Semiannual Report of Derivatives Activity

Board of Governors of the Federal Reserve System

Instructions for Preparation of

Semiannual Report of Derivatives Activity

Reporting Form FR 2436
Effective June 30, 2016

This report is authorized by law [12 U.S.C. §§ 248(a), 353-359, and 461]. Your voluntary cooperation in submitting this report is
needed to make the results comprehensive, accurate, and timely. The Federal Reserve System regards the individual institution
information provided by each respondent as confidential [5 U.S.C. §552(b)(4)]. If it should be determined that any information
collected on this form must be released, other than in the aggregate in ways that will not reveal the amounts reported by any one
institution, respondents will be notified.

Contents for
FR 2436 Instructions

SEMIANNUAL REPORT OF DERIVATIVES ACTIVITY INSTRUCTIONS
General Comments and Instructions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reporting Content . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reporting Basis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Currency of Reporting and Currency Conversion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rounding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reporting and Filing Dates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1
1
1
1
2
2

Categories for Reporting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2

1. Market Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.1 Foreign exchange and gold contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.2 Single-currency interest rate contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.3 Equity and commodity-linked contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.4 Credit default swap contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1.5 Synthetic tranched structured finance instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2
2
2
2
3
3

2. Measures of Positions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.1 Notional amounts outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.2 Gross market values . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3 Credit exposures and liabilities from credit default swap contracts. . . . . . . . . . . . . . . . . .
2.4 Credit exposures and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3
3
4
4
5

3. Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.1 Forward contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.2 Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.3 OTC options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.4 Credit default swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3.5 Synthetic asset-backed securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

5
5
5
5
5
6

FR 2436
Contents June 2016

Contents-1

Contents

4. Currency, Equity Market, and Reference Entity Categories . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.1 Foreign exchange and gold and single-currency interest rate contracts . . . . . . . . . . . . . . .
4.2 Equity and commodity-linked contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4.3 Credit default swap contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6
6
7
8

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

9
9
9
10

6. Maturities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

10

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

10
10

Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

11

Annex I: List of Reporting Institutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Annex II: Equity Derivative Regional Breakdown Detail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Annex III: Credit Default Swap Counterparty Regional Breakdown Detail . . . . . . . . . . . . . . . .

Contents-2

FR 2436
Contents June 2016

INSTRUCTIONS FOR PREPARATION OF

Semiannual Report of Derivatives
Activity
FR 2436

GENERAL INSTRUCTIONS
General Comments and Instructions
These instructions are for the United States portion of the
semiannual derivatives activity reporting program undertaken by the central banks of the G-10 member nations.
The primary objective of the program is to obtain reasonably comprehensive and internationally consistent data
on the size and structure of global over-the-counter
(OTC) financial derivatives markets.
These instructions were created to conform as closely as
possible to other Federal Reserve and FFIEC reports
covering similar material, specifically the Consolidated
Financial Statements for Bank Holding Companies, OffBalance-Sheet Items (FR Y-9C, Schedule HC-L), and the
Reports of Condition and Income (Call Report), OffBalance-Sheet Items (FFIEC 031, Schedule RC-L). Institutions may find that they can draw substantially on the
interpretations and methodologies already established for
completing either the Call Report or the FR Y-9C when
completing this voluntary report. Specifically, the data to
be reported in the double-scored boxes of the tables are
based on data required from banks on the FFIEC 031 and
from bank holding companies on the FR Y-9C.
Despite the similarities with these reports, however, this
report makes one significant departure in reporting methodology. In contrast with other FFIEC or FR reports or
published financial statements, this report requests that
reporters break down complex contracts and slot their
components into the risk or instrument categories with
which they correspond. This departure from the method
in which data is reported in the FR Y-9C and the FFIEC
031 is very useful in assessing market sizes of various
market risk and instrument categories. If your institution
is not currently able to disaggregate contracts in the way
requested, however, it may report contracts in only one
market risk or instrument category.
FR 2436
General Instructions June 2016

Annex I provides a list of all reporting institutions
worldwide. Annex II provides lists of countries included
for each region for which a breakdown is requested in
Tables 3A to 3C. Annex III provides lists of countries
included for each region of credit default swap counterparty for which a breakdown is requested in Table 4E.

Reporting Content:
This report collects data on your institution’s open OTC
derivatives contracts. An OTC derivative is a financial
instrument whose value depends on, or is derived from,
the value of an underlying asset, reference rate, or index
and which is not traded on an organized exchange.
Exclude on-balance-sheet financial instruments that contain embedded derivatives. For example, a bank granting
a mortgage loan would generally provide the borrower an
embedded option to prepay the remaining principal outstanding on the loan at any time. This contract would not
be reported.
Exclude spot transactions with regular way settlements.

Reporting Basis:
Your institution should report on a consolidated basis.
Please use the consolidation guidelines indicated in the
latest version of the FR Y-9C. Do not report OTC
derivatives contracts between affiliates of your institution.

Currency of Reporting and Currency
Conversion:
Report data in US dollars. Convert non-dollar amounts
into US dollars using the closing exchange rates on the
as-of date. Convert contracts that involve the exchange of
two currencies other than the US dollar by calculating the
US dollar equivalent of only the purchase side of the
transaction (even if, in certain circumstances, the contract
GEN-1

General Instructions

is to be reported under both currencies, as explained in
Section 4.1).

Rounding:
Round to the nearest million dollars; do not use decimals.

