Semiannual Report of Derivatives Activity

DRAFT
June 2016 2013

Board of Governors of the Federal Reserve System

Instructions for

Semiannual Report of Derivatives Activity
FR 2436
June 30, 2016 2013

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 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.

DRAFT
June 2016 2013

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
1
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

3
3
3
3
3

2. Measures of Positions
2.1 Notional amounts outstanding
2.2 Gross fair 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

7
7
8
8

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

9
9
9

6. Maturities

10

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

10
10

Glossary

11

Annex I: Reporting Forms

DRAFT
June 2016 2013

Annex II: List of Reporting Institutions
Annex III: Equity Derivative Regional Breakdown Detail
Annex IIIV: Credit Default Swap Counterparty Regional Breakdown Detail
Annex V: List of Central Counterparties

June 2016 2013

DRAFT
requested in Tables 3A to 3C. Annex IIIV
provides lists of countries included for each region
of credit default swap counterparty for which a
breakdown is requested in Table 4E. Annex V
provides a list of central counterparties to credit
default swaps for use in reporting Tables 4A to 4D,
4F, and 4G.
Reporting Content:

General Comments and Instructions
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.

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), OffBalance-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 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.
Exclude spot
settlements.

transactions

with

regular way

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
1

Instructions for preparing the FR 2436

June 2016 2013
Currency
of
Conversion:

DRAFT
Reporting

and

Currency

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.
Submit the completed report within 75 calendar
days of the reporting date to the Federal Reserve
Bank of New York electronically. Reporters should
contact Federal Reserve Bank of New York staff or
go
to
www.frbservices.org/centralbank/reportingcentral/i
ndex.html for procedures for electronic submission.

2

Instructions for preparing the FR 2436

June 2016 2013

DRAFT
dollar side of the contract under the dollar column
in column B.
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 Tables 1 to 3 and pages A to H within Table
4 separate the data by various measures of
positions; within each page, the rows disaggregate
the data by counterparty and, in most cases, by
instrument. In Tables 1 to 3 and pages B to H
within Table 4, the columns disaggregate by
details of
the
underlying
risk--currency,
country, credit rating, sector, or product type.
Tables 4A-4E and Table 4H also disaggregate
the data in pairs of columns indicating
whether credit protection is bought or sold.
Tables 4A and 5 categorize the data by maturity.
Tables 4G and 6 ask for data on credit exposures
and liabilities arising from OTC derivatives
contracts.
m-dash, not hyphen
1. Market Risk

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, cross-currency swaps) or having exposure
to an exchange rate, and report these as foreign
exchange contracts in Table 1.
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.
1.3 Equity and commodity-linked contracts
(Tables 3A, 3B, and 3C)

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

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.

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

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 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).

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.

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
gold-mining 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

1.4 Credit default swap contracts
(Tables 4A, 4B, 4C, 4D, 4E, 4F, 4G, and
4H)
Report credit default swap contracts in Tables 4A to
4H. Include credit default swaps in both the trading
and the banking book. Report all credit default
swap instruments in Tables 4A, 4B, 4C, 4E, 4F, 4G,
3

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
and 4H. In Table 4D report only multi-name
instruments.

2.1 Notional amounts outstanding
(Tables 1A, 2A, 3A, 4A, 4B, 4C, 4D,
4E, and 4H, and 5)

In Tables 4A to 4D, report the total notional amount
of credit default swap contracts in column A; for the
same instruments, these amounts should be the
same across all four 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 4D breakdowns of the
amounts in column A by the characteristics of the
reference entities or assets. Report in column A of
Table 4E a breakdown of the amounts in the first
row (“All Contracts”) by region of the counterparty.
In addition, report in columns B and C of Table 4E
breakdowns of the amounts in column A by
counterparty type.
1.5 Synthetic Tranched
Instruments (Table 4H)

Structured

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.

Finance

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.

Report outstanding synthetic tranched structured
finance instruments bought and sold in Table 4H.
Synthetic tranched structured finance products
(such as synthetic collateralized debt obligations of
CDOs) use credit derivatives and a reference pool
of assets (such as whole loans, securitized assets,
and bonds) to create a tradable capital market debt
instrument. A synthetic instrument means that the
investors do not have a claim against a reference
pool of assets; rather, the originating bank merely
transfers the inherent credit risk of the reference
pool of assets by such means as a credit default
swap, a total return swap, or another arrangement in
which the counterparty agrees upon specific
contractual covenants to cover a predetermined
amount of losses in the loan pool.

