Form FR 2436 FR 2436 Semiannual Report of Derivatives Activity

FR 2436
OMB Number 7100-0286
Approval expires July 31, 2022
Page 1 of 16

Board of Governors of the Federal Reserve System

Semiannual Report of Derivatives Activity—FR 2436

Report at the close of business as of the last calendar day of June 30 and December 31.
This report is authorized by law (12 U.S.C. §§ 225a and 263). Your
voluntary cooperation in submitting this report is needed to make the
results comprehensive, accurate, and timely. The Federal Reserve System

regards the individual institution information provided by each respondent
as confidential (5 U.S.C. §552(b)(4)). If it should be determined that any
information collected on this form must be released, other than in the

aggregate in ways that will not reveal the amounts reported by any one
institution, respondents will be notified.

Table 1A—Foreign Exchange and Gold Contracts
Notional Amounts Outstanding
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T339

OTC Contracts ......................................................
1. Forwards and FX Swaps ......................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
2. Currency Swaps .................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
3. Bought Options...................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................

(B)

(A)
Total
FX
contracts
T147

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T148

T149

T150

T151

T152

T153

T154

T155

T156

T157

T158

T159

T160

T161

T162

(D)
Total FX
contracts
including
gold
T333

H138

H497

H583

H669

H755

H841

H927

P019

S696

S782

S868

S954

U041

U127

U213

U299

T336

H139

H498

H584

H670

H756

H842

H928

P020

S697

S783

S869

S955

U042

U128

U214

U300

W967

H413

H499

H585

H671

H757

H843

H929

P021

S698

S784

S870

S956

U043

U129

U215

U301

FE59

FE60

FE61

FE62

FE63

FE64

FE65

FE66

FE67

FE68

FE69

FE70

FE71

FE72

FE73

FE74

H414

H500

H586

H672

H758

H844

H930

P022

S699

S785

S871

S957

U044

U130

U216

U302

H415

H501

H587

H673

H759

H845

H931

P023

S700

S786

S872

S958

U045

U131

U217

U303

H416

H502

H588

H674

H760

H846

H932

P024

S701

S787

S873

S959

U046

U132

U218

U304

H417

H503

H589

H675

H761

H847

H933

P025

S702

S788

S874

S960

U047

U133

U219

U305

FE90

FE91

FE92

FE93

FE94

FE95

FE96

FE97

FE98

FE99

FF00

FF01

FF02

FF03

FF04

FF05

H418

H504

H590

H676

H762

H848

H934

P026

S703

S789

S875

S961

U048

U134

U220

U306

H419

H505

H591

H677

H763

H849

H935

P027

S704

S790

S876

S962

U049

U135

U221

U307

H420

H506

H592

H678

H764

H850

H936

P028

S705

S791

S877

S963

U050

U136

U222

U308

H421

H507

H593

H679

H765

H851

H937

P029

S706

S792

S878

S964

U051

U137

U223

U309

FF21

FF22

FF23

FF24

FF25

FF26

FF27

FF28

FF29

FF30

FF31

FF32

FF33

FF34

FF35

FF36

H422

H508

H594

H680

H766

H852

H938

P030

S707

S793

S879

S965

U052

U138

U224

U310

H423

H509

H595

H681

H767

H853

H939

P031

S708

S794

S880

S966

U053

U139

U225

U311

W968

W969

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

Public reporting burden for this information collection is estimated to be 236 hours per response, including time to gather and maintain data in the proper form, to review instructions and to complete the information collection. Send comments regarding this burden estimate to: Secretary, Board of Governors of the Federal
Reserve System, 20th and C Streets, NW, Washington, DC 20551; and to the Office of Management and Budget, Paperwork Reduction Project, (7100-0285), Washington, DC 20503.

12/2019

FR 2436
Page 2 of 16

Table 1A—Foreign Exchange and Gold Contracts—Continued
Notional Amounts Outstanding
Contracts involving the following currencies (report both sides):
Country
Code
Name

(B)

(A)
Total
FX
contracts

DERV

U.S. Dollar Amounts in Millions

T339

4. Sold Options ......................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................

T147

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T148

T149

T150

T151

T152

T153

T154

T155

T156

T157

T158

T159

T160

T161

T162

H424

H510

H596

H682

H768

H854

H940

P032

S709

S795

S881

S967

U054

U140

U226

U312

H425

H511

H597

H683

H769

H855

H941

P033

S710

S796

S882

S968

U055

U141

U227

U313

FF52

FF53

FF54

FF55

FF56

FF57

FF58

FF59

FF60

FF61

FF62

FF63

FF64

FF65

FF66

FF67

H426

H512

H598

H684

H770

H856

H942

P034

S711

S797

S883

S969

U056

U142

U228

U314

H427

H513

H599

H685

H771

H857

H943

P035

S712

S798

S884

S970

U057

U143

U229

U315

(D)
Total FX
contracts
including
gold
T333
W970

4.
4.a.
4.b.
4.c.
4.d.

Table 1B—Foreign Exchange and Gold Contracts
Gross Positive Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T340

OTC Contracts ......................................................
1. Forwards and FX Swaps ......................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
2. Currency Swaps .................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
3. Bought Options...................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................

