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pdfUNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM X-17A-5
OMB APPROVAL
OMB Number:
3235-0498
February 28, 2019
Expires:
Estimated average burden
hours per response. . . . . . . . 20
FOCUS REPORT
(Financial and Operational Combined Uniform Single Report)
PART IIB 11
OTC DERIVATIVES DEALER
(PLEASE READ INSTRUCTIONS BEFORE PREPARING FORM.)
THIS REPORT IS BEING FILED PURSUANT TO (Check Applicable Block(s)):
1) Rule 17a-12
16
2) Rule 17a-11
18
3) Other
26
___________________________________________________________________________ 13
(Name of Dealer)
______________________________________________14
(SEC File No.)
____________________________________________________________________________ 20
(Address of Principal Place of Business (DO NOT USE P.O. Box No.))
______________________________________________15
(Firm I.D. No.)
________________________________21_______________22________________________ 23
(City)
(State)
(Zip Code)
______________________________________________24
(For Period Beginning (MM/DD/YYYY))
______________________________________________25
(For Period Ending (MM/DD/YYYY))
NAME AND TELEPHONE NO. OF PERSON TO CONTACT IN REGARD TO THIS REPORT:
___________________________________________________________________________ 30
(Name)
______________________________________________31
((Area Code) - (Telephone No.)
OFFICIAL USE
NAME(s) OF SUBSIDIARIES OR AFFILIATES CONSOLIDATED IN THIS REPORT:
____________________________________________________________________________ 32
______________________________________________33
____________________________________________________________________________ 34
______________________________________________35
____________________________________________________________________________ 36
______________________________________________37
____________________________________________________________________________ 38
______________________________________________39
[Does respondent carry its own customer accounts?]
Yes
40
N0
Check here if respondent is filing an audited report:
41
42
EXECUTION:
The registrant/dealer submitting this Form and its attachments and the person(s) by whom it is executed
represent hereby that all information contained therein is true, correct and complete. It is understood that
all required items, statements, and schedules are considered integral parts of this Form and that the
submission of any amendment represents that all unamended items, statements and schedules remain
true, correct and complete as previously submitted.
Dated the ________________ day of ______________________________, ________
MANUAL SIGNATURES OF:
1) _________________________________________________________________________
(Principal Executive Officer or Managing Partner)
2) _________________________________________________________________________
(Principal Financial Officer or Partner)
3) _________________________________________________________________________
(Principal Operations Officer or Partner)
ATTENTION — Intentional misstatements or omissions of facts constitute Federal Criminal Violations.
(See 18 U.S.C. 1001 and 15 U.S.C. 78:f(a))
SEC 2430 (11-05) Page 1 of 28
FOR SEC USE ONLY
TO BE COMPLETED WITH THE ANNUAL AUDIT REPORT ONLY:
CERTIFIED PUBLIC ACCOUNTANT whose opinion is contained in this report:
____________________________________________________________________________________________________________ 70
((Name) If Individual, give last, first, middle name)
____________________________________________________________________________________________________________ 71
((Address) DO NOT USE P.O. Box No.)
__________________________________________ 72________________________________ 73 ____________________________ 74
(City)
(State)
(Zip Code)
DO NOT WRITE UNDER THIS LINE
FOR SEC USE ONLY
WORK LOCATION
50
REPORT DATE (MM/DD/YYYY)
51
DOC. SEQ. NO.
52
CARD
53
SEC 2430 (11-05) Page 2 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
___________________________________________________________________________N 2
100
(Name of Dealer)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
Consolidated
198
Unconsolidated
199
__________________________________________99
As of (MM/DD/YYYY)
____________________________________________98
(SEC File No.)
ASSETS
Assets
Allowable
Non-Allowable
Total
1. Cash .............................................................. $ ____________________ 200
2. Cash segregated in compliance with
federal and other regulations ......................
$ _____________________750
____________________210
____________________ 760
A. Failed to deliver .....................................
_____________________230
____________________ 770
B. Securities borrowed...............................
_____________________250
____________________ 780
C. Omnibus accounts ................................
_____________________270
____________________ 790
D. Clearing organization ............................
_____________________290
____________________ 800
1. Interest Rate ......................................
_____________________291
____________________ 801
2. Currency & Foreign Exchange .........
_____________________292
____________________ 802
3. Equity ...............................................
_____________________293
____________________ 803
4. Commodity ......................................
_____________________294
____________________ 804
5. Other ................................................
_____________________295
____________________ 805
F. Other ....................................................
_____________________300
3. Receivable from broker/dealers and
clearing organizations:
E. Contracts:
$ ___________________550
____________________ 810
4. Receivable from customers:
A. Securities accounts:
1. Cash and fully secured accounts.....
_____________________310
2. Partly secured accounts ..................
_____________________320
________________ 560
3. Unsecured accounts .......................
............................................
________________ 570
B. Commodity accounts ..........................
_____________________330
________________ 580
C. Allowance for doubtful accounts ........
(___________________)_335
(_______________) 590
____________________ 820
OMIT PENNIES
SEC 2430 (11-05) Page 3 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
ASSETS (continued)
Assets
Allowable
Non-Allowable
Total
5. Receivables from non-customers:
A. Cash and fully secured accounts ..........
$ ____________________ 340
B. Partly secured and unsecured accounts
$ ____________________ 350
$ ____________________ 600
$ _____________________ 830
6. Securities purchased under agreements
to resale ........................................................
_____________________360
______________________ 605
____________________ 840
7. Securities and spot commodities owned
at market value:
A. Bankers acceptances, certificates
of deposit and commercial paper ........
_____________________370
B. U.S. and Canadian government
obligations ............................................
____________________
___ 380
C. State and municipal government
obligations ............................................