Reporting and Filing dates:
Report data as of close of business on the last calendar
day of June or December, as appropriate. Banking institutions should use the definition of close of business
provided in the FFIEC 031 (Call Report). Reporters
which find it difficult to report as of these dates
should report as of the date they use for other financial
and regulatory reporting. Submit the completed report
within 75 calendar days of the reporting date to the Federal Reserve Bank of New York electronically. Reporters
should contact Federal Reserve Bank of New York
staff or go to www.frbservices.org/centralbank/
reportingcentral/index.html for procedures for electronic
submission.

Categories for Reporting
The FR 2436 reporting forms comprise a set of tables
which are designed to categorize the data on derivatives
by several criteria. Tables 1, 2, 3, and 4 separate the data
by market risk. Pages A, B, and C within Tables 1 to 3
and pages A to H within Table 4 separate the data by
various measures of positions; within each page, the rows
disaggregate the data by counterparty and, in most cases,
by instrument. In Tables 1 to 3 and pages B to H within
Table 4, the columns disaggregate by details of the
underlying risk—currency, country, credit rating, sector,
or product type. Tables 4A-4E and Table 4H also disaggregate the data in pairs of columns indicating whether
credit protection is bought or sold. Tables 4A and 5
categorize the data by maturity. Tables 4G and 6 ask for
data on credit exposures and liabilities arising from OTC
derivatives contracts.
1. Market Risk
1.1

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

Report foreign exchange and gold contracts in Tables 1A
to 1C.
Report data on foreign exchange contracts on a singlecurrency basis. That is, each contract will be reported
GEN-2

twice, once under each currency making up either the
purchase or sale side of the contract. (For a more
complete explanation and an illustrative example, see
Section 4.1).
Report gold contracts (as an addition to foreign exchange
contracts) in column D. Gold contracts include all deals
involving direct exposure to the price of that commodity.
(An option contract on a gold-mining company, for
instance, would not be included in this definition; an
option contract on a certain quantity of gold would be
included). Do not disaggregate data on gold contracts by
counterparty type in Tables 1A, 1B and 1C, or by
instrument type in Tables 1B and 1C. Do not report the
currency side of gold contracts under columns B and C.
For example, for a forward contract calling for the
purchase of gold with dollars, do not report the dollar
side of the contract under the dollar column in column B.
1.2

Single-currency interest rate contracts
(Tables 2A, 2B, and 2C)

Report single-currency interest rate derivatives in Tables
2A to 2C.
Include only contracts where all the legs are exposed to
only one currency. Exclude contracts involving the
exchange of different currencies (for example, crosscurrency swaps) or having exposure to an exchange rate,
and report these as foreign exchange contracts in Table 1.
Report as forward contracts unsettled securities transactions that exceed the regular way settlement time limit
that is customary in each relevant market. For example, a
trade of U.S. Treasury bonds which will settle in three
days should be considered a forward contract.
1.3

Equity and commodity-linked contracts
(Tables 3A, 3B, and 3C)

Report equity contracts (columns A and B) and contracts
linked to a commodity other than gold (columns C and
D) in Tables 3A to 3C.
Report in column C contracts that have a return, or a
portion of their return, linked to the price of precious
metals (other than gold). Report in column D other
commodity-linked contracts.
Do not disaggregate data in columns C and D by
counterparty type in Tables 3A, 3B and 3C, or by
instrument type in Tables 3B and 3C. Do not include data
FR 2436
General Instructions June 2016

General Instructions

on precious metals or other commodity-linked contracts
in the regional breakdown of column B.
1.4

Credit default swap contracts
(Tables 4A, 4B, 4C, 4D, 4E, 4F, 4G, and 4H)

Report credit default swap contracts in Tables 4A to 4H.
Include credit default swaps in both the trading and the
banking book. Report all credit default swap instruments
in Tables 4A, 4B, 4C, 4E, 4F, and 4G. In Table 4D report
only multiname instruments. In Table 4H, report only
synthetic tranched structured finance instruments (defined
below).
In Tables 4A to 4D, report the total notional amount of
credit default swap contracts in column A; for the same
instruments, these amounts should be the same across all
four tables. Report in column B of Table 4A breakdowns
of the amounts in column A by remaining maturity of the
contracts. Report in column B of Tables 4B to 4D
breakdowns of the amounts in column A by the characteristics of the reference entities or assets. Report in
column A of Table 4E a breakdown the amounts in the
first row (‘‘All Contracts’’) by region of the counterparty.
In addition, report in columns B and C of Table 4E
breakdowns of the amount in column A by counterparty
type.
1.5 Synthetic tranched structured finance
instruments
(Table 4H)
Report outstanding synthetic tranched structured finance
instruments bought and sold in Table 4H. Synthetic
tranched structured finance products (such as synthetic
collateralized debt obligations of CDOs) use credit
derivatives and a reference pool of assets (such as whole
loans, securitized assets, and bonds) to create a tradable
capital market debt instrument. A synthetic instrument
means that the investors do not have a claim against a
reference pool of assets; rather, the originating bank
merely transfers the inherent credit risk of the reference
pool of assets by such means as a credit default swap, a
total return swap, or another arrangement in which the
counterparty agrees upon specific contractual covenants
to cover a predetermined amount of losses in the loan
pool.
FR 2436
General Instructions June 2016

2. Measures of Positions
Cross-currency deals actually passing through a vehicle
currency should be recorded as two separate contracts
against the vehicle currency. However, cross-currency
deals divided only for legal and/or bookkeeping purposes
into two deals against a vehicle currency should not be
recorded as two separate contracts against the vehicle
currency. (See Section 4.1 for a more complete explanation.)
2.1

