Form FR 2510 FR 2510 Report of Institution-to-Aggregate Granular Data on Asse

Report of Institution-to-Aggregate Granular Data on Assets and Liabilities on an Immediate Counterparty Basis

FR2510_20190930_f_draft

Ongoing

OMB: 7100-0376

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FR 2510
OMB Number 7100-XXXX
Approval expires XX/XX/XXXX
Page 1 of 12

DRAFT
Board of Governors of the Federal Reserve System

Report of Institution-to-Aggregate Granular Data
on Assets and Liabilities on an Immediate Counterparty Basis—FR 2510
This report is authorized under section 5 of the Bank Holding Company Act
(12 U.S.C. § 1844). The information collected in the FR 2510 is collected
as part of the Board of Governors of the Federal Reserve System's
(Board's) supervisory process, and therefore may be afforded confidential
treatment pursuant to exemption 8 of the Freedom of lnformation Act
("FOIA"). 5 U.S.C. § 552(b)(8). In addition, individual respondents may
request that certain data be afforded confidential treatment pursuant to
exemption 4 of FOIA if the data has not previously been publically disclosed and the release of the data would likely cause substantial harm to
the competitive position of the respondent. 5 U.S.C. § 552(b)(4). Determinations of confidentiality based on exemption 4 of FOIA would be made
on a case-by-case basis.

The report form is filed by any bank holding company organization under
the laws of the United States or any of the states therein that is identified
as a global systemically important bank under the Board's rules. 12 CFR
part 217, subpart H. The Federal Reserve may not conduct or sponsor,
and an organization (or a person) is not required to respond to, a collection
of information unless it displays a currently valid 0MB control number.

Date of Report:
Month / Day / Year (IAIC 9999)

All FR 2510 respondents must submit their completed report via the
Federal Reserve System's Reporting Central application within 50 days of
the reporting date for March 31, June 30, and September 30, and within
65 calendar days of the December 31 reporting date.
Any FR 2510 respondent who needs guidance on Reporting Central is
encouraged to visit the Federal Reserve System website https://www.frbser
vices.org/central-bank/reporting-central/index.html, for additional information.

Name, title, and phone number of the person to whom inquiries regarding
this report may be directed:

Name (IAIC 8901)

Title (IAIC C496)

Legal Name of Reporting Institution (RSSD 9017)

Area Code / Phone Number

City (RSSD 9130)

State (RSSD 9200)

(IAIC 8902)

Public reporting burden for this information collection is estimated to br 568 hours per response, including time to gather and maintain data in the required form and to review instructions and complete the information collection. Comments regarding this burden estimate or any other aspect of this information collection,
including suggestions for reducing the burden, may be sent to Secretary, Board of Governors of the FederalReserve System, 20th and C Streets, NW, Washington, DC 20551, and to the Office of Management and Budget, Paperwork Reduction Project (7100-XXXX), Washington, DC 20503.
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Institution-to-Aggregate data: Immediate Counterparty Schedule

Firm:

FR 2510
Page 2 of 12

DRAFT

as of
MM / DD / YYYY

Table 1. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)
Thereof Granular Portfolio Crossed With

*Currency denomination ISO code:

Remaining Maturity

(IAIC Y385)

Dollar Amounts in Millions
Instrument
Assets
1. Cash and balances due from banks ...................................................................................................

Total
Positions

Currency*

Non-Maturity
Instruments

Overnight and
Less Than
3 Months

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

IAIC GW69

IAIC GX13

IAIC GX57

IAIC GY01

IAIC GY45

IAIC GY89

IAIC GW70

IAIC GX14

IAIC GX58

IAIC GY02

IAIC GY46

IAIC GY90

IAIC GW71

IAIC GX15

IAIC GX59

IAIC GY03

IAIC GY47

IAIC GY91

IAIC GW72

IAIC GX16

IAIC GX60

IAIC GY04

IAIC GY48

IAIC GY92

IAIC GW73

IAIC GX17

IAIC GX61

IAIC GY05

IAIC GY49

IAIC GY93

IAIC GW74

IAIC GX18

IAIC GX62

IAIC GY06

IAIC GY50

IAIC GY94

IAIC GW75

IAIC GX19

IAIC GX63

IAIC GY07

IAIC GY51

IAIC GY95

3 Months and Less
Than 1 Year

1 Year and Over

1.