Forward contracts: Do not report the par value of
financial instruments intended to be delivered under
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.)

4

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
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.

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 fair 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).
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.

2.2 Gross fair values
(Tables 1B, 1C, 2B, 2C, 3B, 3C, and 4F)

2.3 Credit exposures and liabilities from credit
default swap contracts
(Table 4G)

Report as fair 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 fair 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 fair
value).

Report in Table 4G the reporter’s credit exposure
and liability to counterparties that arise from only
credit default swap contracts. Report in the net
positive fair values (claims) column the sum of all
credit default swap contracts with a positive fair
value, where netting of credit default swap contracts
with a negative fair value is permitted if the
contracts are with the same counterparty and the
reporter has a legally enforceable right of setoff.
(If, for a given counterparty with which the reporter
has a legally enforceable right of setoff, the absolute
value of credit default swap contracts with a
negative fair value exceeds the value of credit
default swap contracts with a positive fair value, do
not add the net for that counterparty to this column;
the net should be added to the net negative fair
values (liabilities) column.) Similarly, report in the
net negative fair values (liabilities) the sum of all
credit default swap contracts with a negative fair
value, where netting of credit default swap contracts
with a positive fair value is permitted if the
contracts are with the same counterparty and the
reporter has a legally enforceable right of setoff. (If,
for a given counterparty with which the reporter has
a legally enforceable right of setoff, the value of
credit default swap contracts with a positive fair
value exceeds the absolute value of credit default

Determine the fair value of derivatives contracts in
the same manner that is used to determine the fair
value of these contracts for other financial reporting
purposes. For example, for interest rate swaps, fair
value may include accrued net settlement amounts
that have not been paid or received. Otherwise, do
not combine, aggregate, or net the reported fair
value with the market or book value of any other
derivative or asset or liability.
Gross fair value is defined as the gross marked-tofair value of all open contracts before counterparty
or any other netting. Thus, the gross positive fair
value of a firm's outstanding contracts is the sum of
the fair values of all contracts that are in a current
5

Instructions for preparing the FR 2436

with all counterparties and, separately, with reporting
DRAFT
dealers and with central counterparties as defined in

June 2016 2013
swap contracts with a negative fair value, do not
add a net for that counterparty to the column; the
net should be added to the net positive fair values
(claims) column.)

Section 5.

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.
3.2 Swaps (includes currency swaps and singlecurrency interest rate swaps)

2.4 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 fair
value, report the gross fair value of these contracts,
as well as their net fair value (that is, credit
exposure) after taking into account any legally
enforceable bilateral netting agreements. For
contracts that have negative fair value, report the
gross fair value of these contracts, as well as the
net fair 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.

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.
3.3 OTC options
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 onbalance-sheet assets (for example, a purchase option
in an equipment lease contract) and commitments to
lend money.

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.

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.

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.

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
6

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
(bought options) that are outstanding as of the
report date. Include bought caps, floors, swaptions,
and the purchased portion of collars and corridors.

Report in Table 4D information about those multiname credit default swap contracts that are
standardized CDS contracts with constituent
reference credits and a fixed coupon that are
determined by an administrator such as CDSIndex
Company (which administers the CDX indexes) or
International Index Company (which administers
the iTraxx indexes).
Index products include
tranches of credit default swap indexes. Index
products include, at a minimum, any multi-name
credit default swap contract that is listed in Table
7 (“All Indexes and Index Tranches”) of
DTCC Deriv/SERV’s trade information warehouse
data.

3.4 Credit default swaps
Report credit default swaps only. 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.
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.

Add a space between
"CDS" and "Index".

