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pdfFR 2436
OMB Number 7100-0286
Approval expires March 31, 2019
Page 1 of 16
Board of Governors of the Federal Reserve System
Semiannual Report of Derivatives Activity—FR 2436
Report at the close of business as of the last calendar day of June 30 and December 31.
This report is authorized by law (12 U.S.C. §§ 225a and 263). 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.
Table 1A—Foreign Exchange and Gold Contracts
Notional Amounts Outstanding
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T339
OTC Contracts ......................................................
1. Forwards and FX Swaps ......................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
2. Currency Swaps .................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
3. Bought Options...................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
(B)
(A)
Total
FX
contracts
T147
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T148
T149
T150
T151
T152
T153
T154
T155
T156
T157
T158
T159
T160
T161
T162
(D)
Total FX
contracts
including
gold
T333
H138
H497
H583
H669
H755
H841
H927
P019
S696
S782
S868
S954
U041
U127
U213
U299
T336
H139
H498
H584
H670
H756
H842
H928
P020
S697
S783
S869
S955
U042
U128
U214
U300
W967
H413
H499
H585
H671
H757
H843
H929
P021
S698
S784
S870
S956
U043
U129
U215
U301
FE59
FE60
FE61
FE62
FE63
FE64
FE65
FE66
FE67
FE68
FE69
FE70
FE71
FE72
FE73
FE74
H414
H500
H586
H672
H758
H844
H930
P022
S699
S785
S871
S957
U044
U130
U216
U302
H415
H501
H587
H673
H759
H845
H931
P023
S700
S786
S872
S958
U045
U131
U217
U303
H416
H502
H588
H674
H760
H846
H932
P024
S701
S787
S873
S959
U046
U132
U218
U304
H417
H503
H589
H675
H761
H847
H933
P025
S702
S788
S874
S960
U047
U133
U219
U305
FE90
FE91
FE92
FE93
FE94
FE95
FE96
FE97
FE98
FE99
FF00
FF01
FF02
FF03
FF04
FF05
H418
H504
H590
H676
H762
H848
H934
P026
S703
S789
S875
S961
U048
U134
U220
U306
H419
H505
H591
H677
H763
H849
H935
P027
S704
S790
S876
S962
U049
U135
U221
U307
H420
H506
H592
H678
H764
H850
H936
P028
S705
S791
S877
S963
U050
U136
U222
U308
H421
H507
H593
H679
H765
H851
H937
P029
S706
S792
S878
S964
U051
U137
U223
U309
FF21
FF22
FF23
FF24
FF25
FF26
FF27
FF28
FF29
FF30
FF31
FF32
FF33
FF34
FF35
FF36
H422
H508
H594
H680
H766
H852
H938
P030
S707
S793
S879
S965
U052
U138
U224
U310
H423
H509
H595
H681
H767
H853
H939
P031
S708
S794
S880
S966
U053
U139
U225
U311
W968
W969
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
Public reporting burden for this information collection is estimated to be 236 hours per response, including time to gather and maintain data in the proper form, to review instructions and to complete the information collection. Send comments regarding this burden estimate to: Secretary, Board of Governors of the Federal
Reserve System, 20th and C Streets, NW, Washington, DC 20551; and to the Office of Management and Budget, Paperwork Reduction Project, (7100-0285), Washington, DC 20503.
06/2016
FR 2436
Page 2 of 16
Table 1A—Foreign Exchange and Gold Contracts—Continued
Notional Amounts Outstanding
Contracts involving the following currencies (report both sides):
Country
Code
Name
(B)
(A)
Total
FX
contracts
DERV
U.S. Dollar Amounts in Millions
T339
4. Sold Options ......................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
T147
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T148
T149
T150
T151
T152
T153
T154
T155
T156
T157
T158
T159
T160
T161
T162
H424
H510
H596
H682
H768
H854
H940
P032
S709
S795
S881
S967
U054
U140
U226
U312
H425
H511
H597
H683
H769
H855
H941
P033
S710
S796
S882
S968
U055
U141
U227
U313
FF52
FF53
FF54
FF55
FF56
FF57
FF58
FF59
FF60
FF61
FF62
FF63
FF64
FF65
FF66
FF67
H426
H512
H598
H684
H770
H856
H942
P034
S711
S797
S883
S969
U056
U142
U228
U314
H427
H513
H599
H685
H771
H857
H943
P035
S712
S798
S884
S970
U057
U143
U229
U315
(D)
Total FX
contracts
including
gold
T333
W970
4.
4.a.
4.b.
4.c.
4.d.
Table 1B—Foreign Exchange and Gold Contracts
Gross Positive Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T340
OTC Contracts ......................................................