(B)

(A)
Total
FX
contracts
T178

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T179

T180

T181

T182

T183

T184

T185

T186

T187

T188

T189

T190

T191

T192

T193

H428

H514

H600

H686

H772

H858

H944

P036

S713

S799

S885

S971

U058

U144

U230

U316

H429

H515

H601

H687

H773

H859

H945

P037

S714

S800

S886

S972

U059

U145

U231

U317

H430

H516

H602

H688

H774

H860

H946

P038

S715

S801

S887

S973

U060

U146

U232

U318

FF83

FF84

FF85

FF86

FF87

FF88

FF89

FF90

FF91

FF92

FF93

FF94

FF95

FF96

FF97

FF98

H431

H517

H603

H689

H775

H861

H947

P039

S716

S802

S888

S974

U061

U147

U233

U319

H432

H518

H604

H690

H776

H862

H948

P040

S717

S803

S889

S975

U062

U148

U234

U320

H433

H519

H605

H691

H777

H863

H949

P041

S718

S804

S890

S976

U063

U149

U235

U321

H434

H520

H606

H692

H778

H864

H950

P042

S719

S805

S891

S977

U064

U150

U236

U322

FG14

FG15

FG16

FG17

FG18

FG19

FG20

FG21

FG22

FG23

FG24

FG25

FG26

FG27

FG28

FG29

H435

H521

H607

H693

H779

H865

H951

P043

S720

S806

S892

S978

U065

U151

U237

U323

H436

H522

H608

H694

H780

H866

H952

P044

S721

S807

S893

S979

U066

U152

U238

U324

H437

H523

H609

H695

H781

H867

H953

P045

S722

S808

S894

S980

U067

U153

U239

U325

H438

H524

H610

H696

H782

H868

H954

P046

S723

S809

S895

S981

U068

U154

U240

U326

FG45

FG46

FG47

FG48

FG49

FG50

FG51

FG52

FG53

FG54

FG55

FG56

FG57

FG58

FG59

FG60

H439

H525

H611

H697

H783

H869

H955

P047

S724

S810

S896

S982

U069

U155

U241

U327

H440

H526

H612

H698

H784

H870

H956

P048

S725

S811

S897

S983

U070

U156

U242

U328

(D)
Total FX
contracts
including
gold
T334
T337

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

06/2016

FR 2436
Page 3 of 16

Table 1B—Foreign Exchange and Gold Contracts—Continued
Gross Positive Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name

(B)

(A)
Total
FX
contracts

DERV

U.S. Dollar Amounts in Millions

T340

T178

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T179

T180

T181

T182

T183

T184

T185

T186

T187

T188

T189

T190

T191

T192

T193

(D)
Total FX
contracts
including
gold
T334

4. Sold Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers

4.
4.a.
4.b.
4.c.
4.d.

Table 1C—Foreign Exchange and Gold Contracts
Gross Negative Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T341

OTC Contracts ......................................................
1. Forwards and FX Swaps ......................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
2. Currency Swaps .................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................
3. Bought Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers

(B)

(A)
Total
FX
contracts
T209

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T210

T211

T212

T213

T214

T215

T216

T217

T218

T219

T220

T221

T222

T223

T224

H441

H527

H613

H699

H785

H871

H957

P049

S726

S812

S898

S984

U071

U157

U243

U329

H442

H528

H614

H700

H786

H872

H958

P050

S727

S813

S899

S985

U072

U158

U244

U330

H443

H529

H615

H701

H787

H873

H959

P051

S728

S814

S900

S986

U073

U159

U245

U331

FG76

FG77

FG78

FG79

FG80

FG81

FG82

FG83

FG84

FG85

FG86

FG87

FG88

FG89

FG90

FG91

H444

H530

H616

H702

H788

H874

H960

P052

S729

S815

S901

S987

U074

U160

U246

U332

H445

H531

H617

H703

H789

H875

H961

P053

S730

S816

S902

S988

U075

U161

U247

U333

H446

H532

H618

H704

H790

H876

H962

P054

S731

S817

S903

S989

U076

U162

U248

U334

H447

H533

H619

H705

H791

H877

H963

P055

S732

S818

S904

S990

U077

U163

U249

U335

FH07

FH08

FH09

FH10

FH11

FH12

FH13

FH14

FH15

FH16

FH17

FH18

FH19

FH20

FH21

FH22

H448

H534

H620

H706

H792

H878

H964

P056

S733

S819

S905

S991

U078

U164

U250

U336

H449

H535

H621

H707

H793

H879

H965

P057

S734

S820

S906

S992

U079

U165

U251

U337

(D)
Total FX
contracts
including
gold
T335
T338

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

06/2016

FR 2436
Page 4 of 16

Table 1C—Foreign Exchange and Gold Contracts—Continued
Gross Negative Fair Values
Contracts involving the following currencies (report both sides):
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T341

4. Sold Options ......................................................
a. With reporting dealers ......................................
b. With central counterparties ...............................
c. With other financial institutions ...........................
d. With nonfinancial customers .............................

(B)

(A)
Total
FX
contracts
T209

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T210

T211

T212

T213

T214

T215

T216

T217

T218

T219

T220

T221

T222

T223

T224

H450

H536

H622

H708

H794

H880

H966

P058

S735

S821

S907

S993

U080

U166

U252

U338

H451

H537

H623

H709

H795

H881

H967

P059

S736

S822

S908

S994

U081

U167

U253

U339

FH38

FH39

FH40

FH41

FH42

FH43

FH44

FH45

FH46

FH47

FH48

FH49

FH50

FH51

FH52

FH53

H452

H538

H624

H710

H796

H882

H968

P060

S737

S823

S909

S995

U082

U168

U254

U340

H453

H539

H625

H711

H797

H883

H969

P061

S738

S824

S910

S996

U083

U169

U255

U341

(D)
Total FX
contracts
including
gold
T335

4.
4.a.
4.b.
4.c.
4.d.

Table 2A—Single-Currency Interest Rate Contracts
Notional Amounts Outstanding
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T342

OTC Contracts ...................................................................
1. Forwards and FX Swaps ...................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
2. Single-Currency Interest Rate Swaps ...................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
3. Bought Options................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................