Notional amounts outstanding

(Tables 1A, 2A, 3A, 4A, 4B, 4C, 4D, 4E, 4H, and 5)
Notional amount outstanding is defined as the gross
nominal or notional value of all deals concluded and not
yet settled at the reporting date. Notional amounts are to
be reported as absolute values. For contracts with variable notional principal amounts, report the notional principal amounts as of the report date.
For a derivatives contract with a multiplier component,
report the contract’s effective notional amount or par
value. For example, a swap contract with a stated notional
amount of $1,000,000 whose terms called for quarterly
settlement of the difference between 5 percent and
LIBOR multiplied by 10 has an effective notional amount
of $10,000,000.
No netting of contracts is permitted for purposes of this
item. Therefore, do not net: (1) obligations of the reporting institution to purchase from third parties against the
institution’s obligations to sell to third parties, (2) sold
options against bought options, or (3) contracts subject to
bilateral or multilateral netting agreements.
Forward contracts: Do not report the par value of
financial instruments intended to be delivered under
forward contracts if this par value differs from the par
value of the contracts themselves. For example, this
instruction applies to mortgage-backed forward contracts
where the marketplace allows some ‘‘slack’’ to be built
into contract terms for variances in, among other things,
coupon rates and maturities, for what is deemed good
delivery.
Equity and commodity-linked contracts: (Table 3A)
Report for an equity or commodity contract the quantity
(for example, number of units) of the commodity or
equity product contracted for purchase or sale multiplied
by the contract price of a unit.
GEN-3

General Instructions

For commodity contracts (columns C and D, Table 3A)
with multiple exchanges of principal, report the contractual amount multiplied by the number of remaining
payments (that is, exchanges of principal) in the contract.
For example, say a commodity contract calls for the
exchange of fifty thousand barrels of oil per quarter at a
fixed price of $20 per barrel; the contract’s initial duration is four quarters. If two exchanges (quarters) remain
in the contract, the notional amount of the contract would
be calculated as follows:
50,000 barrels x $20 x 2 = $2,000,000.
However, in the case of an option such as a cap or floor,
the notional amount would not be multiplied by the
number of payment dates since the principal is not
exchanged in such contracts.
2.2

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

Report as fair value the amount at which a contract could
be exchanged in a current transaction between willing
parties, other than in a forced or liquidation sale. If a
quoted market price is available for a contract, report the
number of trading units of the contract multiplied by that
market price. If a quoted market price is not available,
report the institution’s best estimate of fair value based
on the quoted market price of a similar contract or on
valuation techniques such as discounted cash flows. (See
FASB Statement No. 107 and FASB Statement No. 140,
for additional information about estimating fair value.)
Determine the fair value of derivatives contracts in the
same manner that is used to determine the fair value of
these contracts for other financial reporting purposes. For
example, for interest rate swaps, fair value may include
accrued net settlement amounts that have not been paid
or received. Otherwise, do not combine, aggregate, or net
the reported fair value with the market or book value of
any other derivative or asset or liability.
Gross fair value is defined as the gross fair value of all
open contracts before counterparty or any other netting.
Thus, the gross positive fair value of a firm’s outstanding
contracts is the sum of the fair values of all contracts that
are in a current gain position to the reporter at current
market prices (and which therefore, if they were immediately settled, would represent claims on counterparties).
The gross negative fair value is the sum of the values of
all contracts that have a negative value on the reporting
GEN-4

date (that is, that are in a current loss position and which
therefore, if they were immediately settled, would represent liabilities of the firm to its counterparties).
The term gross is used to indicate that contracts with
positive and negative values with the same counterparty
should not be netted. Do not offset against each other the
sums of positive and negative contract values within a
market risk category such as foreign exchange, interest
rate contracts, equities, or commodities.
2.3 Credit exposures and liabilities from credit
default swap contracts
(Table 4G)
Report in Table 4G the reporter’s credit exposure and
liability to counterparties that arise from only credit
default swap contracts. Report in the net positive fair
values (claims) column the sum of all credit default swap
contracts with a positive fair value, where netting of
credit default swap contracts with a negative fair value is
permitted if the contracts are with the same counterparty
and the reporter has a legally enforceable right of setoff.
(If, for a given counterparty with which the reporter has a
legally enforceable right of setoff, the absolute value of
credit default swap contracts with a negative fair value
exceeds the value of credit default swap contracts with a
positive fair value, do not add the net for that counterparty to this column; the net should be added to the net
negative fair values (liabilities) column. Similarly, report
in the net negative fair values (liabilities) column the sum
of all credit default swap contracts with a negative fair
value, where netting of credit default swap contracts with
a positive fair value is permitted if the contracts are with
the same counterparty and the reporter has a legally
enforceable right of setoff. (If, for a given counterparty
with which the reporter has a legally enforceable right of
setoff, the value of credit default swap contracts with a
positive fair value exceeds the absolute value of credit
default swap contracts with a negative fair value, do not
add a net for that counterparty to the column; the net
should be added to the net positive fair values (claims)
column.)
2.4

Credit exposures and liabilities
(Table 6)

In Table 6, report information on credit exposures and
liabilities arising from OTC derivatives contracts (excluding commodity contracts) with all counterparties and,
FR 2436
General Instructions June 2016

General Instructions

separately, with reporting dealers and with central counterparties as defined in Section 5. For contracts that have
a positive fair value, report the gross fair value of these
contracts, as well as their net fair value (that is, credit
exposure) after taking into account any legally enforceable bilateral netting agreements. For contracts that have
negative fair value, report the gross fair value of these
contracts, as well as the net fair value (that is, liabilities)
after taking into account any legally enforceable bilateral
netting arrangements.
Report data based only on foreign exchange, singlecurrency interest rate, equity, and credit default swap
contracts reported in Tables 1, 2, 3, and 4. Exclude gold
and commodity contracts in calculating your institution’s
responses for Table 6, as counterparty breakdowns are
not required for these contracts elsewhere.