2. Resale agreements.........................................................................................................................

2.

3. Securities borrowing .......................................................................................................................

3.

4. Loans gross of allowances for credit losses (sum of items 4.a through 4.c).................................................

4.

a. Residential loans........................................................................................................................

4.a.

b. Commercial real estate loans........................................................................................................

4.b.

c. Other loans ...............................................................................................................................

4.c.
IAIC GW76

d. Allowances for credit losses .........................................................................................................

4.d.
IAIC GW77

IAIC GX21

IAIC GX65

IAIC GY09

IAIC GY53

IAIC GY97

IAIC GW78

IAIC GX22

IAIC GX66

IAIC GY10

IAIC GY54

IAIC GY98

IAIC GW79

IAIC GX23

IAIC GX67

IAIC GY11

IAIC GY55

IAIC GY99

IAIC GW80

IAIC GX24

IAIC GX68

IAIC GY12

IAIC GY56

IAIC GZ00

5. Debt securities holdings (sum of items 5.a through 5.c) ..........................................................................

5.

a. ABS ........................................................................................................................................

5.a.

b. Other secured debt securities .......................................................................................................

5.b.
5.c.

c. Unsecured debt securities ...........................................................................................................
IAIC GW81

6. Financial derivatives .......................................................................................................................

6.
IAIC GW82

IAIC GX26

IAIC GX70

IAIC GY14

IAIC GY58

IAIC GZ02

7. Equity instruments ..........................................................................................................................

7.
IAIC GW83

8. Other financial advances and instruments ...........................................................................................
9. Total financial assets excluding derivatives and other financial advances
a. Gross of allowances for credit losses (sum of items 1 through 5, plus 7) ................................................
b. Net of allowances for credit losses (sum of items 1 through 4, less 4.d, plus 5, plus 7)..............................

8.
IAIC GW84

IAIC GX28

IAIC GX72

IAIC GY16

IAIC GY60

IAIC GZ04

IAIC GW85

IAIC GX29

IAIC GX73

IAIC GY17

IAIC GY61

IAIC GZ05

9.a.
9.b.
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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 3 of 12

DRAFT

as of
MM / DD / YYYY

Table 1. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)—Continued
Thereof Granular Portfolio Crossed With

*Currency denomination ISO code:

Remaining Maturity

(IAIC Y385)

Dollar Amounts in Millions

Total
Positions

Currency*

Non-Maturity
Instruments

Overnight and
Less Than
3 Months

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

3 Months and Less
Than 1 Year

1 Year and Over

Carrying Amount

Carrying Amount

IAIC GW86

10. Tangible / fixed assets .....................................................................................................................

10.
IAIC GW87

11. Intangible assets ............................................................................................................................

11.
IAIC GW88

12. Tax assets.....................................................................................................................................

12.
IAIC GW89

13. Other assets..................................................................................................................................

13.
IAIC GW90

14. Total assets (sum of items 6 plus 8, plus 9.b, plus 10 through 13) .............................................................
Liabilities
15. Deposits .......................................................................................................................................

14.
IAIC GW91

IAIC GX35

IAIC GX79

IAIC GY23

IAIC GY67

IAIC GZ11

IAIC GW92

IAIC GX36

IAIC GX80

IAIC GY24

IAIC GY68

IAIC GZ12

IAIC GW93

IAIC GX37

IAIC GX81

IAIC GY25

IAIC GY69

IAIC GZ13

IAIC GW94

IAIC GX38

IAIC GX82

IAIC GY26

IAIC GY70

IAIC GZ14

IAIC GW95

IAIC GX39

IAIC GX83

IAIC GY27

IAIC GY71

IAIC GZ15

IAIC GW96

IAIC GX40

IAIC GX84

IAIC GY28

IAIC GY72

IAIC GZ16

IAIC GW98

IAIC GX42

IAIC GX86

IAIC GY30

IAIC GY74

IAIC GZ18

IAIC GW99

IAIC GX43

IAIC GX87

IAIC GY31

IAIC GY75

IAIC GZ19

IAIC GX00

IAIC GX44

IAIC GX88

IAIC GY32

IAIC GY76

IAIC GZ20

IAIC GX01

IAIC GX45

IAIC GX89

IAIC GY33

IAIC GY77

IAIC GZ21

IAIC GX02

IAIC GX46

IAIC GX90

IAIC GY34

IAIC GY78

IAIC GZ22

15.