1. Forwards and FX Swaps ......................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
2. Currency Swaps .................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
3. Bought Options...................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
(B)
(A)
Total
FX
contracts
T178
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T179
T180
T181
T182
T183
T184
T185
T186
T187
T188
T189
T190
T191
T192
T193
H428
H514
H600
H686
H772
H858
H944
P036
S713
S799
S885
S971
U058
U144
U230
U316
H429
H515
H601
H687
H773
H859
H945
P037
S714
S800
S886
S972
U059
U145
U231
U317
H430
H516
H602
H688
H774
H860
H946
P038
S715
S801
S887
S973
U060
U146
U232
U318
FF83
FF84
FF85
FF86
FF87
FF88
FF89
FF90
FF91
FF92
FF93
FF94
FF95
FF96
FF97
FF98
H431
H517
H603
H689
H775
H861
H947
P039
S716
S802
S888
S974
U061
U147
U233
U319
H432
H518
H604
H690
H776
H862
H948
P040
S717
S803
S889
S975
U062
U148
U234
U320
H433
H519
H605
H691
H777
H863
H949
P041
S718
S804
S890
S976
U063
U149
U235
U321
H434
H520
H606
H692
H778
H864
H950
P042
S719
S805
S891
S977
U064
U150
U236
U322
FG14
FG15
FG16
FG17
FG18
FG19
FG20
FG21
FG22
FG23
FG24
FG25
FG26
FG27
FG28
FG29
H435
H521
H607
H693
H779
H865
H951
P043
S720
S806
S892
S978
U065
U151
U237
U323
H436
H522
H608
H694
H780
H866
H952
P044
S721
S807
S893
S979
U066
U152
U238
U324
H437
H523
H609
H695
H781
H867
H953
P045
S722
S808
S894
S980
U067
U153
U239
U325
H438
H524
H610
H696
H782
H868
H954
P046
S723
S809
S895
S981
U068
U154
U240
U326
FG45
FG46
FG47
FG48
FG49
FG50
FG51
FG52
FG53
FG54
FG55
FG56
FG57
FG58
FG59
FG60
H439
H525
H611
H697
H783
H869
H955
P047
S724
S810
S896
S982
U069
U155
U241
U327
H440
H526
H612
H698
H784
H870
H956
P048
S725
S811
S897
S983
U070
U156
U242
U328
(D)
Total FX
contracts
including
gold
T334
T337
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 3 of 16
Table 1B—Foreign Exchange and Gold Contracts—Continued
Gross Positive Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
(B)
(A)
Total
FX
contracts
DERV
U.S. Dollar Amounts in Millions
T340
T178
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T179
T180
T181
T182
T183
T184
T185
T186
T187
T188
T189
T190
T191
T192
T193
(D)
Total FX
contracts
including
gold
T334
4. Sold Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
4.
4.a.
4.b.
4.c.
4.d.
Table 1C—Foreign Exchange and Gold Contracts
Gross Negative Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T341
OTC Contracts ......................................................
1. Forwards and FX Swaps ......................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
2. Currency Swaps .................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
3. Bought Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
(B)
(A)
Total
FX
contracts
T209
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T210
T211
T212
T213
T214
T215
T216
T217
T218
T219
T220
T221
T222
T223
T224
H441
H527
H613
H699
H785
H871
H957
P049
S726
S812
S898
S984
U071
U157
U243
U329
H442
H528
H614
H700
H786
H872
H958
P050
S727
S813
S899
S985
U072
U158
U244
U330
H443
H529
H615
H701
H787
H873
H959
P051
S728
S814
S900
S986
U073
U159
U245
U331
FG76
FG77
FG78
FG79
FG80
FG81
FG82
FG83
FG84
FG85
FG86
FG87
FG88
FG89
FG90
FG91
H444
H530
H616
H702
H788
H874
H960
P052
S729
S815
S901
S987
U074
U160
U246
U332
H445
H531
H617
H703
H789
H875
H961
P053
S730
S816
S902
S988
U075
U161
U247
U333
H446
H532
H618
H704
H790
H876
H962
P054
S731
S817
S903
S989
U076
U162
U248
U334
H447
H533
H619
H705
H791
H877
H963
P055
S732
S818
S904
S990
U077
U163
U249
U335
FH07
FH08
FH09
FH10
FH11
FH12
FH13
FH14
FH15
FH16
FH17
FH18
FH19
FH20
FH21
FH22
H448
H534
H620
H706
H792
H878
H964
P056
S733
S819
S905
S991
U078
U164
U250
U336
H449
H535
H621
H707
H793
H879
H965
P057
S734
S820
S906
S992
U079
U165
U251
U337
(D)
Total FX
contracts
including
gold
T335
T338
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 4 of 16
Table 1C—Foreign Exchange and Gold Contracts—Continued
Gross Negative Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T341
4. Sold Options ......................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
(B)
(A)
Total
FX
contracts
T209
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T210
T211
T212
T213
T214
T215
T216
T217
T218
T219
T220
T221
T222
T223
T224
H450
H536
H622
H708
H794
H880
H966
P058
S735
S821
S907
S993
U080
U166
U252
U338
H451
H537
H623
H709
H795
H881
H967
P059
S736
S822
S908
S994
U081
U167
U253
U339
FH38
FH39
FH40
FH41
FH42
FH43
FH44
FH45
FH46
FH47
FH48
FH49
FH50
FH51
FH52
FH53
H452
H538
H624
H710
H796
H882
H968
P060
S737
S823
S909
S995
U082
U168
U254
U340
H453
H539
H625
H711
H797
H883
H969
P061
S738
S824
S910
S996
U083
U169
U255
U341
(D)
Total FX
contracts
including
gold
T335
4.
4.a.
4.b.
4.c.
4.d.
Table 2A—Single-Currency Interest Rate Contracts
Notional Amounts Outstanding
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T342
OTC Contracts ...................................................................