Single-name instruments:
Report information on credit default swap contracts
in which a single reference entity or reference asset
is specified.
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.
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.
Multi-name instruments, of which index products:
7

Instructions for preparing the FR 2436

June 2016 2013
3.5 Synthetic Asset-Backed Securities

DRAFT
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:

Report synthetic asset-backed securities bought and
sold. Synthetic asset-backed securities are defined
as investment instruments for which investors do
not have a claim against a reference pool of assets;
rather, the originator merely transfers the inherent
credit risk of the reference pool of assets by such
means as a credit default swap, a total return swap,
or another arrangement in which the counterparty
agrees upon specific contractual covenants to cover
a predetermined amount of losses in a specified
underlying loan pool.

DKK
AUD
HKD
IDR
MXP
NZD
SGD
THB

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

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.

4. Currency, Equity Market, Reference Credit,
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.

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).

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
fair value under only the JPY and GBP columns.

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 singlecurrency 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.

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:

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

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

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

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.

8

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
for each currency making up either the purchase or
sale side of the contract. The total of the amounts
reported 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.

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).

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 fair
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 fair
value (Table 1B), the institution would report $2
million in both the GBP and JPY columns. In the
table requesting gross negative fair value (Table
1C), the institution would not report this contract,
because it does not have a negative fair value.

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.
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 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)

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

In Tables 4B and 4C, report the notional values of
all, single-name, and multi-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.
Report the rating of the underlying reference
obligation(s) for all, single-name, and multi-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.
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

- high investment grade (AAA or AA)
- low investment grade (A or BBB)
9

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
- multiple investment grade ratings
- below investment grade (BB and below)
- not rated
- multiple ratings, including below investment
grade or unrated

-

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.

sovereigns
financial firms
non-financial firms
asset-backed securities
multiple sectors

Sovereigns are defined as only entities of a
country’s central, state or local government. They
do not include government-owned financial or nonfinancial firms.
Also exclude international
organizations (e.g., the World Bank).
Financial firms are defined as all financial
institutions, including banks, securities firms,
insurance firms, hedge funds, and pension funds.
I.e., financial firms are any firm with a North
American Industry Classification System two-digit
code of 52 except asset-backed securities, including
mortgage-backed securities (defined below).

For multi-name credit default swaps, report the
ratings according to the ratings of the underlying
basket reference credits, using the lower of the two
highest public ratings or internal ratings, as
specified above. If a rating for the basket is not
available and if all the underlying reference credits
of a given multi-name credit default swap fall into
only one of the following four categories—high
investment grade, low investment grade, below
investment grade, or not rated—then report the
notional amount of that credit default swap under
the corresponding category. For those multi-name
credit default swaps with reference credits that do
not fit into one of those four categories, then
allocate the notional amounts across the four
categories according to the share of reference
credits with ratings in each of the four categories,
provided that reporting this way is not overly
burdensome. If some of the underlying reference
credits of a multi-name credit default swap are
investment grade, but others are below investment
grade or not rated, then report those credit default
swaps under not rated.

Non-financial firms are defined as all firms that are
not sovereigns, financial firms, or asset-backed
securities.
Asset-backed securities are defined as any security
that meets the definition of mortgage-backed
securities, (other) asset-backed securities, and
structured products, as defined in the instructions
for lines 4 and 5 of Schedule HC-B of the most
recent FR Y-9C report.
For multi-name credit default swaps, if all the
underlying reference entities of a given multi-name
credit default swap fall into only one of the
following four categories—sovereigns, financial
firms, non-financial firms, or asset-backed
securities—then report the notional amount of that
credit default swap under the corresponding
category. For those multi-name credit default
swaps with reference entities that do not fit into one
of those four categories, then, if possible, allocate
the notional amounts according across the four
categories according to the share of reference
credits with reference entities in each of the four
categories, provided that reporting this way is not
overly burdensome. If doing so proves overly
burdensome, then report multi-name credit default
swaps under multiple sectors.

In column B of Table 4C, report all, single-name,
and multi-name credit default swaps according the
sector of the reference entity—i.e., the issuer of the
underlying reference credit. Report the following
categories:

10

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
In Table 4D, report the notional values of multiname credit default swaps in column A. In column
B, report the notional values of index products (as
defined in Section 3.4), which are a subset of multiname contracts. The values in each line of column
B should not exceed the values in each line of
column A.