(A)
Total
interest
rate
contracts
T240

(B)

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T241

T242

T243

T244

T245

T246

T247

T248

T249

T250

T251

T252

T253

T254

T255

H454

H540

H626

H712

H798

H884

H970

P062

S739

S825

S911

S997

U084

U170

U256

U342

H455

H541

H627

H713

H799

H885

H971

P063

S740

S826

S912

S998

U085

U171

U257

U343

H456

H542

H628

H714

H800

H886

H972

P064

S741

S827

S913

S999

U086

U172

U258

U344

FH69

FH70

FH71

FH72

FH73

FH74

FH75

FH76

FH77

FH78

FH79

FH80

FH81

FH82

FH83

FH84

H457

H543

H629

H715

H801

H887

H973

P065

S742

S828

S914

T001

U087

U173

U259

U345

H458

H544

H630

H716

H802

H888

H974

P066

S743

S829

S915

T002

U088

U174

U260

U346

H459

H545

H631

H717

H803

H889

H975

P067

S744

S830

S916

T003

U089

U175

U261

U347

H460

H546

H632

H718

H804

H890

H976

P068

S745

S831

S917

T004

U090

U176

U262

U348

FJ00

FJ01

FJ02

FJ03

FJ04

FJ05

FJ06

FJ07

FJ08

FJ09

FJ10

FJ11

FJ12

FJ13

FJ14

FJ15

H461

H547

H633

H719

H805

H891

H977

P069

S746

S832

S918

T005

U091

U177

U263

U349

H462

H548

H634

H720

H806

H892

H978

P070

S747

S833

S919

T006

U092

U178

U264

U350

H463

H549

H635

H721

H807

H893

H979

P071

S748

S834

S920

T007

U093

U179

U265

U351

H464

H550

H636

H722

H808

H894

H980

P072

S749

S835

S921

U008

U094

U180

U266

U352

FJ31

FJ32

FJ33

FJ34

FJ35

FJ36

FJ37

FJ38

FJ39

FJ40

FJ41

FJ42

FJ43

FJ44

FJ45

FJ46

H465

H551

H637

H723

H809

H895

H981

P073

S750

S836

S922

U009

U095

U181

U267

U353

H466

H552

H638

H724

H810

H896

H982

P074

S751

S837

S923

U010

U096

U182

U268

U354

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

06/2016

FR 2436
Page 5 of 16

Table 2A—Single-Currency Interest Rate Contracts—Continued
Notional Amounts Outstanding
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T342

4. Sold Options ...................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................

(A)
Total
interest
rate
contracts
T240

(B)

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T241

T242

T243

T244

T245

T246

T247

T248

T249

T250

T251

T252

T253

T254

T255

H467

H553

H639

H725

H811

H897

H983

P075

S752

S838

S924

U011

U097

U183

U269

U355

H468

H554

H640

H726

H812

H898

H984

P076

S753

S839

S925

U012

U098

U184

U270

U356

FJ62

FJ63

FJ64

FJ65

FJ66

FJ67

FJ68

FJ69

FJ70

FJ71

FJ72

FJ73

FJ74

FJ75

FJ76

FJ77

H469

H555

H641

H727

H813

H899

H985

P077

S754

S840

S926

U013

U099

U185

U271

U357

H470

H556

H642

H728

H814

H900

H986

P078

S755

S841

S927

U014

U100

U186

U272

U358

4.
4.a.
4.b.
4.c.
4.d.

Table 2B—Single-Currency Interest Rate Contracts
Gross Positive Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T343

OTC Contracts ...................................................................
1. Forwards and FX Swaps ...................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
2. Single-Currency Interest Rate Swaps ...................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
3. Bought Options................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................

(A)
Total
interest
rate
contracts
T271

(B)

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T272

T273

T274

T275

T276

T277

T278

T279

T280

T281

T282

T283

T284

T285

T286

H471

H557

H643

H729

H815

H901

H987

P079

S756

S842

S928

U015

U101

U187

U273

U359

H472

H558

H644

H730

H816

H902

H988

P080

S757

S843

S929

U016

U102

U188

U274

U360

H473

H559

H645

H731

H817

H903

H989

P081

S758

S844

S930

U017

U103

U189

U275

U361

FJ93

FJ94

FJ95

FJ96

FJ97

FJ98

FJ99

FK00

FK01

FK02

FK03

FK04

FK05

FK06

FK07

FK08

H474

H560

H646

H732

H818

H904

H990

R840

S759

S845

S931

U018

U104

U190

U276

U362

H475

H561

H647

H733

H819

H905

H991

S317

S760

S846

S932

U019

U105

U191

U277

U363

H476

H562

H648

H734

H820

H906

H992

S318

S761

S847

S933

U020

U106

U192

U278

U364

H477

H563

H649

H735

H821

H907

H993

S465

S762

S848

S934

U021

U107

U193

U279

U365

FK24

FK25

FK26

FK27

FK28

FK29

FK30

FK31

FK32

FK33

FK34

FK35

FK36

FK37

FK38

FK39

H478

H564

H650

H736

H822

H908

H994

S538

S763

S849

S935

U022

U108

U194

U280

U366

H479

H565

H651

H737

H823

H909

H995

S553

S764

S850

S936

U023

U109

U195

U281

U367

H480

H566

H652

H738

H824

H910

H996

S679

S765

S851

S937

U024

U110

U196

U282

U368

H481

H567

H653

H739

H825

H911

H997

S680

S766

S852

S938

U025

U111

U197

U283

U369

FK55

FK56

FK57

FK58

FK59

FK60

FK61

FK62

FK63

FK64

FK65

FK66

FK67

FK68

FK69

FK70

H482

H568

H654

H740

H826

H912

H998

S681

S767

S853

S939

U026

U112

U198

U284

U370

H483

H569

H655

H741

H827

H913

H999

S682

S768

S854

S940

U027

U113

U199

U285

U371

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

06/2016

FR 2436
Page 6 of 16

Table 2B—Single-Currency Interest Rate Contracts—Continued
Gross Positive Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T343

OTC Contracts ...................................................................
4. Sold Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers

(A)
Total
interest
rate
contracts
T271
H471

(B)

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T272

T273

T274

T275

T276

T277

T278

T279

T280

T281

T282

T283

T284

T285

T286

H557

H643

H729

H815

H901

H987

P079

S756

S842

S928

U015

U101

U187

U273

U359

4.
4.a.
4.b.
4.c.
4.d.