1. Forwards and FX Swaps ...................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
2. Single-Currency Interest Rate Swaps ...................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
3. Bought Options................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
(A)
Total
interest
rate
contracts
T240
(B)
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T241
T242
T243
T244
T245
T246
T247
T248
T249
T250
T251
T252
T253
T254
T255
H454
H540
H626
H712
H798
H884
H970
P062
S739
S825
S911
S997
U084
U170
U256
U342
H455
H541
H627
H713
H799
H885
H971
P063
S740
S826
S912
S998
U085
U171
U257
U343
H456
H542
H628
H714
H800
H886
H972
P064
S741
S827
S913
S999
U086
U172
U258
U344
FH69
FH70
FH71
FH72
FH73
FH74
FH75
FH76
FH77
FH78
FH79
FH80
FH81
FH82
FH83
FH84
H457
H543
H629
H715
H801
H887
H973
P065
S742
S828
S914
T001
U087
U173
U259
U345
H458
H544
H630
H716
H802
H888
H974
P066
S743
S829
S915
T002
U088
U174
U260
U346
H459
H545
H631
H717
H803
H889
H975
P067
S744
S830
S916
T003
U089
U175
U261
U347
H460
H546
H632
H718
H804
H890
H976
P068
S745
S831
S917
T004
U090
U176
U262
U348
FJ00
FJ01
FJ02
FJ03
FJ04
FJ05
FJ06
FJ07
FJ08
FJ09
FJ10
FJ11
FJ12
FJ13
FJ14
FJ15
H461
H547
H633
H719
H805
H891
H977
P069
S746
S832
S918
T005
U091
U177
U263
U349
H462
H548
H634
H720
H806
H892
H978
P070
S747
S833
S919
T006
U092
U178
U264
U350
H463
H549
H635
H721
H807
H893
H979
P071
S748
S834
S920
T007
U093
U179
U265
U351
H464
H550
H636
H722
H808
H894
H980
P072
S749
S835
S921
U008
U094
U180
U266
U352
FJ31
FJ32
FJ33
FJ34
FJ35
FJ36
FJ37
FJ38
FJ39
FJ40
FJ41
FJ42
FJ43
FJ44
FJ45
FJ46
H465
H551
H637
H723
H809
H895
H981
P073
S750
S836
S922
U009
U095
U181
U267
U353
H466
H552
H638
H724
H810
H896
H982
P074
S751
S837
S923
U010
U096
U182
U268
U354
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 5 of 16
Table 2A—Single-Currency Interest Rate Contracts—Continued
Notional Amounts Outstanding
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T342
4. Sold Options ...................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
(A)
Total
interest
rate
contracts
T240
(B)
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T241
T242
T243
T244
T245
T246
T247
T248
T249
T250
T251
T252
T253
T254
T255
H467
H553
H639
H725
H811
H897
H983
P075
S752
S838
S924
U011
U097
U183
U269
U355
H468
H554
H640
H726
H812
H898
H984
P076
S753
S839
S925
U012
U098
U184
U270
U356
FJ62
FJ63
FJ64
FJ65
FJ66
FJ67
FJ68
FJ69
FJ70
FJ71
FJ72
FJ73
FJ74
FJ75
FJ76
FJ77
H469
H555
H641
H727
H813
H899
H985
P077
S754
S840
S926
U013
U099
U185
U271
U357
H470
H556
H642
H728
H814
H900
H986
P078
S755
S841
S927
U014
U100
U186
U272
U358
4.
4.a.
4.b.
4.c.
4.d.
Table 2B—Single-Currency Interest Rate Contracts
Gross Positive Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T343
OTC Contracts ...................................................................
1. Forwards and FX Swaps ...................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
2. Single-Currency Interest Rate Swaps ...................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
3. Bought Options................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
(A)
Total
interest
rate
contracts
T271
(B)
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T272
T273
T274
T275
T276
T277
T278
T279
T280
T281
T282
T283
T284
T285
T286
H471
H557
H643
H729
H815
H901
H987
P079
S756
S842
S928
U015
U101
U187
U273
U359
H472
H558
H644
H730
H816
H902
H988
P080
S757
S843
S929
U016
U102
U188
U274
U360
H473
H559
H645
H731
H817
H903
H989
P081
S758
S844
S930
U017
U103
U189
U275
U361
FJ93
FJ94
FJ95
FJ96
FJ97
FJ98
FJ99
FK00
FK01
FK02
FK03
FK04
FK05
FK06
FK07
FK08
H474
H560
H646
H732
H818
H904
H990
R840
S759
S845
S931
U018
U104
U190
U276
U362
H475
H561
H647
H733
H819
H905
H991
S317
S760
S846
S932
U019
U105
U191
U277
U363
H476
H562
H648
H734
H820
H906
H992
S318
S761
S847
S933
U020
U106
U192
U278
U364
H477
H563
H649
H735
H821
H907
H993
S465
S762
S848
S934
U021
U107
U193
U279
U365
FK24
FK25
FK26
FK27
FK28
FK29
FK30
FK31
FK32
FK33
FK34
FK35
FK36
FK37
FK38
FK39
H478
H564
H650
H736
H822
H908
H994
S538
S763
S849
S935
U022
U108
U194
U280
U366
H479
H565
H651
H737
H823
H909
H995
S553
S764
S850
S936
U023
U109
U195
U281
U367
H480
H566
H652
H738
H824
H910
H996
S679
S765
S851
S937
U024
U110
U196
U282
U368
H481
H567
H653
H739
H825
H911
H997
S680
S766
S852
S938
U025
U111
U197
U283
U369
FK55
FK56
FK57
FK58
FK59
FK60
FK61
FK62
FK63
FK64
FK65
FK66
FK67
FK68
FK69
FK70
H482
H568
H654
H740
H826
H912
H998
S681
S767
S853
S939
U026
U112
U198
U284
U370
H483
H569
H655
H741
H827
H913
H999
S682
S768
S854
S940
U027
U113
U199
U285
U371
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 6 of 16
Table 2B—Single-Currency Interest Rate Contracts—Continued
Gross Positive Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T343
OTC Contracts ...................................................................
4. Sold Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
(A)
Total
interest
rate
contracts
T271
H471
(B)
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T272
T273
T274
T275
T276
T277
T278
T279
T280
T281
T282
T283
T284
T285
T286
H557
H643
H729
H815
H901
H987
P079
S756
S842
S928
U015
U101
U187
U273
U359
4.
4.a.
4.b.
4.c.
4.d.
Table 2C—Single-Currency Interest Rate Contracts
Gross Negative Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T344
OTC Contracts ...................................................................