3.

Instruments

3.1 Forward contracts (includes forwards, FX swaps,
and forward rate agreements)
Report forward contracts that have been entered into by
the reporting institution and are outstanding (that is, open
contracts) as of the report date. Contracts are outstanding
(open) until they have been canceled by acquisition or
delivery of the underlying financial instruments or settled
in cash. Such contracts can only be terminated, other than
by receipt of the underlying asset, by agreement of both
buyer and seller.
Exclude commitments to purchase and sell when-issued
securities. Also, exclude firm commitments to sell loans
secured by 1 to 4 family residential properties. Note that
this contrasts with the FFIEC 031 (Call Report) and FR
Y-9C instructions.
On Tables 1A to 1C: include both spot/forward and
forward/forward foreign exchange swaps. The two currency legs of a foreign exchange swap are considered to
be a single transaction, and the notional amount reported
should be calculated by reference to only one of its legs.
The contract should be reported, however, under both
currencies (in columns B and C). In the case of foreign
exchange swaps that are concluded as spot/forward transactions, report only the forward part of the deal. If, for
practical reasons, reporting institutions find it difficult to
distinguish between positions that relate to unsettled
foreign exchange spot transactions and the spot leg of
foreign exchange swaps, estimates may be used.
FR 2436
General Instructions June 2016

3.2 Swaps (includes currency swaps and
single-currency interest rate swaps)
Include forward starting swap contracts as swaps. Report
separately both forward parts of swaps executed on a
forward/forward basis. For swaps on a spot/forward
basis, report only the forward part of the transaction.
3.3

OTC options

Report swaptions (options to enter into swap contracts),
caps, floors, collars, and corridors as options. Exclude
options such as a call feature that are embedded in loans,
securities, and other on-balance-sheet assets (for example, a purchase option in an equipment lease contract)
and commitments to lend money.
Sold options:
Report information on the financial instruments or commodities that the reporting institution has, for compensation (such as a fee or premium), obligated itself to either
purchase or sell under OTC option contracts (sold
options) that are outstanding as of the report date. Include
sold caps, floors, swaptions, and the sold portion of
collars and corridors.
Bought options:
Report information on the financial instruments or commodities that the reporting institution has, for compensation, purchased the right to either purchase or sell under
OTC option contracts (bought options) that are outstanding as of the report date. Include bought caps, floors,
swaptions, and the purchased portion of collars and
corridors.
3.4

Credit default swaps

Report credit default swaps only. Exclude credit linked
notes, options on credit default swaps, and total return
swaps.
Credit default swaps sold:
Report information on credit default swap contracts that
the reporting institution has, for compensation (such as a
fee or premium), obligated itself to make a payment
contingent on the occurrence of a credit event on a
reference entity or asset.
Credit default swaps bought:
Report information on credit default swaps contracts that
the reporting institution has, for compensation, purchased
GEN-5

General Instructions

a payment contingent on the occurrence of a credit event
on a reference entity or asset.

to cover a predetermined amount of losses in a specified
underlying loan pool.

Single-name instruments:

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

Report information on credit default swap contracts in
which a single reference entity or reference asset is
specified.
Multi-name instruments:
Report information on credit default swap contracts in
which more than one reference entity is specified, such as
in portfolio or basket credit default swaps or credit
default swaps indices. A basket default swap is a credit
default swap where the credit event is the default of some
combination of the credits, in a specified basket of
credits. In the particular case of an nth-to-default basket,
the contingent payment is triggered by the nth default
among the basket of reference credits.
Also include multi-name credit default swaps that are
‘‘tranched’’ credit default swaps. Variations operate under
specifically tailored loss limits—these may include a
‘‘first-loss’’ tranched credit default swap, a ‘‘mezzanine’’
tranched credit default swap, and a senior (also known as
a ‘‘super-senior’’) tranched credit default swap.
Multi-name instruments, of which index products:
Report in Table 4D information about those multi-name
credit default swap contracts that are standardized CDS
contracts with constituent reference credits and a fixed
coupon that are determined by an administrator such as
CDS Index Company (which administers the CDX
indexes) or International Index Company (which administers the iTraxx indexes). Index products include tranches
of credit default swap indexes. Index products include, at
a minimum, any multi-name credit default swap contract
that is listed in Table 7 (‘‘All Indexes and Index Tranches’’)
of DTCC Deriv/SERV’s trade information warehouse
data.
3.5

Synthetic asset-backed securities

Report synthetic asset-backed securities bought and sold.
Synthetic asset-backed securities are defined as investment instruments for which investors do not have a claim
against a reference pool of assets; rather, the originator
merely transfers the inherent credit risk of the reference
pool of assets by such means as a credit default swap, a
total return swap, or another arrangement in which the
counterparty agrees upon specific contractual covenants
GEN-6

4. Currency, Equity Market, Reference Credit,
and Reference Entity Categories
4.1 Foreign exchange and gold and single-currency
interest rate contracts
(Tables 1 and 2)
On Tables 1 and 2, disaggregate the total data in column
A by currency.
As far as possible, classify contracts according to their
actual currency risk. For example, even if a JPY/GBP
contract is divided for legal and/or bookkeeping purposes
into a JPY/USD and a GBP/USD contract, record its
notional amount and market value under only the JPY
and GBP columns.
Break down data by each of the currencies of the G-10
countries (of which there are eleven, but now with only
seven currencies):
USD: United States dollar
JPY: Japanese yen
GBP: British pound
CHF: Swiss franc
CAD: Canadian dollar
SEK: Swedish krona
EUR: Euro
Additionally, data are to be broken out for any additional
currencies in which your institution has a material
amount of contracts outstanding. The following currencies are listed for convenience:
DKK Danish krona
AUD Australian dollar
HKD Hong Kong dollar
IDR Indonesian rupiah
MXP Mexican peso
NZD New Zealand dollar
SGD Singapore dollar
THB Thai baht
Do not break out data for any non-G-10 currency (including those listed above) unless, as of the reporting date,
your institution has a material amount of outstanding
contracts in that currency. List and break out data for any
unlisted currency for which your institution has material
FR 2436
General Instructions June 2016