_____________________390
D. Corporate obligations ..........................
_____________________400
E. Stocks and warrants ............................
_____________________410
F. Options ................................................
_____________________420
G. Arbitrage .............................................
_____________________422
H. Other securities ..................................
_____________________424
I.
_____________________430
Spot commodities .............................
____________________ 850
8. Securities owned not readily marketable:
A. At cost ........ $ _______________130
_____________________440
______________________ 610
____________________ 860
_____________________450
______________________ 620
____________________ 870
_____________________460
______________________ 630
____________________ 880
9. Other investments not readily marketable:
A. At cost ........ $ _______________140
B. At estimated fair value .......................
10. Securities borrowed under subordination
agreements and partners’ individual and
capital securities accounts at market
value:
A. Exempted
securities...... $ _______________ 150
B. Other ........... $ _______________ 160
OMIT PENNIES
SEC 2430 (11-05) Page 4 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
ASSETS (continued)
Assets
Allowable
Non-Allowable
Total
11. Secured demand notes - market value of
collateral:
A. Exempted
securities ........ $ __________________170
B. Other ............... $ __________________180
_____________________470
______________________ 640
____________________ 890
_____________________480
_____________________ 670
_____________________910
$ ____________________490
$ ______________________ 680
$ ____________________ 920
A. Dividends and interest receivable...
____________________500
_____________________ 690
B. Free shipments................................
____________________510
_____________________ 700
C. Loans and advances ......................
____________________520
_____________________ 710
D. Miscellaneous ................................
____________________530
_____________________ 720
12. Investment in and receivables from
affiliates, subsidiaries and associated
partnerships..........................................
13. Property, furniture, equipment, lease
hold improvements and rights under
lease agreements:
At cost (net of accumulated depreciation
and amortization) ........................................
14. Other Assets:
15.
TOTAL ASSETS.......
$
540
$
740
_____________________930
$
940
OMIT PENNIES
SEC 2430 (11-05) Page 5 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
LIABILITIES AND OWNERSHIP EQUITY
Liabilities
Total
16. Bank loans payable: ....................................................................................................................................................... $
___________________
1470
17. Securities sold under repurchase agreement ............................................................................................................. $
___________________
1480
18. Payable to brokers/dealers and clearing
organizations:
$
___________________
1500
B. Securities loaned: .................................................................................................................................................... $
___________________
1520
C. Omnibus accounts: ................................................................................................................................................
$
___________________
1540
D. Clearing organization: ..........................................................................................................................................
$
___________________
1560
E. Other ......................................................................................................................................................................
$
___________________
1570
A. Securities accounts-including
excess collateral of $ ___________________ 950 ............................................................................................ $
___________________ 1580
$
___________________
1590
A. Securities accounts ..............................................................................................................................................
$
___________________
1600
B. Commodities accounts ........................................................................................................................................
$
___________________
1610
$
___________________ 1620
A. Drafts payable .....................................................................................................................................................
$
___________________
1630
B. Accounts payable ................................................................................................................................................
$
___________________
1640
C. Income taxes payable .........................................................................................................................................
$
___________________
1650
D. Deferred income taxes ........................................................................................................................................
$
___________________
1660
E. Accrued expenses and other liabilities ...............................................................................................................
$
___________________
1670
F. Other ...................................................................................................................................................................
$
___________________
1680
A. Failed to receive: ....................................................................................................................................................
19. Payable to customers:
B. Commodities accounts ........................................................................................................................................
20. Payable to non-customers:
21. Securities sold not yet purchased
at market value- including
arbitrage of
$ ___________________
960
..........................................................................................
22. Accounts payable and accrued liabilities and expenses:
OMIT PENNIES
SEC 2430 (11-05) Page 6 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
LIABILITIES AND OWNERSHIP EQUITY (continued)
Liabilities
Total
23. Notes and mortgages payable:
A. Unsecured .......................................................................................................................................................
$
___________________
1690
B. Secured ..........................................................................................................................................................
$
___________________
1700
$
___________________ 1710
$
___________________ 1720
$
___________________ 1730
D. Accounts and other borrowings not qualified
for net capital purposes ..................................................................................................................................
$
___________________ 1750
TOTAL LIABILITIES .........................................................................................................
$
1760
24. Liabilities subordinated to claims of general creditors:
A. Cash borrowings: .............................................................................................................................................
1. from outsiders
$
___________________ 970
2. includes equity subordination
(15c3-1d) of
$ ___________________ 980
B. Securities borrowings, at market value ...........................................................................................................
1. from outsiders
$
___________________ 990
C. Pursuant to secured demand note collateral
agreements: ....................................................................................................................................................
1. from outsiders
$
___________________ 1000
2. includes equity subordination
(15c3-1d) of
$ ___________________ 1010
25.
OMIT PENNIES
SEC 2430 (11-05) Page 7 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
STATEMENT OF FINANCIAL CONDITION FOR OTC DERIVATIVES DEALERS
LIABILITIES AND OWNERSHIP EQUITY (continued)
Total
Ownership Equity
26. Sole proprietorship ................................................................................................................................................
$
___________________ 1770
___________________ 1780
27. Partnership-limited partners .................................................................................................................................
28. Corporation:
A. Preferred stock ...............................................................................................................................................
___________________ 1791
B. Common stock ................................................................................................................................................
___________________ 1792
C. Additional paid-in capital .................................................................................................................................
___________________ 1793
D. Retained earnings ............................................................................................................................................
___________________ 1794
E. Accumulated other comprehensive income .........................................................................................................
___________________ 1797
F. Total .................................................................................................................................................................
___________________ 1795
G. Less capital stock in treasury ..........................................................................................................................
(__________________) 1796
29.
TOTAL OWNERSHIP EQUITY ................................................................................
