Semiannual Report of Derivatives Activity

Board of the Governors of the Federal Reserve System

Instructions for the Preparation of

Semiannual Report of Derivatives Activity
Reporting Form FR 2436
Effective December 2019

Contents

General Instructions for Semiannual Report of Derivatives Activity

................................................................................................... GEN-1
Categories for Reporting .................................................................................................................... GEN-2
1. Market Risk .................................................................................................................................. GEN-2
2. Measures of Positions .................................................................................................................... GEN-3
3. Instruments ................................................................................................................................... GEN-5
4. Currency, Equity Market, Reference Credit, and Reference Entity Categories .................................... GEN-6
5. Counterparties ............................................................................................................................... GEN-9
6. Maturities .................................................................................................................................... GEN-10
How to Classify Derivatives with Multiple Risk Characteristics .......................................................... GEN-10
How to Classify Derivatives with Multiple Instrument Components .................................................... GEN-10
General Comments and Instructions

Glossary

................................................................................................ GL-1
General instrument definitions .............................................................................................................. GL-1
Market category specific definitions ....................................................................................................... GL-2
General market-risk category definitions

Instructions for Preparation of Semiannual Report of Derivatives Activity

.............................................................................................. AN-I-1
Annex II—Equity Derivative Regional Breakdown Detail ................................................................... AN-II-1
Annex III—Credit Default Swap Counterparty Regional Breakdown Detail ....................................... AN-III-1
Annex I—List of Reporting Institutions

CONTENTS-1
FR 2436

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INSTRUCTIONS FOR PREPARATION OF

Semiannual Report of Derivatives
Activity

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 overthe-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, Off-Balance-Sheet Items (FR Y-9C,
Schedule HC-L), and the Reports of Condition and
Income (Call Report), Off-Balance-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.
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.
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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 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
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 goldmining 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.

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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 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.

2. Measures of Positions
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.
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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.
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 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

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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, 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)

On Tables 1A to 1C: include both spot/forward and
forward/forward foreign exchange swaps. The two currency legs of a foreign exchange swap are considered to
be a single transaction, and the notional amount
reported should be calculated by reference to only one
of its legs. The contract should be reported, however,
under both currencies (in columns B and C). In the
case of foreign exchange swaps that are concluded as
spot/forward transactions, report only the forward part
of the deal. If, for practical reasons, reporting institutions find it difficult to distinguish between positions
that relate to unsettled foreign exchange spot transactions and the spot leg of foreign exchange swaps, estimates may be used.

3.2 Swaps (includes currency swaps and
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.

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.

Bought options:

Exclude commitments to purchase and sell whenissued securities. Also, exclude firm commitments to
sell loans secured by 1 to 4 family residential properties.
Note that this contrasts with the FFIEC 031 (Call
Report) and FR Y-9C instructions.

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
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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 a payment contingent on the occurrence of
a credit event on a reference entity or asset.
Single-name instruments:
Report information on credit default swap contracts in
which a single reference entity or reference asset is
specified.
Multi-name instruments:
Report information on credit default swap contracts in
which more than one reference entity is specified, such
as in portfolio or basket credit default swaps or credit
default swaps indices. A basket default swap is a credit
default swap where the credit event is the default of
some combination of the credits, in a specified basket
of credits. In the particular case of an nth-to-default
basket, the contingent payment is triggered by the nth
default among the basket of reference credits.
Also include multi-name credit default swaps that are
“tranched” credit default swaps. Variations operate
under specifically tailored loss limits—these may
include a “first-loss” tranched credit default swap, a
“mezzanine” tranched credit default swap, and a senior
(also known as a “super-senior”) tranched credit
default swap.
Multi-name instruments, of which index products:
Report in Table 4D information about those multiname credit default swap (CDS) 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 to cover a predetermined
amount of losses in a specified underlying loan pool.
See the Glossary for definitions of specific types of
derivative instruments.

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

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• 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 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 marketrisk 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 and Commodity-Linked Contracts
(Table 3)
In Table 3, disaggregate the total values in column A by
equity market. The value in each line of column A
should equal the sum of the values in each line of column B.
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
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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.

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 multiname 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 credits of a multiname 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

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• financial firms

5. Counterparties

• 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 asset-backed securities—then report the
notional amount of that credit default swap under the
corresponding category. For those multi-name credit
default swaps with reference entities that do not fit into
one of those four categories, then, if possible, allocate
the notional amounts according across the four categories according to the share of reference credits with
reference entities in each of the four categories, provided that reporting this way is not overly burdensome.
If doing so proves overly burdensome, then report
multi-name credit default swaps under multiple
sectors.
In 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.

5.1 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, other financial institutions, and nonfinancial
customers, as defined in Section 5.1.
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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
1. The June 2019 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.

• over five years
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
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.

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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.

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Glossary

General market-risk category definitions
Foreign exchange contracts: All deals involving an
exchange of more than one currency or with exposure
to an exchange rate. Foreign exchange contracts
include cross-currency interest rate swaps (line 2), currency swaps (line 2), forward foreign exchange contracts (line 1) and currency options (lines 3 and 4).
Exclude spot foreign exchange contracts, which are
defined to be single leg contracts to be settled within
two business days.
Interest-rate contracts: Contracts related to an interestbearing financial instrument whose cash flows are
deter- mined by referencing interest rates or other
interest rate contracts (for example, an option on a
futures contract to purchase a Treasury bill). Singlecurrency interest rate contracts include single-currency
interest rate swaps (line 2), basis swaps (line 2), forward
rate agreements (line 1), and interest-rate options (lines
3 and 4), including caps, floors, collars, corridors and
swaptions.
Equity derivative contracts: Contracts that have a
return, or a portion of their return, linked to the price
of a particular equity or to an index of equity prices,
such as the Standard and Poor’s 500 index.
Commodity contracts: Contracts that have a return, or
a portion of their return, linked to the price of, or to a
price index of, commodities such as precious metals,
petroleum, lumber, or agricultural products.

Credit default swap contracts: Contracts in which a protection buyer pays a fixed periodic fee in return for a
contingent payment by a protection seller; the contingent payment is triggered by a credit event on a reference entity, and, if the contract specifies physical settlement, by the delivery to the protection seller deliverable
obliga- tions of the reference entity. Credit events,
which are specified in credit default swap contracts,
may include bankruptcy, default, or restructuring.

General instrument definitions
Forward contracts: Agreements for delayed delivery of
financial instruments, currencies or commodities in
which the buyer agrees to purchase and the seller
agrees to deliver, at a specified future date, a specified
instrument, currency amount or commodity at a specified price or yield. Forward contracts are not traded on
organized exchanges and their contractual terms are
not standardized.
Swaps: Contracts in which two parties agree to
exchange payment streams based on a specified
notional amount for a specified period.
Option contracts: Convey either the right or the obligation (depending upon whether the reporting institution
is the purchaser or the writer, respectively) to buy or
sell a financial instrument or commodity; the quantity,
price and settlement date are specified at the inception
of the contract. OTC option contracts include all tradable option contracts not traded on an organized
exchange.

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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)

OTC option to enter into a currency swap contract.

Currency warrant: (lines 3 and 4)

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

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Glossary

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.

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.

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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.

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List of Reporting Institutions
Annex I

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

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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

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Equity Derivative Regional Breakdown
Detail
Annex II

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
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Annex II

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

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Credit Default Swap Counterparty
1
Regional Breakdown Detail
Annex III

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
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.

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
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Annex III

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

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