16. Repurchase agreements ..................................................................................................................

16.
17.

17. Securities lending ...........................................................................................................................
18. Other borrowings............................................................................................................................

18.

19. a. Debt securities issued (sum of items 19.a.(1) through 19.a.(7)) ............................................................

19.a.

(1) ABS ...................................................................................................................................

19.a.(1)

(2) Covered bonds .....................................................................................................................

19.a.(2)
19.a.(3)

(3) Commercial papers ...............................................................................................................

19.a.(4)

(4) Senior unsecured long-term debts ............................................................................................

19.a.(5)

(5) Hybrid contracts....................................................................................................................
(6) Other debt securities issued convertible.....................................................................................

19.a.(6)

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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 4 of 12

DRAFT

as of
MM / DD / YYYY

Table 1. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)—Continued
Thereof Granular Portfolio Crossed With

*Currency denomination ISO code:

Remaining Maturity

(IAIC Y385)

Dollar Amounts in Millions

Total
Positions

Currency*

Non-Maturity
Instruments

Overnight and
Less Than
3 Months

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

IAIC GX03

IAIC GX47

IAIC GX91

IAIC GY35

IAICGY79

IAIC GZ23

3 Months and Less
Than 1 Year

1 Year and Over

19.a.(7)

19. a. (7) Other debt securities .............................................................................................................
IAIC GX04

b. Of which: subordinated debt securities............................................................................................

19.b.
IAIC GW97

IAIC GX41

IAIC GX85

IAIC GY29

IAIC GY73

IAIC GZ17

20. Financial derivatives .......................................................................................................................

20.
IAIC GX05

21. Other financial payables ..................................................................................................................
22. Total financial liabilities excluding derivatives, debt securities, short sales, and other financial payables
(sum of items 15 through 18) ............................................................................................................

21.
IAIC GX06

IAIC GX50

IAIC GX94

IAIC GY38

IAIC GY82

IAIC GZ26

22.
IAIC GX07

23. Allowance for credit losses on off-balance sheet exposures.....................................................................

23.
IAIC GX08

24. Tax liabilities ..................................................................................................................................

24.
IAIC GX09

25. Other liabilities ...............................................................................................................................

25.
IAIC GX10

26. Total liabilities (sum of items 19 through 25) .........................................................................................

26.
IAIC G105

27. Total equity....................................................................................................................................

27.
IAIC GX12

28. Total liabilities and equity (sum of items 26 and 27)................................................................................

28.

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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 5 of 12

DRAFT

as of
MM / DD / YYYY

Table 2. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)
Granular Portfolio for Countries Above the Threshold
(max 35 countries, $2 billion minimum)

Country Name:
(IAIC 9151)

Positions by Counterparty Sector

Country Code:
(IAIC 9207)

Dollar Amounts in Millions
Instrument
Assets
1. Cash and balances due from banks ...........................................................

Positions by Remaining Maturity

Sector Total
(= CBS total
claims)

Banks

NBFIs

NFCs

Households

Government1

Unallocated
by Sector

Non-maturity
instruments

Less Than 1
Year

1 Year And
Over

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

IAIC GZ33

IAIC HA01

IAIC GZ34

IAIC HA02

IAIC HA70

IAIC HB38

IAIC HC74

IAIC HD42

IAIC GZ35

IAIC HA03

IAIC HA71

IAIC HB39

IAIC HC75

IAIC HD43

IAIC GZ36

IAIC HA04

IAIC HA72

IAIC HB40

IAIC HC76

IAIC HD44

IAIC HD41

1.
2.