Nonfinancial 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 4G)

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

For credit default swap contracts, report,
separately, OTC contracts
with
reporting
dealers,
central counterparties,
other
financial
institutions
excluding central
counterparties, and nonfinancial customers
separately,
with
reporting
dealers
and
nonfinancial customers, as defined in Section 5.1.
above. Central counterparties are defined as
entities that are set up to clear standardized credit
default swap contracts.
A list of central
counterparties
listed
in
Annex
V.
Other financial institutions excluding central
counterparties are defined as other financial
institutions, above, but excluding central
counterparties listed in Annex V.

In Table 4D, report the notional values of multiname credit default swaps in column A. In column
B, report the notional values of index products (as
defined in Section 3.4), which are a subset of multiname contracts. The values in each line of column
B should not exceed the values in each line of
column A.
5. Counterparties
5.1 Foreign Exchange, Interest-Rate, and EquityLinked Contracts
(Tables 1A to 3C, 5)

In addition, break out other financial institutions
excluding central counterparties into banks and
securities firms, insurance firms, special purpose
entities, hedge funds, and miscellaneous. other.

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, central counterparties, other
financial institutions, and non-financial customers
separately.

A special purpose entity is defined as a trust or
other legal vehicle that is a distinct legal entity and
that has permissible activities that are significantly
limited and are entirely specified in the legal
documents establishing the special purpose entity.

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.
INSERT A HERE
Other financial institutions are defined as all
financial institutions other than not participating
in
regular
reporting dealers and central
counterparties, including banks, funds, and
non-bank financial institutions which may be
considered as financial end-users. 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.

Hedge funds are defined using the same definition
as in Schedule HC-L of the latest FR Y-9C report. 2
Other Miscellaneous is defined as a residual
category that covers all remaining financial
institutions that are not listed above, such as
mutual funds and pension funds.
INSERT B HERE
2 The June 2009 March 2015 FR Y-9C defines hedge funds
as: generally privately-owned investment funds with a limited
range of investors. Hedge funds are not required to register
with the SEC, which provides them with an exemption in
many jurisdictions from regulations governing short selling,
derivative contracts, leverage, fee structures, and the liquidity
of investments in the fund.

11
delete close paren.

Instructions for preparing the FR 2436

June 2016 2013

DRAFT

In Table 4E, report in column A the notional values
of all outstanding credit default swap contracts
bought and sold with counterparties by the region
of the counterparties. Regions are listed in Annex
IIIV. In columns B and C of Table 4E, split the
notional amounts of contracts outstanding in each
region into either contracts with counterparties
that are reporting dealers or contracts with
financial institutions that are not defined as
reporting dealers (“nonreporters”).
(see the
definition of reporting dealers in Section 5.1,
above, and the list of reporting dealers in
Annex II).
6. Maturities

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.
How to Classify Derivatives with Multiple
Instrument Components
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
single-name and multiple-name instruments). In
practice, however, individual derivatives contracts
may consist of more than one instrument.

(Tables 4A and 5)
In Table 5, report notional amounts outstanding of
OTC foreign exchange, interest rate, and equity
derivatives contracts by remaining maturity:
- one year or less
- over one year through five years
- over five years

For contracts that are combinations of instruments,
separately report each instrument component.

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.

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.
12

Instructions for preparing the FR 2436

June 2016 2013

DRAFT

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.

13

Instructions for preparing the FR 2436

DRAFT

June 2016 2013
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 preagreed 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.

14

Instructions for preparing the FR 2436

June 2016 2013

DRAFT

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.
delete open paren.
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 option: (lines 3 and 4)