Table 2C—Single-Currency Interest Rate Contracts
Gross Negative Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T344

OTC Contracts ...................................................................
1. Forwards and FX Swaps ...................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
2. Single-Currency Interest Rate Swaps ...................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................
3. Bought Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers

(A)
Total
interest
rate
contracts
T302

(B)

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T303

T304

T305

T306

T307

T308

T309

T310

T311

T312

T313

T314

T315

T316

T317

H484

H570

H656

H742

H828

H914

P001

S683

S769

S855

S941

U028

U114

U200

U286

U372

H485

H571

H657

H743

H829

H915

P002

S684

S770

S856

S942

U029

U115

U201

U287

U373

H486

H572

H658

H744

H830

H916

P003

S685

S771

S857

S943

U030

U116

U202

U288

U374

FK86

FK87

FK88

FK89

FK90

FK91

FK92

FK93

FK94

FK95

FK96

FK97

FK98

FK99

FL00

FL01

H487

H573

H659

H745

H831

H917

P004

S686

S772

S858

S944

U031

U117

U203

U289

U375

H488

H574

H660

H746

H832

H918

P010

S687

S773

S859

S945

U032

U118

U204

U290

U376

H489

H575

H661

H747

H833

H919

P011

S688

S774

S860

S946

U033

U119

U205

U291

U377

H490

H576

H662

H748

H834

H920

P012

S689

S775

S861

S947

U034

U120

U206

U292

U378

FL17

FL18

FL19

FL20

FL21

FL22

FL23

FL24

FL25

FL26

FL27

FL28

FL29

FL30

FL31

FL32

H491

H577

H662

H749

H835

H921

P013

S690

S776

S862

S948

U035

U121

U207

U293

U379

H492

H578

H664

H750

H836

H922

P014

S691

S777

S863

S949

U036

U122

U208

U294

U380

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

06/2016

FR 2436
Page 7 of 16

Table 2C—Single-Currency Interest Rate Contracts—Continued
Gross Negative Fair Values
Contracts involving interest rates of the following currencies:
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T344

4. Sold Options ...................................................................
a. With reporting dealers ...................................................
b. With central counterparties ............................................
c. With other financial institutions ........................................
d. With nonfinancial customers ..........................................

(A)
Total
interest
rate
contracts
T302

(B)

(C)
Additional currencies in which the reporter has
a material amount of contracts outstanding

USD

EUR

JPY

GBP

CHF

CAD

SEK

DKK

AUD

HKD

IDR

MXN

NZD

SGD

THB

T303

T304

T305

T306

T307

T308

T309

T310

T311

T312

T313

T314

T315

T316

T317

H493

H579

H665

H751

H837

H923

P015

S692

S778

S864

S950

U037

U123

U209

U295

U381

H494

H580

H666

H752

H838

H924

P016

S693

S779

S865

S951

U038

U124

U210

U296

U382

FL48

FL49

FL50

FL51

FL52

FL53

FL54

FL55

FL56

FL57

FL58

FL59

FL60

FL61

FL62

FL63

H495

H581

H667

H753

H839

H925

P017

S694

S780

S866

S952

U039

U125

U211

U297

U383

H496

H582

H668

H754

H840

H926

P018

S695

S781

S867

S953

U040

U126

U212

U298

U384

4.
4.a.
4.b.
4.c.
4.d.

Table 3A—Equity and Commodity-Linked Contracts
Notional Amounts Outstanding
Country
Code
Name

(A)
Total
equitylinked
contracts

(B)
Contracts involving equity markets in the following countries or
groups of countries:
U.S.

Japan

DERV
T345
U.S. Dollar Amounts in Millions
OTC Contracts .................................................................................................................................................................
1. Forwards and Swaps ......................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
2. Bought Options..............................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
3. Sold Options .................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................

Europe
Latin
(excluding America
Eastern
Europe)

Other
Asian
countries

Other

(C)
(D)
Precious
Other
metals commod(other
ities
than
gold)

W971

W984

W997

X011

X024

X037

X050

X063

X067

W972

W985

W998

X012

X025

X038

X051

X064

X068

W973

W986

W999

X013

X026

X039

X052

X065

X069

X066

X070

FL79

FL80

FL81

FL82

FL83

FL84

FL85

W974

W987

X001

X014

X027

X040

X053

W975

W988

X002

X015

X028

X041

X054

W976

W989

X003

X016

X029

X042

X055

W977

W990

X004

X017

X030

X043

X056

FL86

FL87

FL88

FL89

FL90

FL91

FL92

W978

W991

X005

X018

X031

X044

X057

W979

W992

X006

X019

X032

X045

X058

W980

W993

X007

X020

X033

X046

X059

W981

W994

X008

X021

X034

X047

X060

FL93

FL94

FL95

FL96

FL97

FL98

FL99

W982

W995

X009

X022

X035

X048

X061

W983

W996

X010

X023

X036

X049

X062

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

06/2016

FR 2436
Page 8 of 16

Table 3B—Equity and Commodity-Linked Contracts
Gross Positive Fair Values
Country
Code
Name

(A)
Total
equitylinked
contracts

(B)
Contracts involving equity markets in the following countries or
groups of countries:
U.S.

Japan

DERV
T346
U.S. Dollar Amounts in Millions
OTC Contracts .................................................................................................................................................................
1. Forwards and Swaps ......................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
2. Bought Options..............................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
3. Sold Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers

Europe
Latin
(excluding America
Eastern
Europe)

Other
Asian
countries

Other

X071

X080

X089

X098

X107

X116

X125

X072

X081

X090

X099

X108

X117

X126

X073

X082

X091

X100

X109

X118

X127

FM00

FM01

FM02

FM03

FM04

FM05

FM06

X074

X083

X092

X101

X110

X119

X128

X075

X084

X093

X102

X111

X120

X129

X076

X085

X094

X103

X112

X121

X130

X077

X086

X095

X104

X113

X122

X131

FM07

FM08

FM09

FM10

FM11

FM12

FM13

X078

X087

X096

X105

X114

X123

X132

X079

X088

X097

X106

X115

X124

X133

(C)
(D)
Precious
Other
metals commod(other
ities
than
gold)

X134

X135

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

06/2016

FR 2436
Page 9 of 16

Table 3C—Equity and Commodity-Linked Contracts
Gross Negative Fair Values
Country
Code
Name

(A)
Total
equitylinked
contracts

(B)
Contracts involving equity markets in the following countries or
groups of countries:
U.S.