2. Resale agreements.................................................................................

3.

3. Securities borrowing ...............................................................................
IAIC HC08

4.

4. Loans gross of allowances for credit losses (sum of items 4.a through 4.c).........
IAIC GZ37

4.a.

a. Residential loans................................................................................
IAIC GZ38

4.b.

b. Commercial real estate loans................................................................
IAIC GZ39

4.c.

c. Other loans .......................................................................................
IAIC GZ40

4.d.

d. Allowances for credit losses .................................................................
IAIC GZ41

IAIC HA09

IAIC HA77

IAIC HB45

IAIC HC81

IAIC HD49

5. Debt securities holdings (sum of items 5.a through 5.c) ..................................

5.
IAIC GZ42

5.a.

a. ABS.................................................................................................
IAIC GZ43

5.b.

b. Other secured debt securities ...............................................................
IAIC GZ44

c. Unsecured debt securities ...................................................................

5.c.

6. Financial derivatives ...............................................................................

6.
IAIC GZ46

IAIC HA14

IAIC HA82

IAIC HB50

IAIC HD54

7. Equity instruments ..................................................................................

7.

8. Other financial advances and instruments ...................................................

8.

1. Excluding positions with central banks.

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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 6 of 12

DRAFT

as of
MM / DD / YYYY

Table 2. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)—Continued
Granular Portfolio for Countries Above the Threshold
(max 35 countries, $2 billion minimum)

Country Name:
(IAIC 9151)

Positions by Counterparty Sector

Country Code:
(IAIC 9207)

Dollar Amounts in Millions
9. Total financial assets excluding derivatives and other financial advances
a. Gross of allowances for credit losses (sum of items 1 through 5, plus 7) .......
b. Net of allowances for credit losses
(sum of items 1 through 4, less 4.d, plus 5, plus 7)....................................

Positions by Remaining Maturity

Sector Total
(= CBS total
claims)

Banks

NBFIs

NFCs

Households

Government1

Unallocated
by Sector

Non-maturity
instruments

Less Than 1
Year

1 Year And
Over

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

IAIC GZ48

IAIC HA16

IAIC HA84

IAIC HB52

IAIC HC20

IAIC HC88

IAIC HD56

9.a.
IAIC GZ49

9.b.

10. Tangible / fixed assets .............................................................................

10.

11. Intangible assets ....................................................................................

11.

12. Tax assets.............................................................................................

12.

13. Other asset ...........................................................................................

13.

14. Total assets (sum of items 6 plus 8, plus 9.b, plus 10 through 13) .....................

14.

Liabilities
15. Deposits ...............................................................................................

IAIC GZ64

IAIC HA32

IAIC HB00

IAIC HB68

IAIC GZ65

IAIC HA33

IAIC HB01

IAIC GZ66

IAIC HA34

IAIC GZ67

IAIC HA35

IAIC HC36

IAIC HD04

IAIC HD72

IAIC HB69

IAIC HD05

IAIC HD73

IAIC HB02

IAIC HB70

IAIC HD06

IAIC HD74

IAIC HB03

IAIC HB71

IAIC HD07

IAIC HD75

15.

16. Repurchase agreements ..........................................................................

16.
17.

17. Securities lending ...................................................................................
IAIC HC39

18. Other borrowings....................................................................................

18.

19. a. Debt securities issued (sum of items 19.a.(1) through 19.a.(7)) ....................

19.a.

(1) ABS ...........................................................................................

19.a.(1)

(2) Covered bonds .............................................................................

19.a.(2)

1. Excluding positions with central banks.

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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 7 of 12

DRAFT

as of
MM / DD / YYYY

Table 2. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)—Continued
Granular Portfolio for Countries Above the Threshold
(max 35 countries, $2 billion minimum)

Country Name:
(IAIC 9151)

Positions by Counterparty Sector

Country Code:
(IAIC 9207)

Dollar Amounts in Millions
Liabilities
19. a. (3) Commercial papers .......................................................................