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.
15

Instructions for preparing the FR 2436

DRAFT
June 2013

Annex I
Instructions for

Semiannual Report of Derivatives Activity

Reporting Tables

June 2016 2013

DRAFT

Annex II
Instructions for

Semiannual Report of Derivatives Activity
List of Reporting Institutions
Australia and New Zealand Banking Group Ltd.
Commonwealth Bank of Australia
Macquarie Bank Limited
National Australia Bank
Suncorp Metway Limited
Westpac Banking Corporation
Fortis Bank
KBC
Bank of Montreal
Canadian Imperial Bank of Commerce
Royal Bank of Canada
TD Bank
Bank of Nova Scotia
Credit Suisse Group
UBS
Bayerische Landesbank
Commerzbank
Deutsche Bank
DZ Bank
Landesbank Baden-Wurttemberg
West LB
Banco Bilbao Vizcaya Argentaria, S.A.
Banco Financiero y de Ahorros Bankia, S.A.
Banco Santander, S.A.
Caixabank, S.A. D’Estalvis I pensions de Barcelona
Banque Federative du Credit Mutuel
BNP-Paribas
BPCE Banque Populaire Caisse d’Epargne
Caisse des Depots
Credit Agricole SA
Credit Industriel et Commercial
Dexia Credit Local
Societe de Financement Local
Societe Generale
Barclays
HSBC
Nat West
RBS – Royal Bank of Scotland

Nat West
RBS – Royal Bank of Scotland
Banco Popolare Societa Cooperativa
Intesa Sanpaolo SPA
Mediobanca SPA
Monte Dei Paschi di Siena Spa
UBI Banca SCPA
Unicredit SPA
Aozora Bank, Ltd.
Bank of Tokyo-Mitsubishi UFJ
Daiwa Securities Co. Ltd.
Japan Post Bank Co., Ltd.
Mitsubishi UFJ Securities Holdings Co., Ltd.
Mitsubishi UFJ Trust and Banking Corporation
Mizuho Bank, Ltd.
Mizuho Corporate Bank, Limited
Mizuho Securities Co., Ltd.
Mizuho Trust and Banking Co., Ltd.
Nomura Holdings, Inc.
Norinchukin Bank
Resona Bank, Ltd.
Shinkin Central Bank
Shinsei Bank, Ltd.
Sumitomo Mitsui Banking Corporation
Sumitomo Mitsui Trust Bank, Limited & Banking Co., Ltd.
ABN AMRO Holding
ING Bank NV
Rabobank
Nordea AB
Skandinaviska Enskilda Banken AB, SEB
Svenska Handelsbanken AB
Swedbank AB
Bank of America
Bank of New York Mellon Corporation
Citigroup
J P Morgan Chase & Co.
Morgan Stanley
State Street Corporation
The Goldman Sachs Group, Inc.
Wells Fargo & Company

June 2013

Delete horizontal line.

June 2016 2013

DRAFT

Annex III
Instructions for

Semiannual Report of Derivatives Activity
Equity Derivative Regional Breakdown Detail
United States
Japan
Europe
(excluding
Eastern Europe)
Excludes:
Albania
Bulgaria
Hungary
Poland
Romania
Successor
republics of:
Czechoslovakia,
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

June 2016 2013

DRAFT

Annex IIIV
Instructions for

Semiannual Report of Derivatives Activity
Credit Default
Swap Counterparty
Regional
Breakdown Detail3
U.S. United States

Japan
Western Europe
Austria
Belgium
Denmark
Finland
France
Germany
Greece
Ireland
Italy
Luxembourg
Netherlands
Portugal
Spain
Sweden
Switzerland
United Kingdom
Latin American (includes
Caribbean)
Argentina
Bahamas
Barbados
Belize
3 The regions in Annex IIIV
differ from those in Annex III
for Western Europe and for
other countries. Western Europe
in Annex IIIV is a more limited
list than Europe excluding
Eastern Europe in Annex III. As
a result of the difference in
Western Europe, other countries
in Annex IIIV is more inclusive
than in Annex III.

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,
including all other Europe

DRAFT
Annex V
Instructions for

Semiannual Report of Derivatives Activity
List of Central Counterparties
CME CMDX
Eurex Credit Clear
ICE Clear Europe
ICE Trust US
LCH.Clearnet SA
TSE Japan Securities Clearing Corporation
Tokyo Financial Exchange
June

DRAFT
INSERT A:
Central
counterparties
are
defined
as
counterparties (for example, clearing houses) that
facilitate trades between counterparties in one or
more financial markets by either guaranteeing trades
or novating contracts.
For this report, report
contracts as being with a central counterparty only if
that counterpaty is performing the function of a
central counterparty for that contract.

INSERT B:
5.3 Credit exposures and liabilities
(Table 6)
For credit exposures and liabilities, report OTC
contracts (excluding commodities contracts)
with all counterparties, and report, separately,
contracts with reporting
dealers
and with
central counterparties as defined in Section 5.1.