General Instructions

amounts of contracts outstanding. Two blank columns
are provided for unspecified currencies. Additional columns may be inserted, if necessary.
For Tables 1 and 2, material amount means a notional
amount outstanding in a currency for a given market-risk
category which is greater than or equal to 2 percent of the
total notional amount outstanding in that market-risk
category. This criterion should be applied to each market
risk category separately (foreign exchange and gold and
single-currency interest rate derivatives).
For example, if more than 2 percent (in terms of total
notional amounts) of all single-currency interest rate
derivatives contracts are denominated in a certain nonG-10 currency, then the data for that currency should be
broken out for the single-currency interest rate category.
This does not mean that data for this currency must be
broken out for foreign exchange contracts unless the data
for the currency independently meet the 2 percent threshold as applied to that market-risk category.
Report data for foreign exchange contracts (Tables 1A to
1C) on a single-currency basis. That is, report each
contract twice under columns B and C, once for each
currency making up either the purchase or sale side of the
contract. The total of the amounts reported for individual
currencies in columns B and C will thus be 200 percent
of total amounts outstanding. In column A (Total FX
contracts) report 100 percent of total amounts outstanding.
For example, a reporting institution enters into a forward
contract to purchase British pound in exchange for
Japanese yen, with a notional principal equivalent to
$100 million and a gross positive fair value of $2 million.
In the table requesting notional amounts outstanding
(Table 1A), for instance, the reporting institution would
report $100 million in the GBP column and $100 million
in the JPY column. In the table requesting gross positive
fair value (Table 1B), the institution would report $2
million in both the GBP and JPY columns. In the table
requesting gross negative fair value (Table 1C), the
institution would not report this contract, because it does
not have a negative fair value.
4.2

equity market. The value in each line of column A should
equal the sum of the values in each line of column B.
Report equity-linked contracts (Table 3A to 3C) according to the region or country of the equity market or stock
index to which they are referenced:
- United States
- Japan
- Europe (excluding emerging markets in
Eastern Europe)
- Latin America
- Other Asia
- Other
See Annex II for a detailed description of the countries
included in each region.
Report contracts based on equity baskets that are constructed predominantly with equities or equity indexes
from a single region under the respective region. For
example, if in your judgment the predominant components of an equity basket are Latin American equities,
report the contract under the Latin America column.
Report under the Other column contracts based on equity
baskets whose components are geographically diversified
(that is, not predominantly from a single region).
Reporters may need to exercise judgment in the compilation of regional allocations.
For Table 3, material amount means a notional amount
outstanding referenced to a given country or region
which is greater than or equal to 2 percent of the total
notional amount outstanding in the market risk category.
Contracts referenced to countries or regions for which
your institution has an immaterial amount of contracts
(less than 2 percent of the total notional value of equity
and commodity contracts) may be allocated to the Other
category. For example, if less than 2 percent of the total
notional value of your institution’s equity and commodity derivatives contracts are referenced to Latin American
stocks or stock indexes, then you may include these
contracts under the Other category and leave the Latin
America column blank.
For commodity derivatives, no further breakdown by
market-risk factor is requested.

Equity and Commodity-Linked Contracts
(Table 3)

In Table 3, disaggregate the total values in column A by
FR 2436
General Instructions June 2016

GEN-7

General Instructions

4.3

Credit default swap contracts
(Table 4)

In Tables 4B and 4C, report the notional values of all,
single-name, and multi-name credit default swaps in
column A by characteristics of the underlying reference
entity or obligation. The value in each line of column A
should equal the sum of the values in each line of
column B.
Report the rating of the underlying reference obligation(s) for all, single-name, and multi-name instruments
in column B of Table 4B. Report the current rating, not
the rating at inception. Report the following categories:
- high investment grade (AAA or AA)
- low investment grade (A or BBB)
- multiple investment grade ratings
- below investment grade (BB and below)
- not rated
- multiple ratings, including below investment
grade or unrated
If no public ratings are available, but internal ratings are
available, please modify the internal ratings to correspond to the categories above, as appropriate. If a
contract refers to a specific reference asset for which
several public ratings are available, the lower of the two
highest ratings should be used for reporting. However, if
the contract specifies a reference entity (i.e., a corporate
name or a sovereign) and does not specify a reference
credit, report the internal credit rating used by the
reporter for its own internal risk management purposes.
For multi-name credit default swaps, report the ratings
according to the ratings of the underlying basket reference credits, using the lower of the two highest public
ratings or internal ratings, as specified above. If a rating
for the basket is not available and if all the underlying
reference credits of a given multi-name credit default
swap fall into only one of the following four categories—
high investment grade, low investment grade, below
investment grade, or not rated—then report the notional
amount of that credit default swap under the corresponding category. For those multi-name credit default swaps
with reference credits that do not fit into one of those four
categories, allocate the notional amounts across the four
categories according to the share of reference credits with
ratings in each of the four categories, provided that
reporting this way is not overly burdensome. If it is
overly burdensome and some of the underlying reference
GEN-8