Positions by Remaining Maturity

Sector Total
(= CBS total
claims)

Banks

NBFIs

NFCs

Households

Government1

Unallocated
by Sector

Non-maturity
instruments

Less Than 1
Year

1 Year And
Over

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

19.a.(3)

(4) Senior unsecured long-term debts ....................................................

19.a.(4)

(5) Hybrid contracts ...........................................................................

19.a.(5)

(6) Other debt securities issued convertible.............................................

19.a.(6)

(7) Other debt securities .....................................................................

19.a.(7)

b. Of which: Subordinated Debt Securities ..................................................

19.b.

20. Financial derivatives ...............................................................................

20.

2 1. Other financial payables ..........................................................................
22. Total financial liabilities excluding derivatives, debt securities, and other financial
payables (sum of items 15 through 18) .......................................................

21.

23. Provisions for credit losses on off-balance sheet exposures ............................

23.

24. Tax liabilities ..........................................................................................

24.

25. Other liabilities .......................................................................................

25.

26. Total liabilities (sum of items 19 through 25) .................................................

26.

27. Total equity............................................................................................

27.

28. Total liabilities and equity (sum of items 26 and 27)........................................

28.

22.

1. Excluding positions with central banks.

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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 8 of 12

DRAFT

as of
MM / DD / YYYY

Table 2. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)—Continued
Granular Portfolio for Countries Above the Threshold
(max 35 countries, $2 billion minimum)

Country Name:
(IAIC 9151)

Positions by Counterparty Sector

Country Code:
(IAIC 9207)

Dollar Amounts in Millions
Contingent Liabilities Subject to Credit Risk
29. Financial guarantees given (sum of items 29.a and 29.b)................................

Positions by Remaining Maturity

Sector Total
(= CBS total
claims)

Banks

NBFIs

NFCs

Households

Government1

Unallocated
by Sector

Non-maturity
instruments

Less Than 1
Year

1 Year And
Over

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

IAIC GZ95

IAIC HA63

IAIC HB31

IAIC HB99

IAIC HC67

IAIC HD35

IAIC HE03

IAIC GZ96

IAIC HA64

IAIC HB32

IAIC HC00

IAIC HC68

IAIC HD36

IAIC HE04

IAIC GZ97

IAIC HA65

IAIC HB33

IAIC HC01

IAIC HC69

IAIC HD37

IAIC HE05

IAIC GZ98

IAIC HA66

IAIC HB34

IAIC HC02

IAIC HC70

IAIC HD38

IAIC HE06

IAIC GZ99

IAIC HA67

IAIC HB35

IAIC HC03

IAIC HC71

IAIC HD39

IAIC HE07

IAIC HA00

IAIC HA68

IAIC HB36

IAIC HC04

IAIC HC72

IAIC HD40

IAIC HE08

29.

a. CDs and other credit derivatives (protection sold) .....................................

29.a.
29.b.

b. Guarantees extended..........................................................................
30. Credit commitments given (sum of items 30.a and 30.b) .................................

30.

a. Loan commitments given .....................................................................

30.a.

b. Other commitments given ....................................................................

30.b.

Memoranda
1. Total financial assets by position type excluding derivatives and other financial
advances - gross of allowances (sum of Assets items 1 through 5 plus 7) ..........

M. 1.
IAIC GZ56

IAIC HA24

IAIC HA92

IAIC HB60

IAIC HC28

IAIC HC96

IAIC HD64

IAIC HE32

IAIC HF00

IAIC HF68

a. Cross-border positions in FX2 ...............................................................

M. 1.a.
IAIC GZ57

(1) Of which in USD ...........................................................................

M. 1.a.(1)
IAIC GZ58

(2) Of which in EUR ...........................................................................

M. 1.a.(2)
IAIC GZ59

IAIC HA27

IAIC HA95

IAIC HB63

IAIC HC31

IAIC HC99

IAIC HD67

IAIC HE35

IAIC HF03

IAIC HF71

IAIC GZ60

IAIC HA28

IAIC HA96

IAIC HB64

IAIC HC32

IAIC HD00

IAIC HD68

IAIC HE36

IAIC HF04

IAIC HF72

b. Cross-border positions in local currency ..................................................