Japan

DERV
T347
U.S. Dollar Amounts in Millions
OTC Contracts .................................................................................................................................................................
1. Forwards and Swaps ......................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................
2. Bought Options
a. With reporting dealers
b. With central counterparties
c. With other financial institutions
d. With nonfinancial customers
3. Sold Options .................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................
b. With central counterparties ..........................................................................................................................................
c. With other financial institutions ......................................................................................................................................
d. With nonfinancial customers ........................................................................................................................................

Europe
Latin
(excluding America
Eastern
Europe)

Other
Asian
countries

Other

X136

X145

X154

X163

X172

X181

X190

X137

X146

X155

X164

X173

X182

X191

X138

X147

X156

X165

X174

X183

X192

FM14

FM15

FM16

FM17

FM18

FM19

FM20

X139

X148

X157

X166

X175

X184

X193

X140

X149

X158

X167

X176

X185

X194

X141

X150

X159

X168

X177

X186

X195

X142

X151

X160

X169

X178

X187

X196

FM21

FM22

FM23

FM24

FM25

FM26

FM27

X143

X152

X161

X170

X179

X188

X197

X144

X153

X162

X171

X180

X189

X198

(C)
(D)
Precious
Other
metals commod(other
ities
than
gold)

X199

X200

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

06/2016

FR 2436
Page 10 of 16

Table 4A—Credit Default Swaps by Remaining Maturity
Notional Amounts Outstanding
Country
Code
Name

(A)
Total

(B)
Contracts with remaining maturity of:
One year or less

DERV

U.S. Dollar Amounts in Millions

T348

Instruments
1. All Contracts ..........................................................................................................................................................................
a. With reporting dealers ..........................................................................................................................................................
b. With central counterparties ...................................................................................................................................................
c. With other financial institutions, of which: .................................................................................................................................
(1) Banks and securities firms ...............................................................................................................................................
(2) Insurance firms .............................................................................................................................................................
(3) Special purpose vehicles (SPVs) ......................................................................................................................................
(4) Hedge funds .................................................................................................................................................................
(5) Miscellaneous ...............................................................................................................................................................
d. With nonfinancial ................................................................................................................................................................
2. Single-name Instruments ..........................................................................................................................................................
a. With reporting dealers ..........................................................................................................................................................
b. With central counterparties ...................................................................................................................................................
c. With other financial institutions, of which: .................................................................................................................................
(1) Banks and securities firms ...............................................................................................................................................
(2) Insurance firms .............................................................................................................................................................
(3) Special purpose vehicles (SPVs) ......................................................................................................................................
(4) Hedge funds .................................................................................................................................................................
(5) Miscellaneous ...............................................................................................................................................................
d. With nonfinancial ................................................................................................................................................................
3. Multiname Instruments .............................................................................................................................................................
a. With reporting dealers ..........................................................................................................................................................
b. With central counterparties ...................................................................................................................................................
c. With other financial institutions, of which: .................................................................................................................................
(1) Banks and securities firms ...............................................................................................................................................
(2) Insurance firms .............................................................................................................................................................
(3) Special purpose vehicles (SPVs) ......................................................................................................................................
(4) Hedge funds .................................................................................................................................................................
(5) Miscellaneous ...............................................................................................................................................................
d. With nonfinancial ................................................................................................................................................................

Bought

Sold

Bought

Sold

Over one year,
up to five years
Bought

Sold

Over five years
Bought

Sold

X201

X231

X261

X291

X321

X351

X381

X411

X202

X232

X262

X292

X322

X352

X382

X412

X203

X233

X263

X293

X323

X353

X383

X413

X204

X234

X264

X294

X324

X354

X384

X414

X205

X235

X265

X295

X325

X355

X385

X415

X206

X236

X266

X296

X326

X356

X386

X416

X207

X237

X267

X297

X327

X357

X387

X417

X208

X238

X268

X298

X328

X358

X388

X418

X209

X239

X269

X299

X329

X359

X389

X419

X210

X240

X270

X300

X330

X360

X390

X420

X211

X241

X271

X301

X331

X361

X391

X421

X212

X242

X272

X302

X332

X362

X392

X422

X213

X243

X273

X303

X333

X363

X393

X423

X214

X244

X274

X304

X334

X364

X394

X424

X215

X245

X275

X305

X335

X365

X395

X425

X216

X246

X276

X306

X336

X366

X396

X426

X217

X247

X277

X307

X337

X367

X397

X427

X218

X248

X278

X308

X338

X368

X398

X428

X219

X249

X279

X309

X339

X369

X399

X429

X220

X250

X280

X310

X340

X370

X400

X430

X221

X251

X281

X311

X341

X371

X401

X431

X222

X252

X282

X312

X342

X372

X402

X432

X223

X253

X283

X313

X343

X373

X403

X433

X224

X254

X284

X314

X344

X374

X404

X434

X225

X255

X285

X315

X345

X375

X405

X435

X226

X256

X286

X316

X346

X376

X406

X436

X227

X257

X287

X317

X347

X377

X407

X437

X228

X258

X288

X318

X348

X378

X408

X438

X229

X259

X289

X319

X349

X379

X409

X439

X230

X260

X290

X320

X350

X380

X410

X440

1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.