$
___________________ 1800
30.
TOTAL LIABILITIES AND OWNERSHIP EQUITY ................................................................................
$
1810
OMIT PENNIES
SEC 2430 (11-05) Page 8 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
COMPUTATION OF NET CAPITAL AND NET CAPITAL REQUIRED
(Electing 15c3-1 Appendix F)
CAPITAL
Capital
1. Total Ownership Equity ............................................................................................................................................
$
___________________
3480
2. Deduct: Ownership Equity not Allowable for Net Capital .........................................................................................
(_________________) 3490
3. Total Ownership Equity Qualified for Net Capital .....................................................................................................
___________________
3500
4. Add: Subordinated Liabilities Approved for Net Capital .........................................................................................
___________________
3520
5. Other Allowable Credits or Deductions ....................................................................................................................
___________________
3525
6. Total Capital and Approved Subordinations ............................................................................................................
___________________
3530
7. Non-Allowable Assets .......................................................................................
$
____________________
3540
8. Secured Demand Note Deficiency ....................................................................
____________________
3590
9. Other Deductions and Charges ........................................................................
____________________
3610
10. Total Non-Allowable Assets, Other Deductions and Charges (add lines 7 - 9).....................................................
(_________________)_ 3620
11. Tentative Net Capital (Must equal or exceed $100,000,000) ....................................................................................
$
___________________ 3640
$
___________________ 3677
Computation of Net Capital Requirements and Excess Net Capital
12. Market Risk Exposure:
A. Total Value at Risk ..........................................................................................
$
____________________ 3635
$
____________________
3645
Value at Risk Components:
1. Fixed Income (VaR) ...........................
$
___________________ 3636
2. Currency (VaR) ..................................
___________________
3637
3. Commodities (VaR) ..........................
___________________
3638
4. Equities (VaR) ...................................
___________________ 3639
NOTE: The sum of the value at risk components may not equal total value at risk.
B. Multiplication Factor ..................................................................................................... X
C. Subtotal (If Line 12A is positive, multiply Line 12A by 12B) .......................
____________________
3655
D. Alternative Method for Equities under Appendix A of Rule 15c3-1
(if applicable) ...............................................................................................
____________________
3665
E. Non - Marketable Securities .......................................................................
____________________
3675
F. Residual Positions ..........................................................................................................
____________________
3676
13. Subtotal Market Risk Exposure (add Lines 12C and 12D) ................................................................................................................
OMIT PENNIES
SEC 2430 (11-05) Page 9 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
COMPUTATION OF NET CAPITAL AND NET CAPITAL REQUIRED
(Electing 15c3-1 Appendix F)
CAPITAL (continued)
Capital
14. Credit Risk Exposure:
A. Credit Risk Charge (Counterparty)...........................................................
___________________
3678
B. Concentration Charge ..............................................................................
___________________
3650
15. Subtotal Credit Risk Exposure (add Lines 14A and 14B) .........................................................................................
$
___________________
3679
16. Net Capital (Line 11 less Lines 13 and 15) ...............................................................................................................
___________________
3750
17. Minimum Capital Requirement .................................................................................................................................
__________________
20,000,000 _
3758
18. Excess Net Capital (Line 16 less Line 17) .................................................................................................................
$
___________________ 3770
OMIT PENNIES
SEC 2430 (11-05) Page 10 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
COMPUTATION OF NET CAPITAL AND NET CAPITAL REQUIRED
(Under (c)(3)(vi) of Rule 15c3-1)
Capital
1. Total Ownership Equity (from Statement of Financial Condition - Item 1800) .......................................................
$
___________________ 3480
2. Deduct: Ownership Equity not allowable for Net Capital .........................................................................................
(________________)_ 3490
3. Total Ownership Equity Qualified for Net Capital ...................................................................................................
___________________ 3500
4. Add: Subordinated Liabilities Approved for Net Capital .........................................................................................
___________________
3520
5. Other Allowable Credits or Deductions ...................................................................................................................
___________________
3525
6. Total Capital and Approved Subordinations ............................................................................................................
$
3530
7. Non-Allowable Assets ................................................................................................................................................
(________________)_ 3540
8. Other Deductions and/or Charges ............................................................................................................................
(________________)_ 4000
9. Secured Demand Note Deficiency ............................................................................................................................
(________________)_ 3590
10. Commodity futures contracts and spot commodities proprietary capital charges ...........................................
(________________)_ 3600
11. Other additions and/or allowable credits
A. Credit add backs under 15c3-1(c)(15) .............................................................................................................
___________________ 3631
B. Other ...................................................................................................................................................................
___________________
3632
12. Tentative Net Capital (must equal or exceed $100,000,000)....................................................................................
$
3640
13. Haircuts on Securities (computed pursuant to 15c3-1(c)(2)(vi)):
A. Fixed Income ...............................................................................................
$
___________________ 3636
B. Currency ......................................................................................................
___________________
3637
C. Commodities ..............................................................................................
___________________
3638
D. Equities .......................................................................................................
___________________
3639
14. Total deductions and/or charges ............................................................................................................................
(________________)_ 4040
15. Undue Concentration ...............................................................................................................................................
(________________)_ 3650
16. Other (List) ................................................................................................................................................................
(________________)_ 3736
17. Credit Risk .................................................................................................................................................................
(________________)_ 4051
18. Net Capital ................................................................................................................................................................
$
4750
19. Minimum Net Capital .................................................................................................................................................
___
$ ________________
20,000,000
3758
20. Excess Net Capital ...................................................................................................................................................