M. 1.b.

c. Local positions in FX2 ..........................................................................

M. 1.c.
IAIC GZ61

(1) Of which in USD ...........................................................................

M. 1.c.(1)
IAIC GZ62

(2) Of which in EUR ...........................................................................

M. 1.c.(2)
IAIC GZ63

d. Local positions in local currency ............................................................

IAIC HA31

IAIC HA99

IAIC HB67

IAIC HC35

IAIC HD03

IAIC HD71

IAIC HE39

IAIC HF07

IAIC HF75

M. 1.d.

1. Excluding positions with central banks.
2. Under consideration: split into USD - EUR - other currencies.
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Institution-to-Aggregate data: Immediate Counterparty Schedule—Continued

Firm:

FR 2510
Page 9 of 12

DRAFT

as of
MM / DD / YYYY

Table 2. Consolidated Balance Sheet (Regulatory Consolidation Perimeter)—Continued
Granular Portfolio for Countries Above the Threshold
(max 35 countries, $2 billion minimum)

Country Name:
(IAIC 9151)

Positions by Counterparty Sector

Country Code:
(IAIC 9207)

Dollar Amounts in Millions

Positions by Remaining Maturity

Sector Total
(= CBS total
claims)

Banks

NBFIs

NFCs

Households

Government1

Unallocated
by Sector

Non-maturity
instruments

Less Than 1
Year

1 Year And
Over

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

Carrying Amount

IAIC GZ87

IAIC HA55

IAIC HB23

IAIC HB91

IAIC HC59

IAIC HD27

IAIC HD95

IAIC HE63

IAIC HF31

IAIC HF99

Memoranda
2. Total financial liabilities by position type excluding derivatives, and debt securities
(sum of Liabilities items 15 through 18) .......................................................

M. 2.

a. Cross-border positions in FX2 ...............................................................

M. 2.a.
IAIC GZ88

(1) Of which in USD ...........................................................................

M. 2.a.(1)
IAIC GZ89

(2) Of which in EUR ...........................................................................

M. 2.a.(2)
IAIC GZ90

IAIC HA58

IAIC HB26

IAIC HB94

IAIC HC62

IAIC HD30

IAIC HD98

IAIC HE66

IAIC HF34

IAIC HG02

IAIC GZ91

IAIC HA59

IAIC HB27

IAIC HB95

IAIC HC63

IAIC HD31

IAIC HD99

IAIC HE67

IAIC HF35

IAIC HG03

b. Cross-border positions in local currency ..................................................

M. 2.b.

c. Local positions in FX2 ..........................................................................

M. 2.c.
IAIC GZ92

M. 2.c.(1)

(1) Of which in USD ...........................................................................
IAIC GZ93

(2) Of which in EUR ...........................................................................

M. 2.c.(2)
IAIC GZ94

d. Local positions in local currency ............................................................

IAIC HA62

IAIC HB30

IAIC HB98

IAIC HC66

IAIC HD34

IAIC HE02

IAIC HE70

IAIC HF38

IAIC HG06

M. 2.d.

1. Excluding positions with central banks.
2. Under consideration: split into USD - EUR - other currencies.

06/2019

KDM 04/23/2019_v6_1:00pm

Institution-to-Aggregate data: Financial Derivatives Schedule

Firm:

FR 2510
Page 10 of 12

DRAFT

as of
MM / DD / YYYY

Valuation
Gross Positive
Fair Value

Dollar Amounts in Millions
XXXX
Instrument
1. Exchange-Traded Derivatives.............................................................................................................................................................. HG13
a. Equity derivatives ............................................................................................................................................................................ HG14
b. Interest rate derivatives .................................................................................................................................................................... HG15
c. Foreign exchange derivatives ............................................................................................................................................................ HG16
d. Credit derivatives ............................................................................................................................................................................ HG17
e. Commodity derivatives ..................................................................................................................................................................... HG18
f. Other derivatives ............................................................................................................................................................................. HG19
2. Centrally-Cleared OTC Derivatives ....................................................................................................................................................... HG20
a. Equity derivatives ............................................................................................................................................................................ HG21
b. Interest rate derivatives .................................................................................................................................................................... HG22
c. Foreign exchange derivatives ............................................................................................................................................................ HG23
d. Credit derivatives ............................................................................................................................................................................ HG24
e. Commodity derivatives ..................................................................................................................................................................... HG25
f. Other derivatives ............................................................................................................................................................................. HG26
3. Bilateral/Uncleared OTC Derivatives .................................................................................................................................................... HG27
a. Equity derivatives ............................................................................................................................................................................ HG28
b. Interest rate derivatives .................................................................................................................................................................... HG29
c. Foreign exchange derivatives ............................................................................................................................................................ HG30
d. Credit derivatives ............................................................................................................................................................................ HG31
e. Commodity derivatives ..................................................................................................................................................................... HG32
f. Other derivatives ............................................................................................................................................................................. HG33
IAIC

Gross Negative
Fair Value

Amount

IAIC

INFC HL08

XXXX
HG34
HG35
HG36
HG37
HG38
HG39

Notional Amounts

Amount

IAIC

Amount

INFC GG35

XXXX
HG55
HG56
HG57
HG58
HG59
HG60

INFC GG36

HG40
HG41
HG42
HG43
HG44

HG61
M409
HG62
HG63
HG64

HG45
HG46
HG47
HG48
HG49

HG65
HG66
HG67
M410
HG68

HG50
HG51
HG52
HG53
HG54

HG69
HG70
HG71
HG72
HG73

1.
1.a.
1.b.
1.c.
1.d.
1.e.
1. f.
2.
2.a.
2.b.
2.c.
2.d.
2.e.
2. f.
3.
3.a.
3.b.
3.c.
3.d.
3.e.
3. f.

06/2019

KDM 04/23/2019_v6_1:00pm

Institution-to-Aggregate data: Foreign Exchange Derivatives Schedule

Firm:

FR 2510
Page 11 of 12

DRAFT

as of
MM / DD / YYYY

Remaining Maturity Bucket:
(IAIC HK20)

(1) Non-maturity instruments (including on demand and open positions), (2) overnight and less than 3 months, (3) 3 months and less than 1 year, (4) 1 year and over.

Dollar Amounts in Millions

USD

EUR

JPY

GBP

CHF

CNY

Other

Total

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

IAIC HG74

IAIC HG99

IAIC HH24

IAIC HH49

IAIC HH74

IAIC HH99

IAIC HJ24

IAIC HJ49

IAIC HH00

IAIC HH25

IAIC HH50

IAIC HH75

IAIC HJ00

IAIC HJ25

IAIC HJ50

IAIC HH26

IAIC HH51

IAIC HH76

IAIC HJ01

IAIC HJ26

IAIC HJ51

IAIC HH52

IAIC HH77

IAIC HJ02

IAIC HJ27

IAIC HJ52

IAIC HH78

IAIC HJ03

IAIC HJ28

IAIC HJ53

IAIC HJ04

IAIC HJ29

IAIC HJ54

IAIC HJ30

IAIC HJ55

1. Long currency forwards 1 (currency bought at maturity) .......................

1.

a. USD ...........................................................................................

1.a.
IAIC HG76

b. EUR ...........................................................................................