1. Forwards and FX Swaps ...................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
2. Single-Currency Interest Rate Swaps ...................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
3. Bought Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
(A)
Total
interest
rate
contracts
T302
(B)
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T303
T304
T305
T306
T307
T308
T309
T310
T311
T312
T313
T314
T315
T316
T317
H484
H570
H656
H742
H828
H914
P001
S683
S769
S855
S941
U028
U114
U200
U286
U372
H485
H571
H657
H743
H829
H915
P002
S684
S770
S856
S942
U029
U115
U201
U287
U373
H486
H572
H658
H744
H830
H916
P003
S685
S771
S857
S943
U030
U116
U202
U288
U374
FK86
FK87
FK88
FK89
FK90
FK91
FK92
FK93
FK94
FK95
FK96
FK97
FK98
FK99
FL00
FL01
H487
H573
H659
H745
H831
H917
P004
S686
S772
S858
S944
U031
U117
U203
U289
U375
H488
H574
H660
H746
H832
H918
P010
S687
S773
S859
S945
U032
U118
U204
U290
U376
H489
H575
H661
H747
H833
H919
P011
S688
S774
S860
S946
U033
U119
U205
U291
U377
H490
H576
H662
H748
H834
H920
P012
S689
S775
S861
S947
U034
U120
U206
U292
U378
FL17
FL18
FL19
FL20
FL21
FL22
FL23
FL24
FL25
FL26
FL27
FL28
FL29
FL30
FL31
FL32
H491
H577
H662
H749
H835
H921
P013
S690
S776
S862
S948
U035
U121
U207
U293
U379
H492
H578
H664
H750
H836
H922
P014
S691
S777
S863
S949
U036
U122
U208
U294
U380
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 7 of 16
Table 2C—Single-Currency Interest Rate Contracts—Continued
Gross Negative Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T344
4. Sold Options ...................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
(A)
Total
interest
rate
contracts
T302
(B)
(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding
USD
EUR
JPY
GBP
CHF
CAD
SEK
DKK
AUD
HKD
IDR
MXN
NZD
SGD
THB
T303
T304
T305
T306
T307
T308
T309
T310
T311
T312
T313
T314
T315
T316
T317
H493
H579
H665
H751
H837
H923
P015
S692
S778
S864
S950
U037
U123
U209
U295
U381
H494
H580
H666
H752
H838
H924
P016
S693
S779
S865
S951
U038
U124
U210
U296
U382
FL48
FL49
FL50
FL51
FL52
FL53
FL54
FL55
FL56
FL57
FL58
FL59
FL60
FL61
FL62
FL63
H495
H581
H667
H753
H839
H925
P017
S694
S780
S866
S952
U039
U125
U211
U297
U383
H496
H582
H668
H754
H840
H926
P018
S695
S781
S867
S953
U040
U126
U212
U298
U384
4.
4.a.
4.b.
4.c.
4.d.
Table 3A—Equity and Commodity-Linked Contracts
Notional Amounts Outstanding
Country
Code
Name
(A)
Total
equitylinked
contracts
(B)
Contracts involving equity markets in the following countries or
groups of countries:
U.S.
Japan
DERV
T345
U.S. Dollar Amounts in Millions
OTC Contracts .................................................................................................................................................................
1. Forwards and Swaps ......................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
2. Bought Options..............................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
3. Sold Options .................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
Europe
Latin
(excluding America
Eastern
Europe)
Other
Asian
countries
Other
(C)
(D)
Precious
Other
metals commod(other
ities
than
gold)
W971
W984
W997
X011
X024
X037
X050
X063
X067
W972
W985
W998
X012
X025
X038
X051
X064
X068
W973
W986
W999
X013
X026
X039
X052
X065
X069
X066
X070
FL79
FL80
FL81
FL82
FL83
FL84
FL85
W974
W987
X001
X014
X027
X040
X053
W975
W988
X002
X015
X028
X041
X054
W976
W989
X003
X016
X029
X042
X055
W977
W990
X004
X017
X030
X043
X056
FL86
FL87
FL88
FL89
FL90
FL91
FL92
W978
W991
X005
X018
X031
X044
X057
W979
W992
X006
X019
X032
X045
X058
W980
W993
X007
X020
X033
X046
X059
W981
W994
X008
X021
X034
X047
X060
FL93
FL94
FL95
FL96
FL97
FL98
FL99
W982
W995
X009
X022
X035
X048
X061
W983
W996
X010
X023
X036
X049
X062
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 8 of 16
Table 3B—Equity and Commodity-Linked Contracts
Gross Positive Fair Values
Country
Code
Name
(A)
Total
equitylinked
contracts
(B)
Contracts involving equity markets in the following countries or
groups of countries:
U.S.
Japan
DERV
T346
U.S. Dollar Amounts in Millions
OTC Contracts .................................................................................................................................................................
1. Forwards and Swaps ......................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
2. Bought Options..............................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
3. Sold Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
Europe
Latin
(excluding America
Eastern
Europe)
Other
Asian
countries
Other
X071
X080
X089
X098
X107
X116
X125
X072
X081
X090
X099
X108
X117
X126
X073
X082
X091
X100
X109
X118
X127
FM00
FM01
FM02
FM03
FM04
FM05
FM06
X074
X083
X092
X101
X110
X119
X128
X075
X084
X093
X102
X111
X120
X129
X076
X085
X094
X103
X112
X121
X130
X077
X086
X095
X104
X113
X122
X131
FM07
FM08
FM09
FM10
FM11
FM12
FM13
X078
X087
X096
X105
X114
X123
X132
X079
X088
X097
X106
X115
X124
X133
(C)
(D)
Precious
Other
metals commod(other
ities
than
gold)
X134
X135
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 9 of 16
Table 3C—Equity and Commodity-Linked Contracts
Gross Negative Fair Values
Country
Code
Name
(A)
Total
equitylinked
contracts
(B)
Contracts involving equity markets in the following countries or
groups of countries:
U.S.