credits of a multi-name credit default swap are investment grade, but others are below investment grade or not
rated, then report those credit default swaps under not
rated.
In column B of Table 4C, report all, single-name, and
multi-name credit default swaps according the sector of
the reference entity—i.e., the issuer of the underlying
reference credit. Report the following categories:
- sovereigns
- financial firms
- non-financial firms
- asset-backed securities
- multiple sectors
Sovereigns are defined as only entities of a country’s
central, state or local government. They do not include
government-owned financial or non-financial firms. Also
exclude international organizations (e.g., the World
Bank).
Financial firms are defined as all financial institutions,
including banks, securities firms, insurance firms, hedge
funds, and pension funds. I.e., financial firms are any firm
with a North American Industry Classification System
two-digit code of 52 except asset-backed securities,
including mortgage-backed securities (defined below).
Non-financial firms are defined as all firms that are not
sovereigns, financial firms, or asset-backed securities.
Asset-backed securities are defined as any security that
meets the definition of mortgage-backed securities, (other)
asset-backed securities, and structured products, as defined
in the instructions for lines 4 and 5 of Schedule HC-B of
the most recent FR Y-9C report.
For multi-name credit default swaps, if all the underlying
reference entities of a given multi-name credit default
swap fall into only one of the following four categories—
sovereigns, financial firms, non-financial firms, or assetbacked securities—then report the notional amount of
that credit default swap under the corresponding category. For those multi-name credit default swaps with
reference entities that do not fit into one of those four
categories, then, if possible, allocate the notional amounts
according across the four categories according to the
share of reference credits with reference entities in each
of the four categories, provided that reporting this way is
not overly burdensome. If doing so proves overly burdensome, then report multi-name credit default swaps under
multiple sectors.
FR 2436
General Instructions June 2016

General Instructions

In Table 4D, report the notional values of multi-name
credit default swaps in column A. In column B, report the
notional values of index products (as defined in Section
3.4), which are a subset of multi-name contracts. The
values in each line of column B should not exceed the
values in each line of column A.
5. Counterparties
5.1 Foreign Exchange, Interest-Rate, and
Equity-Linked Contracts
(Tables 1A to 3C, 5)
For each product category in each of the three broad
market-risk classes (foreign exchange, interest-rate, and
equity-linked), report OTC contracts with reporting dealers, central counterparties, other financial institutions,
and non-financial customers separately.
Reporting dealers are defined as all institutions (both
foreign and domestic) participating in the regular derivatives reporting program. A list of reporting dealers is
provided in Annex I.
Central counterparties are defined as counterparties (for
example, clearing houses) that facilitate trades between
counterparties in one or more financial markets by either
guaranteeing trades or novating contracts. For this report,
report contracts as being with a central counterparty only
if that counterparty is performing the function of a central
counterparty for that contract.
Other financial institutions are defined as all financial
institutions other than reporting dealers and central counterparties, including banks, funds, and non-bank financial
institutions which may be considered as financial endusers. Examples include, but are not limited to, mutual
funds, pension funds, hedge funds, currency funds,
money market funds, leasing companies, insurance companies, central banks, credit unions, building societies,
and securities firms. Financial subsidiaries of industrial
companies are included in this category.
Nonfinancial customers are defined as any other counterparty. This category includes governments and multinational organizations (for example, the World Bank).
5.2

Credit default swap contracts
(Tables 4A to 4G)

For credit default swap contracts, report, separately, OTC
contracts with reporting dealers, central counterparties,
FR 2436
General Instructions June 2016

other financial institutions, and nonfinancial customers,
as defined in Section 5.1.
In addition, break out other financial institutions into
banks and securities firms, insurance firms, special purpose entities, hedge funds, and miscellaneous.
A special purpose entity is defined as a trust or other
legal vehicle that is a distinct legal entity and that has
permissible activities that are significantly limited and
are entirely specified in the legal documents establishing
the special purpose entity.
Hedge funds are defined using the same definition as in
Schedule HC-L of the latest FR Y-9C report.1
Miscellaneous is defined as a residual category that
covers all remaining financial institutions that are not
listed above, such as mutual funds and pension funds.
In Table 4E, report in column A the notional values of all
outstanding credit default swap contracts bought and sold
with counterparties by the region of the counterparties.
Regions are listed in Annex III. Also report contracts
with U.S. counterparties that are reporting dealers (see
the definition of reporting dealers in Section 5.1, above,
and the list of reporting dealers in Annex I).
5.3

Credit exposures and liabilities
(Table 6)

For credit exposures and liabilites, report OTC contracts
(excluding commodities contracts) with all counterparties, and report, separately, contracts with reporting
dealers and with central counterparties as defined in
Section 5.1.
6. Maturities
(Tables 4A and 5)
In Table 5, report notional amounts outstanding of OTC
foreign exchange, interest rate, and equity derivatives
contracts by remaining maturity:
- one year or less
- over one year through five years
- over five years
1. The March 2015 FR Y-9C defines hedge funds as generally privately
owned investment funds with a limited range of investors. Hedge funds are
not required to register with the SEC, which provides them with an
exemption in many jurisdictions from regulations governing short selling,
derivative contracts, leverage, fee structures, and the liquidity of investments in the fund.