06/2016

FR 2436
Page 11 of 16

Table 4B—Credit Default Swaps by Rating Category
Notional Amounts Outstanding
Country
Code
Name

(A)
Total

(B)
Contracts involving reference entities with a rating of:

DERV

U.S. Dollar Amounts in Millions

T349

Instruments
1. All Contracts ................................................................................................................................................
a. With reporting dealers ................................................................................................................................
b. With central counterparties .........................................................................................................................
c. With other financial institutions, of which: .......................................................................................................
(1) Banks and securities firms .....................................................................................................................
(2) Insurance firms ...................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................
(4) Hedge funds .......................................................................................................................................
(5) Miscellaneous .....................................................................................................................................
d. With nonfinancial ......................................................................................................................................
2. Single-name Instruments ................................................................................................................................
a. With reporting dealers ................................................................................................................................
b. With central counterparties .........................................................................................................................
c. With other financial institutions, of which: .......................................................................................................
(1) Banks and securities firms .....................................................................................................................
(2) Insurance firms ...................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................
(4) Hedge funds .......................................................................................................................................
(5) Miscellaneous .....................................................................................................................................
d. With nonfinancial ......................................................................................................................................
3. Multiname Instruments ...................................................................................................................................
a. With reporting dealers ................................................................................................................................
b. With central counterparties .........................................................................................................................
c. With other financial institutions, of which: .......................................................................................................
(1) Banks and securities firms .....................................................................................................................
(2) Insurance firms ...................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................
(4) Hedge funds .......................................................................................................................................
(5) Miscellaneous .....................................................................................................................................
d. With nonfinancial ......................................................................................................................................

Bought

Sold

AAA or AA
Bought
Sold

A or BBB
Bought
Sold

BB and below
Bought
Sold

Not rated
Bought
Sold

X441

X471

X501

X531

X561

X591

X621

X651

X681

X711

X442

X472

X502

X532

X562

X592

X622

X652

X682

X712

X443

X473

X503

X533

X563

X593

X623

X653

X683

X713

X444

X474

X504

X534

X564

X594

X624

X654

X684

X714

X445

X475

X505

X535

X565

X595

X625

X655

X685

X715

X446

X476

X506

X536

X566

X596

X626

X656

X686

X716

X447

X477

X507

X537

X567

X597

X627

X657

X687

X717

X448

X478

X508

X538

X568

X598

X628

X658

X688

X718

X449

X479

X509

X539

X569

X599

X629

X659

X689

X719

X450

X480

X510

X540

X570

X600

X630

X660

X690

X720

X451

X481

X511

X541

X571

X601

X631

X661

X691

X721

X452

X482

X512

X542

X572

X602

X632

X662

X692

X722

X453

X483

X513

X543

X573

X603

X633

X663

X693

X723

X454

X484

X514

X544

X574

X604

X634

X664

X694

X724

X455

X485

X515

X545

X575

X605

X635

X665

X695

X725

X456

X486

X516

X546

X576

X606

X636

X666

X696

X726

X457

X487

X517

X547

X577

X607

X637

X667

X697

X727

X458

X488

X518

X548

X578

X608

X638

X668

X698

X728

X459

X489

X519

X549

X579

X609

X639

X669

X699

X729

X460

X490

X520

X550

X580

X610

X640

X670

X700

X730

X461

X491

X521

X551

X581

X611

X641

X671

X701

X731

X462

X492

X522

X552

X582

X612

X642

X672

X702

X732

X463

X493

X523

X553

X583

X613

X643

X673

X703

X733

X464

X494

X524

X554

X584

X614

X644

X674

X704

X734

X465

X495

X525

X555

X585

X615

X645

X675

X705

X735

X466

X496

X526

X556

X586

X616

X646

X676

X706

X736

X467

X497

X527

X557

X587

X617

X647

X677

X707

X737

X468

X498

X528

X558

X588

X618

X648

X678

X708

X738

X469

X499

X529

X559

X589

X619

X649

X679

X709

X739

X470

X500

X530

X560

X590

X620

X650

X680

X710

X740

1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.

06/2016

FR 2436
Page 12 of 16

Table 4C—Credit Default Swaps by Sector of Reference Entity
Notional Amounts Outstanding
Country
Code
Name

(A)
Total

(B)
Contracts involving reference entities that are:
Sovereigns

Financial
firms

DERV

U.S. Dollar Amounts in Millions

T350

Instruments
1. All Contracts .....................................................................................................................
a. With reporting dealers .....................................................................................................
b. With central counterparties ..............................................................................................
c. With other financial institutions, of which: ............................................................................
(1) Banks and securities firms ..........................................................................................
(2) Insurance firms ........................................................................................................
(3) Special purpose vehicles (SPVs) .................................................................................
(4) Hedge funds ............................................................................................................
(5) Miscellaneous ..........................................................................................................
d. With nonfinancial ...........................................................................................................
2. Single-name Instruments .....................................................................................................
a. With reporting dealers .....................................................................................................
b. With central counterparties ..............................................................................................
c. With other financial institutions, of which: ............................................................................
(1) Banks and securities firms ..........................................................................................
(2) Insurance firms ........................................................................................................
(3) Special purpose vehicles (SPVs) .................................................................................
(4) Hedge funds ............................................................................................................
(5) Miscellaneous ..........................................................................................................
d. With nonfinancial ...........................................................................................................
3. Multiname Instruments ........................................................................................................
a. With reporting dealers .....................................................................................................
b. With central counterparties ..............................................................................................
c. With other financial institutions, of which: ............................................................................
(1) Banks and securities firms ..........................................................................................
(2) Insurance firms ........................................................................................................
(3) Special purpose vehicles (SPVs) .................................................................................
(4) Hedge funds ............................................................................................................
(5) Miscellaneous ..........................................................................................................
d. With nonfinancial ...........................................................................................................