$
__________________ 3770
OMIT PENNIES
SEC 2430 (11-05) Page 11 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
For the Period (MM/DD/YYYY) from _____________________________________ 3932
to ________________________________________________ 3933
__________________________________________________________________________
Number of months included
in this statement
(Name of Dealer)
3931
STATEMENT OF INCOME (LOSS) or STATEMENT OF COMPREHENSIVE INCOME (as defined in §210.1-02 of Regulation S-X), as applicable
REVENUE
1. Contracts:
A. Interest Rate/Fixed Income products ................................................................................................................
$
___________________ 3921
B. Over-the-counter currency and foreign exchange products for Net Capital ....................................................
___________________
3922
C. Equity products .................................................................................................................................................
___________________
3923
D. Commodity products ..........................................................................................................................................
___________________
3924
E. All other securities commissions .......................................................................................................................
___________________
3925
F. Total securities commissions ............................................................................................................................
$
__________________
3940
$
___________________ 3941
2. Gains or Losses on Firm Securities Trading Accounts:
A. From market making in over-the-counter equity securities ..............................................................................
1. Includes gains or (losses) OTC market making in exchange
listed equity securities .........................................................................
$ _____________________ 3943
B. From trading in debt securities ...........................................................................................................................
___________________ 3944
C. From market making in options on a national securities exchange .................................................................
___________________
3945
D. From all other trading ..........................................................................................................................................
___________________
3949
E. Total gains or (losses) .......................................................................................................................................
$
___________________ 3
950
$
___________________ 3952
3. Gains or Losses on Firm Securities Investment Accounts:
A. Includes realized gains (losses)..................................................................
B. Includes unrealized gains (losses)..............................................................
$
____________________ 4235
____________________
4236
C. Total realized and unrealized gains (losses) ...................................................................................................
4. Other Interest ...........................................................................................................................................................
___________________ 3953
5. Fees for account supervision, investment advisory and administrative services ...................................................
___________________ 3975
6. Revenue from research services .............................................................................................................................
___________________ 3980
7. Commodities revenue ..............................................................................................................................................
___________________ 3990
8. Other revenue ..........................................................................................................................................................
___________________ 3995
9. Total Revenue ............................................................................................................................................................
$
4030
EXPENSES
10. Compensation ........................................................................................................................................................
11. Clerical and administrative employees’ expenses ...................................................................................................
$
___________________ 4110
___________________ 4040
OMIT PENNIES
SEC 2430 (11-05) Page 12 of 28
FINANCIAL AND OPERATIONAL COMINED UNIFORM SINGLE REPORT
PART IIB
For the Period (MM/DD/YYYY) from _____________________________________ 3932
to ________________________________________________ 3933
Number of months included
in this statement
__________________________________________________________________________
(Name of Dealer)
3931
STATEMENT OF INCOME (LOSS) or STATEMENT OF COMPREHENSIVE INCOME (as defined in §210.1-02 of Regulation S-X), as applicable
EXPENSES (continued)
12. Salaries and other employment costs for general partners, and voting stockholder officers ...............................
A. Includes interest credited to General and Limited Partners capital
accounts ....................................................................................................
$ ____________________ 4120
$ _____________________ 4130
13. Floor brokerage paid to certain brokers (see definition) .........................................................................................
____________________ 4050
14. Commissions and clearance paid to all other brokers (see definition) ...................................................................
____________________ 4145
15. Clearance paid to non-brokers (see definition) .......................................................................................................
____________________ 4135
16. Communications .......................................................................................................................................................
____________________ 4060
17. Occupancy and equipment costs ...........................................................................................................................
____________________ 4080
18. Promotional costs .....................................................................................................................................................
____________________ 4150
19. Interest expense ......................................................................................................................................................
____________________ 4075
A. Includes interest on accounts subject to subordination agreements ....................
_____________________ 4070
20. Losses in error account and bad debts ................................................................................................................................................
____________________ 4170
21. Data processing costs (including service bureau service charges) ..................................................................................................
____________________ 4186
22. Non-recurring charges .............................................................................................................................................................................
____________________ 4190
23. Regulatory fees and expenses ...............................................................................................................................................................
____________________ 4195
24. Other expenses ........................................................................................................................................................................................
____________________ 4100
25. Total expenses .........................................................................................................................................................................................
$
4200
NET INCOME / COMPREHENSIVE INCOME
26. Income (loss) before Federal income taxes and items below (Item 10 less Item 26)..............................................
$ ____________________ 4210
27. Provision for Federal income taxes (for parent only) ...............................................................................................
____________________ 4220
28. Equity in earnings (losses) of unconsolidated subsidiaries not included above ...................................................
____________________ 4222
A. After Federal income taxes of ...................................................................
_____________________ 4338
29. [RESERVED]
A. [RESERVED]
30. [RESERVED]
31. Net income (loss) after Federal income taxes .....................................................................................................
____________________ 4230
32 Other comprehensive income (loss) ......................................................................................................................
____________________ 4226
A. After Federal income taxes of .......................................................................
_____________________ 4227
____________________ 4228
33. Comprehnsive income (loss) ............................................................................................................................................................
MONTHLY INCOME
34.Income (current month only) before provision for Federal income taxes ...........................................................
$
4211
OMIT PENNIES
SEC 2430 (11-05) Page 13 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
Ownership Equity and Subordinated Liabilities maturing or proposed to be withdrawn within the next six months and accruals, (as defined
below), which have not been deducted in the computation of Net Capital.
Type of Proposed
Withdrawal
or Accrual
Name of Lender or Contributor
(see below for code to enter)
Insider
or
Outsider?