GEN-9

General Instructions

Remaining maturity is determined by the date of conclusion of the deal. For transactions with two legs, this is
equivalent to the time until the far leg is concluded, rather
than the difference between the near and far-end dates of
the transaction. Report each transaction only once.
In column B of Table 4A, report the notional amounts
outstanding of credit default swap contracts by the same
three splits for remaining maturity that are described
above. For credit default swap contracts, remaining maturity is determined by the scheduled termination date for
the contract and not by any reset dates.
How to Classify Derivatives with Multiple Risk
Characteristics
For purposes of this report, derivatives contracts are
categorized into five market classes: foreign exchange,
single-currency interest rate, equity, commodity, and
credit. Individual derivatives contracts may involve more
than one market category.
For contracts that are combinations of exposures to
different types of market risk, separately report their
individual components.
If your institution is not currently able to disaggregate
contracts in this way, you may report contracts in only

GEN-10

one market-risk category. In this case, categorize products with multiple risk characteristics by the predominant
risk characteristic at the origination of the derivative.
How to Classify Derivatives with Multiple
Instrument Components
For purposes of this report, individual foreign exchange,
interest rate, equity, and commodity derivatives contracts
are categorized into three general instrument classes:
forwards, swaps, and options. (Credit default swaps are
categorized into single-name and multiple-name instruments). In practice, however, individual derivatives contracts may consist of more than one instrument.
For contracts that are combinations of instruments, separately report each instrument component.
If your institution is not currently able to disaggregate
contracts in this way, you may report contracts in only
one instrument category. The OTC options section bears
precedence in classification. Thus, report any derivatives
contract that includes an option under the OTC options
section. All other derivative products should be reported
in either the forwards or swaps section based upon the
predominant characteristic of the contract.

FR 2436
General Instructions June 2016

Glossary

General market-risk category definitions
Foreign exchange contracts: All deals involving an
exchange of more than one currency or with exposure to
an exchange rate. Foreign exchange contracts include
cross-currency interest rate swaps (line 2), currency
swaps (line 2), forward foreign exchange contracts (line
1) and currency options (lines 3 and 4). Exclude spot
foreign exchange contracts, which are defined to be
single leg contracts to be settled within two business
days.

contingent payment by a protection seller; the contingent
payment is triggered by a credit event on a reference
entity, and, if the contract specifies physical settlement,
by the delivery to the protection seller deliverable obligations of the reference entity. Credit events, which are
specified in credit default swap contracts, may include
bankruptcy, default, or restructuring.

General instrument definitions

Interest-rate contracts: Contracts related to an interestbearing financial instrument whose cash flows are determined by referencing interest rates or other interest rate
contracts (for example, an option on a futures contract to
purchase a Treasury bill). Single-currency interest rate
contracts include single-currency interest rate swaps (line
2), basis swaps (line 2), forward rate agreements (line 1),
and interest-rate options (lines 3 and 4), including caps,
floors, collars, corridors and swaptions.

Forward contracts: Agreements for delayed delivery of
financial instruments, currencies or commodities in which
the buyer agrees to purchase and the seller agrees to
deliver, at a specified future date, a specified instrument,
currency amount or commodity at a specified price or
yield. Forward contracts are not traded on organized
exchanges and their contractual terms are not standardized.

Equity derivative contracts: Contracts that have a return,
or a portion of their return, linked to the price of a
particular equity or to an index of equity prices, such as
the Standard and Poor’s 500 index.

Swaps: Contracts in which two parties agree to exchange
payment streams based on a specified notional amount
for a specified period.

Commodity contracts: Contracts that have a return, or a
portion of their return, linked to the price of, or to a price
index of, commodities such as precious metals, petroleum, lumber, or agricultural products.

Option contracts: Convey either the right or the obligation (depending upon whether the reporting institution is
the purchaser or the writer, respectively) to buy or sell a
financial instrument or commodity; the quantity, price
and settlement date are specified at the inception of the
contract. OTC option contracts include all tradable option
contracts not traded on an organized exchange.

Credit default swap contracts: Contracts in which a
protection buyer pays a fixed periodic fee in return for a

FR 2436
Glossary June 2016

GL-1

Glossary

Market category specific definitions
(In parentheses, the lines of the reporting tables to which the contract belongs)
Foreign exchange contracts (Tables 1A, 1B, and 1C)
Outright forward: (line 1)

Transaction involving the exchange of two currencies at a rate agreed on the date
of the contract for value or delivery (cash settlement) at more than two business
days in the future.

Foreign exchange swap: (line 1)

Transaction which involves the actual exchange of two currencies (principal
amount only) on a specific date at a rate agreed at the time of the conclusion of the
contract (the short leg), and a reverse exchange of the same two currencies at a
date further in the future at a rate (generally different from the rate applied to the
short leg) agreed at the time of the contract (the long leg).

Currency swap: (line 2)

Contract which commits two counterparties to exchange streams of interest
payments in different currencies for an agreed period of time and to exchange
principal amounts in different currencies at a pre-agreed exchange rate at
maturity.

Cross-currency swap: (line 2)

Variation of currency swap in which at least one of the payment streams varies
with a floating interest rate. These instruments fall into the currency swaps
section.

Currency option: (lines 3 and 4)

Option contract that gives the right to buy or sell a currency with another currency
at a specified exchange rate during a specified period. This category also includes
exotic foreign exchange options such as average rate options and barrier options.

Currency swaption: (lines 3 and
4)
Currency warrant: (lines 3 and 4)

OTC option to enter into a currency swap contract.
OTC option; long-dated (over one year) currency option.

Single-currency interest-rate derivatives (Tables 2A, 2B, and 2C)
Forward rate agreement (FRA):
(line 1)

Interest rate forward contract in which the rate to be paid or received on a specific
obligation for a set period of time, beginning at some time in the future, is
determined at contract initiation.

Interest rate swap: (line 2)

Agreement to exchange periodic payments, in a single currency, related to interest
rates; can be fixed for floating, or floating for floating based on different indices.
This group includes those swaps whose notional principal is amortized according
to a fixed schedule independent of interest rates.

Interest rate option: (lines 3 and
4)

OTC option, provision to pay or receive a specific interest rate on a predetermined
principal for a set period of time.