Japan
DERV
T347
U.S. Dollar Amounts in Millions
OTC Contracts .................................................................................................................................................................
1. Forwards and Swaps ......................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
2. Bought Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
3. Sold Options .................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
Europe
Latin
(excluding America
Eastern
Europe)
Other
Asian
countries
Other
X136
X145
X154
X163
X172
X181
X190
X137
X146
X155
X164
X173
X182
X191
X138
X147
X156
X165
X174
X183
X192
FM14
FM15
FM16
FM17
FM18
FM19
FM20
X139
X148
X157
X166
X175
X184
X193
X140
X149
X158
X167
X176
X185
X194
X141
X150
X159
X168
X177
X186
X195
X142
X151
X160
X169
X178
X187
X196
FM21
FM22
FM23
FM24
FM25
FM26
FM27
X143
X152
X161
X170
X179
X188
X197
X144
X153
X162
X171
X180
X189
X198
(C)
(D)
Precious
Other
metals commod(other
ities
than
gold)
X199
X200
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
06/2016
FR 2436
Page 10 of 16
Table 4A—Credit Default Swaps by Remaining Maturity
Notional Amounts Outstanding
Country
Code
Name
(A)
Total
(B)
Contracts with remaining maturity of:
One year or less
DERV
U.S. Dollar Amounts in Millions
T348
Instruments
1. All Contracts ..........................................................................................................................................................................
a. With reporting dealers ..........................................................................................................................................................
b. With central counterparties ...................................................................................................................................................
c. With other financial institutions, of which: .................................................................................................................................
(1) Banks and securities firms ...............................................................................................................................................
(2) Insurance firms .............................................................................................................................................................
(3) Special purpose vehicles (SPVs) ......................................................................................................................................
(4) Hedge funds .................................................................................................................................................................
(5) Miscellaneous ...............................................................................................................................................................
d. With nonfinancial ................................................................................................................................................................
2. Single-name Instruments ..........................................................................................................................................................
a. With reporting dealers ..........................................................................................................................................................
b. With central counterparties ...................................................................................................................................................
c. With other financial institutions, of which: .................................................................................................................................
(1) Banks and securities firms ...............................................................................................................................................
(2) Insurance firms .............................................................................................................................................................
(3) Special purpose vehicles (SPVs) ......................................................................................................................................
(4) Hedge funds .................................................................................................................................................................
(5) Miscellaneous ...............................................................................................................................................................
d. With nonfinancial ................................................................................................................................................................
3. Multiname Instruments .............................................................................................................................................................
a. With reporting dealers ..........................................................................................................................................................
b. With central counterparties ...................................................................................................................................................
c. With other financial institutions, of which: .................................................................................................................................
(1) Banks and securities firms ...............................................................................................................................................
(2) Insurance firms .............................................................................................................................................................
(3) Special purpose vehicles (SPVs) ......................................................................................................................................
(4) Hedge funds .................................................................................................................................................................
(5) Miscellaneous ...............................................................................................................................................................
d. With nonfinancial ................................................................................................................................................................
Bought
Sold
Bought
Sold
Over one year,
up to five years
Bought
Sold
Over five years
Bought
Sold
X201
X231
X261
X291
X321
X351
X381
X411
X202
X232
X262
X292
X322
X352
X382
X412
X203
X233
X263
X293
X323
X353
X383
X413
X204
X234
X264
X294
X324
X354
X384
X414
X205
X235
X265
X295
X325
X355
X385
X415
X206
X236
X266
X296
X326
X356
X386
X416
X207
X237
X267
X297
X327
X357
X387
X417
X208
X238
X268
X298
X328
X358
X388
X418
X209
X239
X269
X299
X329
X359
X389
X419
X210
X240
X270
X300
X330
X360
X390
X420
X211
X241
X271
X301
X331
X361
X391
X421
X212
X242
X272
X302
X332
X362
X392
X422
X213
X243
X273
X303
X333
X363
X393
X423
X214
X244
X274
X304
X334
X364
X394
X424
X215
X245
X275
X305
X335
X365
X395
X425
X216
X246
X276
X306
X336
X366
X396
X426
X217
X247
X277
X307
X337
X367
X397
X427
X218
X248
X278
X308
X338
X368
X398
X428
X219
X249
X279
X309
X339
X369
X399
X429
X220
X250
X280
X310
X340
X370
X400
X430
X221
X251
X281
X311
X341
X371
X401
X431
X222
X252
X282
X312
X342
X372
X402
X432
X223
X253
X283
X313
X343
X373
X403
X433
X224
X254
X284
X314
X344
X374
X404
X434
X225
X255
X285
X315
X345
X375
X405
X435
X226
X256
X286
X316
X346
X376
X406
X436
X227
X257
X287
X317
X347
X377
X407
X437
X228
X258
X288
X318
X348
X378
X408
X438
X229
X259
X289
X319
X349
X379
X409
X439
X230
X260
X290
X320
X350
X380
X410
X440
1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.
06/2016
FR 2436
Page 11 of 16
Table 4B—Credit Default Swaps by Rating Category
Notional Amounts Outstanding
Country
Code
Name
(A)
Total
(B)
Contracts involving reference entities with a rating of:
DERV
U.S. Dollar Amounts in Millions
T349
Instruments
1. All Contracts ................................................................................................................................................
a. With reporting dealers ................................................................................................................................
b. With central counterparties .........................................................................................................................
c. With other financial institutions, of which: .......................................................................................................