Amount to be
Withdrawn
(cash amount and/or Net
Capital Value of Securities)
(In or Out)
Withdrawal
or
Maturity Date
Expect
to
Renew
(MM/DD/YYYY)
(Yes or No)
__________________________ 4600
______________________________________________ 4601
________________ 4602
$ _____________________ 4603
_____________ 4604
__________ 4605
__________________________ 4610
______________________________________________ 4611
________________ 4612
_____________________ 4613
_____________ 4614
__________ 4615
__________________________ 4620
______________________________________________ 4621
________________ 4622
_____________________ 4623
_____________ 4624
__________ 4625
__________________________ 4630
______________________________________________ 4631
________________ 4632
_____________________ 4633
_____________ 4634
__________ 4635
__________________________ 4640
______________________________________________ 4641
________________ 4642
_____________________ 4643
_____________ 4644
__________ 4645
__________________________ 4650
______________________________________________ 4651
________________ 4652
_____________________ 4653
_____________ 4654
__________ 4655
__________________________ 4660
______________________________________________ 4661
________________ 4662
_____________________ 4663
_____________ 4664
__________ 4665
__________________________ 4670
______________________________________________ 4671
________________ 4672
_____________________ 4673
_____________ 4674
__________ 4675
__________________________ 4680
______________________________________________ 4681
________________ 4682
_____________________ 4683
_____________ 4684
__________ 4685
__________________________ 4690
______________________________________________ 4691
________________ 4692
_____________________ 4693
_____________ 4694
__________ 4695
Total $
4699*
* To agree with the total on Recap (Item No. 4880)
OMIT PENNIES
WITHDRAWAL CODE:
1
2
3
4
INSTRUCTIONS:
DESCRIPTIONS
Equity Capital
Subordinated Liabilities
Accruals
15c3-1(c)(2)(iv) Liabilities
Detail Listing must include the total of items maturing during the six month period following the report date, regardless of
whether or not the capital contribution is expected to be renewed. The schedule must also include proposed capital
withdrawals scheduled within the six month period following the report date including the proposed redemption of stock
and payments of liabilities secured by fixed assets (which are considered allowable assets in the capital computation
pursuant to Rule 15c-3-1(c)(2)(iv)), which could be required by the lender on demand or in less than six months.
SEC 2430 (11-05) Page 14 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
CAPITAL WITHDRAWALS
PART IIB
______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
Ownership Equity and Subordinated Liabilities maturing or proposed to be withdrawn within the next six months and accruals, which have
not been deducted in the computation of net capital.
RECAP
1. Equity Capital
A. Partnership Capital:
1. General Partners ..................................................................................
$ _____________________ 4700
2. Limited ..................................................................................................
_____________________ 4
710
3. Undistributed Profits .............................................................................
_____________________ 4
720
4. Other (describe below) .........................................................................
_____________________ 4
730
5. Sole Proprietorship ...............................................................................
_____________________ 4
735
B. Corporation Capital:
1. Common Stock .....................................................................................
$ _____________________ 4740
2. Preferred Stock .....................................................................................
_____________________ 4
750
3. Retained Earnings (Dividends and Other) ...........................................
_____________________ 4
760
4. Other (describe below) .........................................................................
_____________________ 4
770
2. Subordinated Liabilities
A. Secured Demand Notes .............................................................................
$ _____________________ 4780
B. Cash Subordinates .....................................................................................
_____________________ 4
790
C. Debentures .................................................................................................
_____________________ 4
800
D. Other (describe below) ...............................................................................
_____________________ 4
810
3. Other Anticipated Withdrawals
A. Bonuses ......................................................................................................
$ _____________________ 4820
B. Voluntary Contributions to Pension or Profit Sharing Plans .....................
_____________________ 4
860
C. Other (describe below) ...............................................................................
_____________________ 4
870
4. Description of Other
_____________________________________________________________________________________________________________
_____________________________________________________________________________________________________________
_____________________________________________________________________________________________________________
_____________________________________________________________________________________________________________
5. TOTAL ........................................................................................................................................................................
$
___________________ 4880
OMIT PENNIES
SEC 2430 (11-05) Page 15 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
CAPITAL WITHDRAWALS
PART IIB
______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
STATEMENT OF CHANGES IN OWNERSHIP EQUITY
(SOLE PROPRIETORSHIP, PARTNERSHIP OR CORPORATION)
1. Balance, beginning of period ...................................................................................................................................
$ ____________________ 4240
A. Net income (loss) ................................................................................................................................................
____________________ 4250
B. Additions (includes non-conforming capital of .........................................
$ _____________________ 4262
____________________ 4260
C. Deductions ........................ .........................................................................
_____________________ 4272
____________________ 4270
2. Balance, end of period (From item 1800) .................................................................................................................
$
4290
STATEMENT OF CHANGES IN LIABILITIES SUBORDINATED
TO CLAIMS OF GENERAL CREDITORS
3. Balance, beginning of period ...................................................................................................................................
$ ____________________ 4300
A. Increases .............................................................................................................................................................
____________________ 4310
B. Decreases ...........................................................................................................................................................
(__________________)_ 4320
4. Balance, end of period (From item 3520).................................................................................................................
$
4330
OMIT PENNIES
SEC 2430 (11-05) Page 16 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
FINANCIAL AND OPERATIONAL DATA
VALUATION
NUMBER
1. Month end total number of stock record breaks unresolved over
three business days
A. Breaks long .................................................................................................
$
____________________ 4890
___________________
4900
B. Breaks short ...............................................................................................
$
____________________ 4910
___________________
4920
2. Is the firm in compliance with Rule 17a-13 regarding periodic count and verification of securities positions and locations at
least once in each calendar quarter? (Check one)
Yes
4930
No
4940
3. Personnel employed at end of reporting period:
A. Income producing personnel ..............................................................................................................................
___________________
4950
B. Non-income producing personnel (all other)......................................................................................................
___________________
4960
C. Total ...................................................................................................................................................................
___________________
4970
4. Actual number of tickets executed during current month of reporting period .......................................................
