatives6

–

–
–
–
–

–

–

–

–
–
–
–

–

–

–
–
–

–
–
–
–
–
–

–
–
–

–
–
–

–
–

–
–

–
–

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 Africa, Australia, New Zealand and all other
countries/regions not listed in the table. 5 Include CDS. 6 Any instrument which does not involve an exposure to foreign exchange, interest rate, equity, commodity or credit risk.

Draft

Table 4
Central Bank Survey of Foreign Exchange and Derivatives Market Activity
NOTIONAL AMOUNTS OUTSTANDING OF OTC DERIVATIVES CONTRACTS
by remaining maturity at end-June 2013
(in millions of USD)
Forwards and swaps
Risk Category

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

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

–

–

–

–

–

–

Over five
years

–

–

–

OTC options sold
OTC options bought
Over one
Over one
One year or year and
Over five One year or year and
Over five
less
less
up to five
years
up to five
years
years
years

–

–

–

–

–

–

–

–

–

–

–

–

–

–

–

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

Over five
years

–

–
–
–
–

–
–
–
–

–
–
–
–

–

–
–
–
–

–
–
–
–

–
–
–
–

–

–
–
–
–

–
–
–
–

–
–
–
–

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 2013
(in millions of USD)
Total

Instruments
SINGLE-NAME INSTRUMENTS
with reporting dealers
with other financial institutions
1

CCPs
Banks and securities firms
Insurance firms2 (including pension funds)
SPVs, SPCs or SPEs
Hedge funds
Other
with non-financial customers
TOTAL
MULTI-NAME INSTRUMENTS
with reporting dealers
with other financial institutions
CCPs1
Banks and securities firms
Insurance firms2 (including pension funds)
SPVs, SPCs or SPEs
Hedge funds
Other
with non-financial customers
TOTAL

Gross Fair Values

Amounts Outstanding
Sovereigns

Bought

Sold

–
–
–
–
–
–
–
–
–
–

–
–
–
–
–
–
–
–
–
–

–
–
–
–
–
–
–
–
–
–

–
–
–
–
–
–
–
–
–
–

Non-sovereigns

Bought

Sold

Bought

Sold

–

–

–

–

–

–

–

–

Gross Positive Fair
Values

Gross Negative Fair
Values

–

–

–

–

TOTAL CDS
–
–
–
–
Central Counterparty (CCP) defined as an entity that interposes itself between counterparties to contracts traded in one or more financial markets, becoming the buyer to every seller and the seller to every buyer.

1

2