(1) Banks and securities firms .....................................................................................................................
(2) Insurance firms ...................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................
(4) Hedge funds .......................................................................................................................................
(5) Miscellaneous .....................................................................................................................................
d. With nonfinancial ......................................................................................................................................
2. Single-name Instruments ................................................................................................................................
a. With reporting dealers ................................................................................................................................
b. With central counterparties .........................................................................................................................
c. With other financial institutions, of which: .......................................................................................................
(1) Banks and securities firms .....................................................................................................................
(2) Insurance firms ...................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................
(4) Hedge funds .......................................................................................................................................
(5) Miscellaneous .....................................................................................................................................
d. With nonfinancial ......................................................................................................................................
3. Multiname Instruments ...................................................................................................................................
a. With reporting dealers ................................................................................................................................
b. With central counterparties .........................................................................................................................
c. With other financial institutions, of which: .......................................................................................................
(1) Banks and securities firms .....................................................................................................................
(2) Insurance firms ...................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................
(4) Hedge funds .......................................................................................................................................
(5) Miscellaneous .....................................................................................................................................
d. With nonfinancial ......................................................................................................................................
Bought
Sold
AAA or AA
Bought
Sold
A or BBB
Bought
Sold
BB and below
Bought
Sold
Not rated
Bought
Sold
X441
X471
X501
X531
X561
X591
X621
X651
X681
X711
X442
X472
X502
X532
X562
X592
X622
X652
X682
X712
X443
X473
X503
X533
X563
X593
X623
X653
X683
X713
X444
X474
X504
X534
X564
X594
X624
X654
X684
X714
X445
X475
X505
X535
X565
X595
X625
X655
X685
X715
X446
X476
X506
X536
X566
X596
X626
X656
X686
X716
X447
X477
X507
X537
X567
X597
X627
X657
X687
X717
X448
X478
X508
X538
X568
X598
X628
X658
X688
X718
X449
X479
X509
X539
X569
X599
X629
X659
X689
X719
X450
X480
X510
X540
X570
X600
X630
X660
X690
X720
X451
X481
X511
X541
X571
X601
X631
X661
X691
X721
X452
X482
X512
X542
X572
X602
X632
X662
X692
X722
X453
X483
X513
X543
X573
X603
X633
X663
X693
X723
X454
X484
X514
X544
X574
X604
X634
X664
X694
X724
X455
X485
X515
X545
X575
X605
X635
X665
X695
X725
X456
X486
X516
X546
X576
X606
X636
X666
X696
X726
X457
X487
X517
X547
X577
X607
X637
X667
X697
X727
X458
X488
X518
X548
X578
X608
X638
X668
X698
X728
X459
X489
X519
X549
X579
X609
X639
X669
X699
X729
X460
X490
X520
X550
X580
X610
X640
X670
X700
X730
X461
X491
X521
X551
X581
X611
X641
X671
X701
X731
X462
X492
X522
X552
X582
X612
X642
X672
X702
X732
X463
X493
X523
X553
X583
X613
X643
X673
X703
X733
X464
X494
X524
X554
X584
X614
X644
X674
X704
X734
X465
X495
X525
X555
X585
X615
X645
X675
X705
X735
X466
X496
X526
X556
X586
X616
X646
X676
X706
X736
X467
X497
X527
X557
X587
X617
X647
X677
X707
X737
X468
X498
X528
X558
X588
X618
X648
X678
X708
X738
X469
X499
X529
X559
X589
X619
X649
X679
X709
X739
X470
X500
X530
X560
X590
X620
X650
X680
X710
X740
1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.
06/2016
FR 2436
Page 12 of 16
Table 4C—Credit Default Swaps by Sector of Reference Entity
Notional Amounts Outstanding
Country
Code
Name
(A)
Total
(B)
Contracts involving reference entities that are:
Sovereigns
Financial
firms
DERV
U.S. Dollar Amounts in Millions
T350
Instruments
1. All Contracts .....................................................................................................................
a. With reporting dealers .....................................................................................................
b. With central counterparties ..............................................................................................
c. With other financial institutions, of which: ............................................................................
(1) Banks and securities firms ..........................................................................................
(2) Insurance firms ........................................................................................................
(3) Special purpose vehicles (SPVs) .................................................................................
(4) Hedge funds ............................................................................................................
(5) Miscellaneous ..........................................................................................................
d. With nonfinancial ...........................................................................................................
2. Single-name Instruments .....................................................................................................
a. With reporting dealers .....................................................................................................
b. With central counterparties ..............................................................................................
c. With other financial institutions, of which: ............................................................................
(1) Banks and securities firms ..........................................................................................
(2) Insurance firms ........................................................................................................
(3) Special purpose vehicles (SPVs) .................................................................................
(4) Hedge funds ............................................................................................................
(5) Miscellaneous ..........................................................................................................
d. With nonfinancial ...........................................................................................................
3. Multiname Instruments ........................................................................................................
a. With reporting dealers .....................................................................................................
b. With central counterparties ..............................................................................................
c. With other financial institutions, of which: ............................................................................
(1) Banks and securities firms ..........................................................................................
(2) Insurance firms ........................................................................................................
(3) Special purpose vehicles (SPVs) .................................................................................
(4) Hedge funds ............................................................................................................
(5) Miscellaneous ..........................................................................................................
d. With nonfinancial ...........................................................................................................