___________________
4980
5. Number of corrected customer confirmations mailed after settlement date ..........................................................
___________________ 4990
NO. OF ITEMS
DEBIT
(Short Value)
NO. OF ITEMS
CREDIT
(Long Value)
6. Money differences .........................................
___________ 5000 $ ___________________ 5010 ___________ 5020 $ ___________________5030
7. Security suspense accounts .........................
___________ 5040 $ ___________________ 5050 ___________ 5060 $ ___________________5070
8. Security difference accounts .........................
___________ 5080 $ ___________________ 5090 ___________ 5100 $ ___________________5110
9. Commodity suspense accounts.....................
___________ 5120 $ ___________________ 5130 ___________ 5140 $ ___________________5150
10. Open transactions with correspondents, other
brokers, clearing organizations, depositories
and interoffice and intercompany accounts
which could result in a charge - unresolved
amounts over 30 calendar days .................... ___________ 5160 $ ___________________ 5170 ___________ 5180 $ ___________________5190
11. Bank account reconciliations - unresolved
amounts over 30 calendar days ....................
___________ 5200 $ ___________________ 5210 ___________ 5220 $ ___________________5230
12. Open transfers over 40 calendar days,
not confirmed ................................................
___________ 5240 $ ___________________ 5250 ___________ 5260 $ ___________________5270
13. Transactions in reorganization accounts
- over 60 calendar days .................................
___________ 5280 $ ___________________ 5290 ___________ 5300 $ ___________________5310
14. Total ..................... .........................................
___________ 5320 $ ___________________ 5330 ___________ 5340 $ ___________________5350
OMIT PENNIES
SEC 2430 (11-05) Page 17 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
FINANCIAL AND OPERATIONAL DATA (continued)
NO. OF ITEMS
Ledger Amount
Market Value
15. Failed to deliver 11 business days or longer (21 business
days or longer in the case of Municipal Securities)........................
____________ 5360
$ ____________________5361
$ ___________________ 5362
16. Failed to receive 11 business days or longer (21 business
days or longer in the case of Municipal Securities)........................
____________ 5363
$ ____________________5364
$ ___________________ 5365
Proprietary positions .............................................................................................................................................
$ ___________________ 5370
18. Total of personal capital borrowings due within six months .......................................................................................
$ ___________________ 5378
19. Maximum haircuts on underwriting commitments during the period .........................................................................
$ ___________________ 5380
20. Planned capital expenditures for business expansion during next six months ........................................................
$ ___________________ 5382
21. Liabilities of other individuals or organizations guaranteed by respondent ..............................................................
$ ___________________ 5384
22. Lease and rentals payable within one year ................................................................................................................
$ ___________________ 5386
17. Security concentrations (See instructions in Part I):
A.
23. Aggregated lease and rental commitments payable for entire term of the lease
A.
Gross ...................................................................................................................................................................
$ ___________________ 5388
B.
Net ......................................................................................................................................................................
$ ___________________ 5390
OMIT PENNIES
SEC 2430 (11-05) Page 18 of 28
SEC 2430 (11-05) Page 19 of 28
Current
Net
Exposure (7)
Total
Credit
Exposure (8)
Report net replacement value, including the effect of legally enforceable netting agreements but excluding the application of collateral.
Report current net exposure, including the effect of legally enforceable netting agreements and the application of collateral.
(6)
(7)
Provide additional relevant information (e.g., details on credit enhancements, type of contract, maturity, offsetting, significant additional exposures in affiliated entities, etc.).
Report gross replacement value (receivable and payable), excluding the effect of legally enforceable netting agreements and excluding the application of collateral.
(5)
(9)
Ratings are Nationally Recognized Statistical Rating Organization (“NRSRO”) ratings or internal credit ratings as assigned by the firm. See Schedule IV for conversion
of firm ratings into NRSRO equivalent ratings.
(4)
Report the sum of the current net exposure and the potential additional credit exposure (calculated as the maximum credit exposure expected to be exceeded with a probability
of one percent over a two-week period, less current net exposure).
Report on a counterparty-by-counterparty basis by type of entity in accordance with ISDA guidelines (i.e., Primary ISDA Members, Non-Primary ISDA Members,
Corporates, Financial Institutions, Government/Supranationals, or Other).
(3)
(8)
Identify country exposures by residence of main operating company.
Comments (9)
(2)
_____________________________________________________________________________
Rating (4)
Net
Replacement
Value (6)
Identify counterparty by counterparty’s corporate name.
Country (2)
Industry
Segment (3)
Gross
Replacement Value (5)
Receivable
Payable
(Gross Gain)
(Gross Loss)
SCHEDULE I
CREDIT-CONCENTRATION REPORT FOR TWENTY LARGEST CURRENT NET EXPOSURES
as of __________________________
(1)
Totals
Counterparty
Identifier (1)
OTC Derivatives Dealer:
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
SEC 2430 (11-05) Page 20 of 28
Industry
Segment (2)
GRAND TOTAL
TOTAL
Corporate
Financial Institutions
Government
Other
Primary ISDA Member
TOTAL
Corporate
Financial Institutions
Government
Other
Primary ISDA Member
TOTAL
Corporate
Financial Institutions
Government
Other
Primary ISDA Member
5) See Note (5) on Schedule I.
4) See Note (6) on Schedule I.
(3) See Note (7) on Schedule I.
2) See Note (3) on Schedule I.
(1) See Note (4) on Schedule I.
X
XX
XXX
Credit Rating
Category (1)
OTC Derivatives Dealer:
Current Net
Exposure (3)
Net
Replacement
Value (4)
Gross
Replacement Value (5)
Receivable
Payable
SCHEDULE II
PORTFOLIO SUMMARY OF OTC DERIVATIVES EXPOSURES
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
as of __________________________
GRAND TOTAL
Country B TOTAL
XXX
XX
X
YYY
YY
Y
Country A TOTAL
XXX
XX
X
YYY
YY
Y
Credit Rating
Category (2)
Current Net
Exposure (3)
Net
Replacement
Value (4)
(5) See Note (5) on Schedule I.