1.b.
IAIC HG77

IAIC HH02

IAIC HG78

IAIC HH03

IAIC HH28

IAIC HG79

IAIC HH04

IAIC HH29

IAIC HH54

IAIC HG80

IAIC HH05

IAIC HH30

IAIC HH55

IAIC HH80

IAIC HG81

IAIC HH06

IAIC HH31

IAIC HH56

IAIC HH81

IAIC HJ06

IAIC HJ31

IAIC HJ56

IAIC HG82

IAIC HH07

IAIC HH32

IAIC HH57

IAIC HH82

IAIC HJ07

IAIC HJ32

IAIC HJ57

IAIC HG83

IAIC HH08

IAIC HH33

IAIC HH58

IAIC HH83

IAIC HJ08

IAIC HJ33

IAIC HJ58

IAIC HH09

IAIC HH34

IAIC HH59

IAIC HH84

IAIC HJ09

IAIC HJ34

IAIC HJ59

IAIC HH35

IAIC HH60

IAIC HH85

IAIC HJ10

IAIC HJ35

IAIC HJ60

IAIC HH61

IAIC HH86

IAIC HJ11

IAIC HJ36

IAIC HJ61

IAIC HH87

IAIC HJ12

IAIC HJ37

IAIC HJ62

IAIC HJ13

IAIC HJ38

IAIC HJ63

IAIC HJ39

IAIC HJ64

IAIC HJ40

IAIC HJ65

c. JPY ............................................................................................

1.c.
1.d.

d. GBP ...........................................................................................

1.e.

e. CHF ...........................................................................................

1. f.

f. CNY ...........................................................................................
g. Other..........................................................................................
2. Long currency swaps 2 (currency received at maturity) (sum of 2.a
and 2.b) ..........................................................................................

1.g.
2.

a. Exchange of Notional.....................................................................

2.a.

(1) USD .....................................................................................

2.a.(1)
IAIC HG85

(2) EUR .....................................................................................

2.a.(2)
IAIC HG86

IAIC HH11

IAIC HG87

IAIC HH12

IAIC HH37

IAIC HG88

IAIC HH13

IAIC HH38

IAIC HH63

IAIC HG89

IAIC HH14

IAIC HH39

IAIC HH64

IAIC HH89

IAIC HG90

IAIC HH15

IAIC HH40

IAIC HH65

IAIC HH90

2.a.(3)

(3) JPY ......................................................................................

2.a.(4)

(4) GBP .....................................................................................

2.a.(5)

(5) CHF......................................................................................
(6) CNY .....................................................................................
(7) Other ....................................................................................

2.a.(6)
IAIC HJ15

2.a.(7)

1. Includes foreign exchange swaps.
2. Includes cross currency interest rate swaps.
06/2019

KDM 04/23/2019_v6_1:00pm

Institution-to-Aggregate data: Foreign Exchange Derivatives Schedule

Firm:

FR 2510
Page 12 of 12

DRAFT

as of
MM / DD / YYYY

—Continued

Dollar Amounts in Millions
1
2. Long currency swaps (currency received at maturity)—Continued
b. Only Exchange of Interests .............................................................

USD

EUR

JPY

GBP

CHF

CNY

Other

Total

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

Notional Amount

IAIC HG91

IAIC HH16

IAIC HH41

IAIC HH66

IAIC HH91

IAIC HJ16

IAIC HJ41

IAIC HJ66

IAIC HH17

IAIC HH42

IAIC HH67

IAIC HH92

IAIC HJ17

IAIC HJ42

IAIC HJ67

IAIC HH43

IAIC HH68

IAIC HH93

IAIC HJ18

IAIC HJ43

IAIC HJ68

IAIC HH69

IAIC HH94

IAIC HJ19

IAIC HJ44

IAIC HJ69

IAIC HH95

IAIC HJ20

IAIC HJ45

IAIC HJ70

IAIC HJ21

IAIC HJ46

IAIC HJ71

IAIC HJ47

IAIC HJ72

IAIC HJ48

IAIC HJ73

2.b.
2.b.(1)

(1) USD .....................................................................................
IAIC HG93

(2) EUR .....................................................................................

2.b.(2)
IAIC HG94

IAIC HH19

IAIC HG95

IAIC HH20

IAIC HH45

IAIC HG96

IAIC HH21

IAIC HH46

IAIC HH71

IAIC HG97

IAIC HH22

IAIC HH47

IAIC HH72

IAIC HH97

IAIC HG98

IAIC HH23

IAIC HH48

IAIC HH73

IAIC HH98

(3) JPY ......................................................................................

2.b.(3)

(4) GBP .....................................................................................

2.b.(4)
2.b.(5)

(5) CHF......................................................................................
(6) CNY .....................................................................................
(7) Other ....................................................................................

2.b.(6)
IAIC HJ23

2.b.(7)

1. Includes cross currency interest rate swaps.

06/2019


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