Bought
Sold
Bought
Sold
Bought
Sold
Nonfinancial
firms
Bought
Sold
Asset-backed
securities
Bought
Sold
Multiple
sectors
Bought
Sold
X741
X771
X801
X831
X861
X891
X921
X951
X981
Y002
Y022
Y042
X742
X772
X802
X832
X862
X892
X922
X952
X982
Y003
Y023
Y043
X743
X773
X803
X833
X863
X893
X923
X953
X983
Y004
Y024
Y044
X744
X774
X804
X834
X864
X894
X924
X954
X984
Y005
Y025
Y045
X745
X775
X805
X835
X865
X895
X925
X955
X985
Y006
Y026
Y046
X746
X776
X806
X836
X866
X896
X926
X956
X986
Y007
Y027
Y047
X747
X777
X807
X837
X867
X897
X927
X957
X987
Y008
Y028
Y048
X748
X778
X808
X838
X868
X898
X928
X958
X988
Y009
Y029
Y049
X749
X779
X809
X839
X869
X899
X929
X959
X989
Y010
Y030
Y050
X750
X780
X810
X840
X870
X900
X930
X960
X990
Y011
Y031
Y051
X751
X781
X811
X841
X871
X901
X931
X961
X752
X782
X812
X842
X872
X902
X932
X962
X753
X783
X813
X843
X873
X903
X933
X963
X754
X784
X814
X844
X874
X904
X934
X964
X755
X785
X815
X845
X875
X905
X935
X965
X756
X786
X816
X846
X876
X906
X936
X966
X757
X787
X817
X847
X877
X907
X937
X967
X758
X788
X818
X848
X878
X908
X938
X968
X759
X789
X819
X849
X879
X909
X939
X969
X760
X790
X820
X850
X880
X910
X940
X970
X761
X791
X821
X851
X881
X911
X941
X971
X991
Y012
Y032
Y052
X762
X792
X822
X852
X882
X912
X942
X972
X992
Y013
Y033
Y053
X763
X793
X823
X853
X883
X913
X943
X973
X993
Y014
Y034
Y054
X764
X794
X824
X854
X884
X914
X944
X974
X994
Y015
Y035
Y055
X765
X795
X825
X855
X885
X915
X945
X975
X995
Y016
Y036
Y056
X766
X796
X826
X856
X886
X916
X946
X976
X996
Y017
Y037
Y057
X767
X797
X827
X857
X887
X917
X947
X977
X997
Y018
Y038
Y058
X768
X798
X828
X858
X888
X918
X948
X978
X998
Y019
Y039
Y059
X769
X799
X829
X859
X889
X919
X949
X979
X999
Y020
Y040
Y060
X770
X800
X830
X860
X890
X920
X950
X980
Y001
Y021
Y041
Y061
1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.
Not Reported
06/2016
FR 2436
Page 13 of 16
Table 4D—Multiname Credit Default Swaps, of which Contracts that are Index Products
Notional Amounts Outstanding
Country
Code
Name
(A)
Total
(B)
Contracts that are
index products
DERV
U.S. Dollar Amounts in Millions
T351
Instruments
1. Multiname Instruments ...................................................................................................................................................................................................................
a. With reporting dealers ................................................................................................................................................................................................................
b. With central counterparties .........................................................................................................................................................................................................
c. With other financial institutions, of which: .......................................................................................................................................................................................
(1) Banks and securities firms .....................................................................................................................................................................................................
(2) Insurance firms ...................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................................................................................................
(4) Hedge funds .......................................................................................................................................................................................................................
(5) Miscellaneous .....................................................................................................................................................................................................................
d. With nonfinancial ......................................................................................................................................................................................................................
Bought
Sold
Bought
Sold
Y062
Y072
Y082
Y092
Y063
Y073
Y083
Y093
Y064
Y074
Y084
Y094
Y065
Y075
Y085
Y095
Y066
Y076
Y086
Y096
Y067
Y077
Y087
Y097
Y068
Y078
Y088
Y098
Y069
Y079
Y089
Y099
Y070
Y080
Y090
Y100
Y071
Y081
Y091
Y101
1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
Table 4E—Credit Default Swaps by Location of Counterparty
Notional Amounts Outstanding
Aggregated Data
Contracts involving counterparties with:
Country
Code
Name
(B)
Reporting Dealers
(A)
Total
(B)
Non-Reporters
DERV
U.S. Dollar Amounts in Millions
T352
Instruments
1. All Contracts .....................................................................................................................................................................................................
a. With all counterparties in:
(1) United States ...........................................................................................................................................................................................
(2) Japan.....................................................................................................................................................................................................
(3) Western Europe1 ......................................................................................................................................................................................
(4) Latin America...........................................................................................................................................................................................
(5) Other Asian countries (except Japan) ...........................................................................................................................................................
(6) All other countries .....................................................................................................................................................................................
Bought
Sold
Bought
Sold
Bought
Sold
Y102
Y109
Y116
Y123
Y130
Y137
Y103
Y110
Y117
Y124
Y131
Y138
Y104
Y111
Y118
Y125
Y132
Y139
Y105
Y112
Y119
Y126
Y133
Y140
Y106
Y113
Y120
Y127
Y134
Y141
Y107
Y114
Y121
Y128
Y135
Y142
Y108
Y115
Y122
Y129
Y136
Y143
1.
1.a.
1.a.(1)
1.a.(2)
1.a.(3)
1.a.(4)
1.a.(5)
1.a.(6)
1. Western Europe consists of Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal, Spain, Sweden, Switzerland, and the United Kingdom. Further details on the region of counterparty are
provided in Annex III.
06/2016
FR 2436
Page 14 of 16
Table 4F—Credit Default Swaps
Gross Positive and Negative Fair Values
Country
Code
Name
Gross
positive
fair values
Gross
negative
fair values
DERV
U.S. Dollar Amounts in Millions
T353
Instruments
1. All Contracts .............................................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................
2. Single-name Instruments .............................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................