(4) See Note (6) on Schedule I.
(3) See Note (7) on Schedule I.
(2) See Note (4) on Schedule I.
Gross
Replacement Value (5)
Receivable
Payable
SCHEDULE III
GEOGRAPHIC DISTRIBUTION (1) OF OTC DERIVATIVES EXPOSURES
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
(1) Top 10 country exposures (by residence of main operating company).
B
A
Country
OTC Derivatives Dealer:
SEC 2430 (11-05) Page 21 of 28
as of __________________________
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
OTC Derivatives Dealer:
as of __________________________
SCHEDULE IV
INTERNAL CREDIT RATING CONVERSION
Internal Credit Rating
Equivalent Ratings
NRSRO 1
NRSRO 2
Aaa
AAA
Aa1
Aa2
Aa3
AA+
AA
AA
A1
A2
A3
A+
A
A
Baa1
Baa2
Baa3
BBB+
BBB
BBB
Ba1
Ba2
Ba3
BB+
BB
BB
B3
B2
B1
B+
B
B
CCC
CCC
SEC 2430 (11-05) Page 22 of 28
SEC 2430 (11-05) Page 23 of 28
[MONTH 1]
Product types shpuld be organized by one or more principle market categories.
Month Ended
[MONTH 2]
(2)
[MONTH 3]
Report net revenues from OTC derivatives activities in the specified product category after taking into account related positions (including those that
are not OTC derivatives), with net revenues defined as trading gains/losses plus interest and dividend income less dividend and interest expense
(excluding all other expenses and allocable overhead).
Quarter
Ended
[DATE]
SCHEDULE V
NET REVENUES (1) FROM OTC DERIVATIVES AND RELATED ACTIVITIES
as of __________________________
(1)
Total All Products
Other Products (specify)
Commodity Products
Equity Products
Currency & Foreign Exchange Products
OTC Options
Swaps
Dollar
Non-Dollar
Fixed Income Products
Product Category (2)
OTC Derivatives Dealer:
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
SCHEDULE VI
AGGREGATE SECURITIES AND OTC DERIVATIVE POSITIONS
I. AGGREGATE SECURITIES AND COMMODITIES POSITIONS
Aggregate Securities and Commodities Positions
LONG
SHORT
1. U.S. Treasury securities ..................................................................................
$
___________________ 6200
$
___________________
6201
2. U.S. Government agency .................................................................................
$
___________________ 6210
$
___________________
6211
3. Securities issued by states and political subdivisions in the U.S. ..................
$
___________________ 6220
$
___________________
6021
4. Foreign securities:
A. Debt securities ............................................................................................
$
___________________ 6230
$
___________________
6231
B. Equity securities .........................................................................................
$
___________________ 6235
$
___________________
6236
5. Banker’s acceptances ......................................................................................
$
___________________ 6240
$
___________________
6241
6. Certificates of deposit .......................................................................................
$
___________________ 6250
$
___________________
6251
7. Commercial paper ............................................................................................
$
___________________ 6260
$
___________________
6261
8. Corporate obligations .......................................................................................
$
___________________ 6270
$
___________________
6271
9. Stocks and warrants (other than arbitrage positions) .....................................
$
___________________ 6280
$
___________________
6281
10. Arbitrage:
A. Index arbitrage and program trading .........................................................
$
___________________ 6290
$
___________________
6291
B. Risk arbitrage ..............................................................................................
$
___________________ 6295
$
___________________
6296
C. Other arbitrage ...........................................................................................
$
___________________ 6300
$
___________________
6301
A. Market value of put options:
1. Listed ....................................................................................................
$
___________________ 6310
$
___________________
6311
2. Unlisted .................................................................................................
$
___________________ 6315
$
___________________
6316
B. Market value of call options:
1. Listed ....................................................................................................
$
___________________ 6320
$
___________________
6321
2. Unlisted .................................................................................................
$
___________________ 6325
$
___________________
6326
12. Spot commodities ............................................................................................
$
___________________ 6330
$
___________________
6331
13. Investments with no ready market:
A. Equity ..........................................................................................................
$
___________________ 6340
$
___________________
6341
B. Debt ............................................................................................................
$
___________________ 6345
$
___________________
6346
C. Other (include limited partnership interests) .............................................
$
___________________ 6350
$
___________________
6351
14. Other securities or commodities ......................................................................
$
___________________ 6360
$
___________________
6361
11. Options:
15. Summary of delta or similar analysis (if available)(attach analysis)
000’s OMITTED
SEC 2430 (11-05) Page 24 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
II. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND WITH CONCENTRATION OF CREDIT RISK
(Provide notional or contractual amounts where appropriate, or in the case of options, the values of the underlying instrument.)
A.
Securities
1.
When-issued securities:
A. Gross commitments to purchase ..........................................................
$
___________________
6400
$
___________________ 6401
B.
$
___________________ 6405
$
___________________
6402
Written stock option contracts:
A. Market value, and the value of the underlying securities, of call contracts:
1. Listed
a. Market value............................................................................
$
___________________
6410
$
___________________ 6411
2.
LONG
Gross commitments to sell ....................................................................
Value of underlying securities ................................................
$
___________________
6415
$
___________________ 6416
Unlisted
a. Market value ...........................................................................
$
___________________
6420
$
___________________ 6421
b.
Value of underlying securities ................................................
$
___________________
6425
$
___________________ 6426
Market value, and the value of the underlying securities, of put contracts:
1. Listed
a. Market value............................................................................