Bought

Sold

Bought

Sold

Bought

Sold

Nonfinancial
firms
Bought

Sold

Asset-backed
securities
Bought

Sold

Multiple
sectors
Bought

Sold

X741

X771

X801

X831

X861

X891

X921

X951

X981

Y002

Y022

Y042

X742

X772

X802

X832

X862

X892

X922

X952

X982

Y003

Y023

Y043

X743

X773

X803

X833

X863

X893

X923

X953

X983

Y004

Y024

Y044

X744

X774

X804

X834

X864

X894

X924

X954

X984

Y005

Y025

Y045

X745

X775

X805

X835

X865

X895

X925

X955

X985

Y006

Y026

Y046

X746

X776

X806

X836

X866

X896

X926

X956

X986

Y007

Y027

Y047

X747

X777

X807

X837

X867

X897

X927

X957

X987

Y008

Y028

Y048

X748

X778

X808

X838

X868

X898

X928

X958

X988

Y009

Y029

Y049

X749

X779

X809

X839

X869

X899

X929

X959

X989

Y010

Y030

Y050

X750

X780

X810

X840

X870

X900

X930

X960

X990

Y011

Y031

Y051

X751

X781

X811

X841

X871

X901

X931

X961

X752

X782

X812

X842

X872

X902

X932

X962

X753

X783

X813

X843

X873

X903

X933

X963

X754

X784

X814

X844

X874

X904

X934

X964

X755

X785

X815

X845

X875

X905

X935

X965

X756

X786

X816

X846

X876

X906

X936

X966

X757

X787

X817

X847

X877

X907

X937

X967

X758

X788

X818

X848

X878

X908

X938

X968

X759

X789

X819

X849

X879

X909

X939

X969

X760

X790

X820

X850

X880

X910

X940

X970

X761

X791

X821

X851

X881

X911

X941

X971

X991

Y012

Y032

Y052

X762

X792

X822

X852

X882

X912

X942

X972

X992

Y013

Y033

Y053

X763

X793

X823

X853

X883

X913

X943

X973

X993

Y014

Y034

Y054

X764

X794

X824

X854

X884

X914

X944

X974

X994

Y015

Y035

Y055

X765

X795

X825

X855

X885

X915

X945

X975

X995

Y016

Y036

Y056

X766

X796

X826

X856

X886

X916

X946

X976

X996

Y017

Y037

Y057

X767

X797

X827

X857

X887

X917

X947

X977

X997

Y018

Y038

Y058

X768

X798

X828

X858

X888

X918

X948

X978

X998

Y019

Y039

Y059

X769

X799

X829

X859

X889

X919

X949

X979

X999

Y020

Y040

Y060

X770

X800

X830

X860

X890

X920

X950

X980

Y001

Y021

Y041

Y061

1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.

Not Reported

06/2016

FR 2436
Page 13 of 16

Table 4D—Multiname Credit Default Swaps, of which Contracts that are Index Products
Notional Amounts Outstanding
Country
Code
Name

(A)
Total

(B)
Contracts that are
index products

DERV

U.S. Dollar Amounts in Millions

T351

Instruments
1. Multiname Instruments ...................................................................................................................................................................................................................
a. With reporting dealers ................................................................................................................................................................................................................
b. With central counterparties .........................................................................................................................................................................................................
c. With other financial institutions, of which: .......................................................................................................................................................................................
(1) Banks and securities firms .....................................................................................................................................................................................................
(2) Insurance firms ...................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) ............................................................................................................................................................................................
(4) Hedge funds .......................................................................................................................................................................................................................
(5) Miscellaneous .....................................................................................................................................................................................................................
d. With nonfinancial ......................................................................................................................................................................................................................

Bought

Sold

Bought

Sold

Y062

Y072

Y082

Y092

Y063

Y073

Y083

Y093

Y064

Y074

Y084

Y094

Y065

Y075

Y085

Y095

Y066

Y076

Y086

Y096

Y067

Y077

Y087

Y097

Y068

Y078

Y088

Y098

Y069

Y079

Y089

Y099

Y070

Y080

Y090

Y100

Y071

Y081

Y091

Y101

1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.

Table 4E—Credit Default Swaps by Location of Counterparty
Notional Amounts Outstanding

Aggregated Data
Contracts involving counterparties with:

Country
Code
Name

(B)
Reporting Dealers

(A)
Total

(B)
Non-Reporters

DERV

U.S. Dollar Amounts in Millions

T352

Instruments
1. All Contracts .....................................................................................................................................................................................................
a. With all counterparties in:
(1) United States ...........................................................................................................................................................................................
(2) Japan.....................................................................................................................................................................................................
(3) Western Europe1 ......................................................................................................................................................................................
(4) Latin America...........................................................................................................................................................................................
(5) Other Asian countries (except Japan) ...........................................................................................................................................................
(6) All other countries .....................................................................................................................................................................................

Bought

Sold

Bought

Sold

Bought

Sold

Y102

Y109

Y116

Y123

Y130

Y137

Y103

Y110

Y117

Y124

Y131

Y138

Y104

Y111

Y118

Y125

Y132

Y139

Y105

Y112

Y119

Y126

Y133

Y140

Y106

Y113

Y120

Y127

Y134

Y141

Y107

Y114

Y121

Y128

Y135

Y142

Y108

Y115

Y122

Y129

Y136

Y143

1.
1.a.
1.a.(1)
1.a.(2)
1.a.(3)
1.a.(4)
1.a.(5)
1.a.(6)

1. Western Europe consists of Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal, Spain, Sweden, Switzerland, and the United Kingdom. Further details on the region of counterparty are
provided in Annex III.

06/2016

FR 2436
Page 14 of 16

Table 4F—Credit Default Swaps
Gross Positive and Negative Fair Values
Country
Code
Name

Gross
positive
fair values

Gross
negative
fair values

DERV

U.S. Dollar Amounts in Millions

T353

Instruments
1. All Contracts .............................................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................
2. Single-name Instruments .............................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................
3. Multiname Instruments ................................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................