3. Multiname Instruments ................................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................
Y144
Y174
Y145
Y175
Y146
Y176
Y147
Y177
Y148
Y178
Y149
Y179
Y150
Y180
Y151
Y181
Y152
Y182
Y153
Y183
Y154
Y184
Y155
Y185
Y156
Y186
Y157
Y187
Y158
Y188
Y159
Y189
Y160
Y190
Y161
Y191
Y162
Y192
Y163
Y193
Y164
Y194
Y165
Y195
Y166
Y196
Y167
Y197
Y168
Y198
Y169
Y199
Y170
Y200
Y171
Y201
Y172
Y202
Y173
Y203
1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.
06/2016
FR 2436
Page 15 of 16
Table 4G—Counterparty Credit Exposure from Credit Default Swaps
Net Positive and Net Negative Fair Values1
Country
Code
Name
DERV
U.S. Dollar Amounts in Millions
T354
Instruments
1. All Contracts .............................................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................
Claims
Liabilities
Y204
Y214
Y205
Y215
Y206
Y216
Y207
Y217
Y208
Y218
Y209
Y219
Y210
Y220
Y211
Y221
Y212
Y222
Y213
Y223
1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
1. CDS contracts should be netted in accordance with FIN 39, but only against other CDS contracts.
Table 4H—Synthetic Collateralized Debt Obligations
Notional Amounts Outstanding
Country
Code
Name
DERV
T355
U.S. Dollar Amounts in Millions
1. All Synthetic Collateralized Debt Obligations (CDOs) .........................................................................................................................................................................................
Bought
Y224
Sold
Y225
1.
06/2016
FR 2436
Page 16 of 16
Table 5—Notional Amounts of OTC Derivatives Contracts by Remaining Maturity
Country
Code
Name
DERV
T356
U.S. Dollar Amounts in Millions
1. Foreign Exchange Contracts ....................................................................................................
a. With reporting dealers .........................................................................................................
b. With central counterparties ..................................................................................................
c. With other financial institutions ..............................................................................................
d. With nonfinancial customers ................................................................................................
2. Interest Rate Contracts ...........................................................................................................
a. With reporting dealers .........................................................................................................
b. With central counterparties ..................................................................................................
c. With other financial institutions ..............................................................................................
d. With nonfinancial customers ................................................................................................
3. Equity Contracts ....................................................................................................................
a. With reporting dealers .........................................................................................................
b. With central counterparties ..................................................................................................
c. With other financial institutions ..............................................................................................
d. With nonfinancial customers ................................................................................................
Forwards and swaps
Bought options
Sold options
Total
One year
Over
Over
One year
Over
Over
One year
Over
Over
One year
Over
Over
or less one year, five years or less one year, five years or less one year, five years or less one year, five years
through
through
through
through
five years
five years
five years
five years
Y226
Y238
Y250
Y262
Y274
Y286
Y298
Y310
Y322
Y334
Y346
Y358
Y227
Y239
Y251
Y263
Y275
Y287
Y299
Y311
Y323
Y335
Y347
Y359
FM28
FM29
FM30
FM31
FM32
FM33
FM34
FM35
FM36
FM37
FM38
FM39
Y228
Y240
Y252
Y264
Y276
Y288
Y300
Y312
Y324
Y336
Y348
Y360
Y229
Y241
Y253
Y265
Y277
Y289
Y301
Y313
Y325
Y337
Y349
Y361
Y230
Y242
Y254
Y266
Y278
Y290
Y302
Y314
Y326
Y338
Y350
Y362
Y231
Y243
Y255
Y267
Y279
Y291
Y303
Y315
Y327
Y339
Y351
Y363
FM40
FM41
FM42
FM43
FM44
FM45
FM46
FM47
FM48
FM49
FM50
FM51
Y232
Y244
Y256
Y268
Y280
Y292
Y304
Y316
Y328
Y340
Y352
Y364
Y233
Y245
Y257
Y269
Y281
Y293
Y305
Y317
Y329
Y341
Y353
Y365
Y234
Y246
Y258
Y270
Y282
Y294
Y306
Y318
Y330
Y342
Y354
Y366
Y235
Y247
Y259
Y271
Y283
Y295
Y307
Y319
Y331
Y343
Y355
Y367
FM52
FM53
FM54
FM55
FM56
FM57
FM58
FM59
FM60
FM61
FM62
FM63
Y236
Y248
Y260
Y272
Y284
Y296
Y308
Y320
Y332
Y344
Y356
Y368
Y237
Y249
Y261
Y273
Y285
Y297
Y309
Y321
Y333
Y345
Y357
Y369
1.
1.a.
1.b.
1.c.
1.d.
2.
2.a.
2.b.
2.c.
2.d.
3.
3.a.
3.b.
3.c.
3.d.
Table 6—Credit Exposures and Liabilities Arising from OTC Derivatives Contracts
Country
Code
Name
DERV
T357
U.S. Dollar Amounts in Millions
1. Gross positive/negative fair value ......................................................................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................................................................................................
b. With central counterparties ..........................................................................................................................................................................................................................
2. Fair value after netting agreements ....................................................................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................................................................................................
b. With central counterparties ..........................................................................................................................................................................................................................
Credit
Exposures
Liabilities
Y370
Y374
Y371
Y375
FM64
FM65
Y372
Y376
Y373
Y377
FM66
FM67
1.
1.a.
1.b.
2.
2.a.
2.b.
06/2016
| File Type | application/pdf |
| File Title | Semiannual Report of Derivatives Activity—FR 2436 |
| Subject | Semiannual Report of Derivatives Activity—FR 2436 |
| Author | Federal Reserve Board |
| File Modified | 2019-07-26 |
| File Created | 2016-03-31 |