Interest rate cap: (lines 3 and 4)

OTC option that pays the difference between a floating interest rate and the cap
rate.

GL-2

Glossary

FR 2436
June 2016

Glossary

Interest rate floor: (lines 3 and 4)

OTC option that pays the difference between the floor rate and a floating interest
rate.

Interest rate collar: (lines 3 and 4)

Combination of cap and floor.

Interest rate swaption: (lines 3
and 4)

OTC option to enter into an interest-rate swap contract, purchasing the right to
pay or receive a certain fixed rate.

Equity and stock index derivatives (Tables 3A, 3B, and 3C)
Equity forward: (line 1)

Contract to exchange an equity or equity basket at a set price at a future date.

Equity swap: (line 1)

Contract in which one or both payments are linked to the performance of equities
or an equity index (for example, S&P 500). It involves the exchange of one equity
or equity index return for another, or the exchange of an equity or equity index
return for a floating or fixed interest rate.

Equity option: (lines 3 and 4)

OTC option with provision to deliver or receive a specific equity, equity basket or
to pay or receive a specific return based on a specific equity, equity basket, or
equity index at an agreed price at an agreed time in the future.

Equity warrant: (lines 3 and 4)

OTC option; long-dated (over one year) equity option.

Commodity derivatives (Tables 3A, 3B, and 3C)
Commodity forward: (line 1)

Forward contract to exchange a commodity or commodity index at a set price at a
future date.

Commodity swap: (line 1)

Contract with one or both payments linked to the performance of a commodity
price or a commodity index. It involves the exchange of the return on a
commodity or commodity index for another, or the exchange of a commodity or
commodity index for a floating or fixed interest rate.

Commodity option: (lines 3 and 4)

OTC option with provision to deliver or receive a commodity, its cash value, or a
commodity index at an agreed price at a set date in the future.

FR 2436
Glossary June 2016

GL-3

Annex I
Instructions for

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

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

Annex II
Instructions for

Semiannual Report of Derivatives Activity
Equity Derivative Regional Breakdown Detail
United States
Japan
Europe (excluding
Eastern Europe)
Excludes:
Albania
Bulgaria
Hungary
Poland
Romania
Successor
republics of:
Czechoslovakia,
Soviet Union,
and Yugoslavia
Includes:
Belgium
Cyprus
Denmark
Finland
France
Germany
Gibraltar
Greece
Iceland
Ireland
Italy
Luxembourg
Malta
Monaco
Netherlands
Norway
Portugal

Spain
Sweden
Switzerland
Turkey
United Kingdom
Vatican City
Other Europe

Latin America
(includes
Caribbean)
Argentina
Bahamas
Barbados
Belize
Bermuda
Bolivia
Brazil
British West Indies
Cayman Islands
Chile
Colombia
Costa Rica
Cuba
Dominican Republic
Ecuador
El Salvador
Falkland Islands
Fr. W. Indies & Fr. Guinea
Grenada
Guatemala
Guyana
Haiti
Honduras
Jamaica
Mexico

Netherlands
Antilles
Nicaragua
Panama
Peru
Suriname
Trinidad and
Tobago
Uruguay
Venezuela
Other Latin
America &
Caribbean

Other Asia
(excluding Japan)
Afghanistan
Bahrain
Bangladesh
Bhutan
Brunei
Burma
Cambodia
China
Mainland
Taiwan
Hong Kong
India
Indonesia
Iran
Iraq
Israel
Jordan
Korea
Kuwait

Laos
Lebanon
Macau
Malaysia
Maldives
Mongolia
Nepal
North Korea
Oman
Pakistan
Philippines
Qatar
Saudi Arabia
Singapore
Sri Lanka
Syria
Thailand
United Arab
Emirates
Vietnam
Yemen
Other Asia &
Middle East

Other
All other countries

Annex III
Instructions for

Semiannual Report of Derivatives Activity
Credit Default Swap Counterparty Regional Breakdown Detail1
United States
Japan
Western Europe
Austria
Belgium
Denmark
Finland
France
Germany
Greece
Ireland
Italy
Luxembourg
Netherlands
Portugal
Spain
Sweden
Switzerland
United Kingdom

Latin America
(includes
Caribbean)
Argentina
Bahamas
Barbados
Belize

Bermuda
Bolivia
Brazil
British West Indies
Cayman Islands
Chile
Colombia
Costa Rica
Cuba
Dominican Republic
Ecuador
El Salvador
Falkland Islands
Fr. W. Indies & Fr. Guinea
Grenada
Guatemala
Guyana
Haiti
Honduras
Jamaica
Mexico
Netherlands Antilles
Nicaragua
Panama
Peru
Suriname
Trinidad and Tobago
Uruguay
Venezuela
Other Latin America/
Caribbean

Other Asia
(excluding Japan)
Afghanistan
Bahrain
Bangladesh
Bhutan
Brunei
Burma
Cambodia
China
Mainland
Taiwan
Hong Kong
India
Indonesia
Iran
Iraq
Israel
Jordan
Korea
Kuwait
Laos
Lebanon
Macau
Malaysia
Maldives
Mongolia
Nepal
North Korea
Oman
Pakistan

Philippines
Qatar
Saudi Arabia
Singapore
Sri Lanka
Syria
Thailand
United Arab Emirates
Vietnam
Yemen
Other Asia/Middle East

Other
All other countries,
including all other
Europe

1. The regions in Annex III differ from those in Annex II for Western Europe and for other countries. Western Europe in Annex III is a more limited list
than Europe excluding Eastern Europe in Annex II. As a result of the difference in Western Europe, other countries in Annex III is more inclusive than in
Annex II.