Y144

Y174

Y145

Y175

Y146

Y176

Y147

Y177

Y148

Y178

Y149

Y179

Y150

Y180

Y151

Y181

Y152

Y182

Y153

Y183

Y154

Y184

Y155

Y185

Y156

Y186

Y157

Y187

Y158

Y188

Y159

Y189

Y160

Y190

Y161

Y191

Y162

Y192

Y163

Y193

Y164

Y194

Y165

Y195

Y166

Y196

Y167

Y197

Y168

Y198

Y169

Y199

Y170

Y200

Y171

Y201

Y172

Y202

Y173

Y203

1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.
2.
2.a.
2.b.
2.c.
2.c.(1)
2.c.(2)
2.c.(3)
2.c.(4)
2.c.(5)
2.d.
3.
3.a.
3.b.
3.c.
3.c.(1)
3.c.(2)
3.c.(3)
3.c.(4)
3.c.(5)
3.d.

06/2016

FR 2436
Page 15 of 16

Table 4G—Counterparty Credit Exposure from Credit Default Swaps
Net Positive and Net Negative Fair Values1
Country
Code
Name
DERV

U.S. Dollar Amounts in Millions

T354

Instruments
1. All Contracts .............................................................................................................................................................................................................................................
a. With reporting dealers .............................................................................................................................................................................................................................
b. With central counterparties ......................................................................................................................................................................................................................
c. With other financial institutions, of which: ....................................................................................................................................................................................................
(1) Banks and securities firms ..................................................................................................................................................................................................................
(2) Insurance firms ................................................................................................................................................................................................................................
(3) Special purpose vehicles (SPVs) .........................................................................................................................................................................................................
(4) Hedge funds ....................................................................................................................................................................................................................................
(5) Miscellaneous ..................................................................................................................................................................................................................................
d. With nonfinancial ...................................................................................................................................................................................................................................

Claims

Liabilities

Y204

Y214

Y205

Y215

Y206

Y216

Y207

Y217

Y208

Y218

Y209

Y219

Y210

Y220

Y211

Y221

Y212

Y222

Y213

Y223

1.
1.a.
1.b.
1.c.
1.c.(1)
1.c.(2)
1.c.(3)
1.c.(4)
1.c.(5)
1.d.

1. Credit default swap (CDS) contracts should be netted in accordance with FIN 39, but only against other CDS contracts.

Table 4H—Synthetic Collateralized Debt Obligations
Notional Amounts Outstanding
Country
Code
Name
DERV
T355
U.S. Dollar Amounts in Millions
1. All Synthetic Collateralized Debt Obligations (CDOs) .........................................................................................................................................................................................

Bought
Y224

Sold
Y225

1.

12/2019

FR 2436
Page 16 of 16

Table 5—Notional Amounts of OTC Derivatives Contracts by Remaining Maturity
Country
Code
Name
DERV
T356
U.S. Dollar Amounts in Millions
1. Foreign Exchange Contracts ....................................................................................................
a. With reporting dealers .........................................................................................................
b. With central counterparties ..................................................................................................
c. With other financial institutions ..............................................................................................
d. With nonfinancial customers ................................................................................................
2. Interest Rate Contracts ...........................................................................................................
a. With reporting dealers .........................................................................................................
b. With central counterparties ..................................................................................................
c. With other financial institutions ..............................................................................................
d. With nonfinancial customers ................................................................................................
3. Equity Contracts ....................................................................................................................
a. With reporting dealers .........................................................................................................
b. With central counterparties ..................................................................................................
c. With other financial institutions ..............................................................................................
d. With nonfinancial customers ................................................................................................

Forwards and swaps

Bought options

Sold options

Total

One year
Over
Over
One year
Over
Over
One year
Over
Over
One year
Over
Over
or less one year, five years or less one year, five years or less one year, five years or less one year, five years
through
through
through
through
five years
five years
five years
five years
Y226

Y238

Y250

Y262

Y274

Y286

Y298

Y310

Y322

Y334

Y346

Y358

Y227

Y239

Y251

Y263

Y275

Y287

Y299

Y311

Y323

Y335

Y347

Y359

FM28

FM29

FM30

FM31

FM32

FM33

FM34

FM35

FM36

FM37

FM38

FM39

Y228

Y240

Y252

Y264

Y276

Y288

Y300

Y312

Y324

Y336

Y348

Y360

Y229

Y241

Y253

Y265

Y277

Y289

Y301

Y313

Y325

Y337

Y349

Y361

Y230

Y242

Y254

Y266

Y278

Y290

Y302

Y314

Y326

Y338

Y350

Y362

Y231

Y243

Y255

Y267

Y279

Y291

Y303

Y315

Y327

Y339

Y351

Y363

FM40

FM41

FM42

FM43

FM44

FM45

FM46

FM47

FM48

FM49

FM50

FM51

Y232

Y244

Y256

Y268

Y280

Y292

Y304

Y316

Y328

Y340

Y352

Y364

Y233

Y245

Y257

Y269

Y281

Y293

Y305

Y317

Y329

Y341

Y353

Y365

Y234

Y246

Y258

Y270

Y282

Y294

Y306

Y318

Y330

Y342

Y354

Y366

Y235

Y247

Y259

Y271

Y283

Y295

Y307

Y319

Y331

Y343

Y355

Y367

FM52

FM53

FM54

FM55

FM56

FM57

FM58

FM59

FM60

FM61

FM62

FM63

Y236

Y248

Y260

Y272

Y284

Y296

Y308

Y320

Y332

Y344

Y356

Y368

Y237

Y249

Y261

Y273

Y285

Y297

Y309

Y321

Y333

Y345

Y357

Y369

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

Table 6—Credit Exposures and Liabilities Arising from OTC Derivatives Contracts
Country
Code
Name
DERV
T357
U.S. Dollar Amounts in Millions
1. Gross positive/negative fair value ......................................................................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................................................................................................
b. With central counterparties ..........................................................................................................................................................................................................................
2. Fair value after netting agreements ....................................................................................................................................................................................................................
a. With reporting dealers .................................................................................................................................................................................................................................
b. With central counterparties ..........................................................................................................................................................................................................................

Credit
Exposures

Liabilities

Y370

Y374

Y371

Y375

FM64

FM65

Y372

Y376

Y373

Y377

FM66

FM67

1.
1.a.
1.b.
2.
2.a.
2.b.

06/2016