$
___________________
6430
$
___________________ 6431
Value of underlying securities ................................................
$
___________________
6435
$
___________________ 6436
Unlisted
a. Market value ...........................................................................
$
___________________
6440
$
___________________ 6441
b.
$
___________________
6445
$
___________________ 6446
Market value, and the value of the underlying securities, of naked call contracts:
1. Listed
a. Market value............................................................................
$ ___________________
6450
$
___________________ 6451
b.
2.
B.
b.
2.
C.
Value of underlying securities ................................................
Value of underlying securities ................................................
$
___________________
6455
$
___________________ 6456
Unlisted
a. Market value ...........................................................................
$
___________________
6460
$
___________________ 6461
b.
$
___________________
6465
$
___________________ 6466
Market value, and the value of the underlying securities, of naked put contracts:
1. Listed
a. Market value............................................................................
$ ___________________
6470
$
___________________ 6471
b.
2.
D.
SHORT
Value of underlying securities ................................................
$
___________________
6475
$
___________________ 6476
Unlisted
a. Market value ...........................................................................
$
___________________
6480
$
___________________ 6481
b.
$
___________________
6485
$
___________________ 6486
b.
2.
Value of underlying securities ................................................
Value of underlying securities ................................................
000’s OMITTED
SEC 2430 (11-05) Page 25 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
II. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND WITH CONCENTRATION OF CREDIT RISK
(Provide notional or contractual amounts where appropriate, or in the case of options, the values of the underlying instrument.)
LONG
3.
4.
Futures:
A. U.S. Treasury and mortgage-backed securities futures ........................
$
___________________ 6500
$
___________________
6501
B.
Other futures (specify) ............................................................................
$
___________________ 6505
$
___________________
6506
Forwards:
A. U.S. Treasury and mortgage-backed securities ....................................
$
___________________ 6510
$
___________________
6511
$
___________________ 6512
$
___________________ 6513
Other forwards (specify) ..........................................................................................
$
___________________ 6515
$
___________________
6516
1.
Aggregate current cost of replacing contracts by counterparty...
$
___________________ 6517
$
___________________ 6518
2.
Per counterparty breakdown where credit risk exceeds the
(attach schedule)
B.
1.
Aggregate current cost of replacing contracts by counterparty...
2.
Per counterparty breakdown where credit risk exceeds the
(attach schedule)
B.
Interest Rate Swaps
1.
U.S. dollar denominated swaps:
2.
SHORT
A.
Total notional or contractual amount ....................................................
$
___________________ 6520
$
___________________
6521
B.
Aggregate current cost of replacing contracts by counterparty.........................
$
___________________ 6525
$
___________________ 6
526
C.
Per counterparty breakdown (attach schedule)
Cross currency swaps:
A.
Total notional or contractual amount ....................................................
$
___________________ 6530
$
___________________
6531
B.
Aggregate current cost of replacing contracts .....................................................
$
___________________ 6535
$
___________________
6536
C.
Per counterparty breakdown (attach schedule)
C. Foreign exchange
1.
2.
Swaps:
A.
Total notional or contractual amount ....................................................
$
___________________ 6540
$
___________________
6541
B.
Aggregate cost of replacing contracts by counterparty.......................................
$
___________________ 6545
$
___________________
6546
C.
Per counterparty breakdown (attach schedule)
$
___________________
6550
$
___________________ 6551
Notional or contractual amounts of commitments to purchase
foreign currencies and U.S. dollar exchange:
A.
Futures ...................................................................................................
000’s OMITTED
SEC 2430 (11-05) Page 26 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
II. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND WITH CONCENTRATION OF CREDIT RISK
(Provide notional or contractual amounts where appropriate, or in the case of options, the values of the underlying instrument.)
LONG
B.
3.
SHORT
Forwards ................................................................................................
$
___________________ 6560
$
___________________
6561
1.
Aggregate current cost of replacing contracts by counterparty...
$
___________________ 6562
$
___________________ 6563
2.
Per counterparty breakdown (attach schedule)
Naked written option contracts:
A. Contractual value ...................................................................................
$
___________________ 6570
$
___________________
6571
B.
$
___________________ 6575
$
___________________
6576
Value of the underlying instruments ......................................................
D. All other swap agreements (specify type) (attach schedule if necessary)
1.
Total notional or contractual amount.............................................................
$
___________________ 6580
$
___________________
6581
2.
Aggregate current cost of replacing contracts by counterparty...................
$
___________________ 6585
$
___________________
6586
3.
Per counterparty breakdown (attach schedule)
E.
Commodities
1.
Futures............................................................................................................
$
___________________ 6590
$
___________________
6591
2.
Forwards ........................................................................................................
$
___________________ 6595
$
___________________
6596
$
___________________ 6600
$
___________________ 6601
Market value, and the value of the underlying instruments, of call contracts:
1. Listed
a. Market value...........................................................................
$
___________________ 6610
$
___________________
6611
1.
2.
3.
Aggregate current cost of replacing contracts by
counterparty............................................................................................
Per counterparty breakdown (attach schedule)
Sold option contracts (e.g., options on individual commodities and
commodities indexes)
A.
b.
Value of underlying instruments ...........................................
$
___________________ 6612
$
___________________
6613
Unlisted
a. Market value...........................................................................
$
___________________ 6615
$
___________________
6616
b.
$
___________________ 6617
$
___________________
6618
Market value, and the value of the underlying instruments, of put contracts:
1. Listed
a. Market value...........................................................................
$
___________________ 6620
$
___________________
6621
___________________ 6622
$
___________________
6623
2.
B.
b.
Value of underlying instruments ...........................................
Value of underlying instruments ...........................................
$
000’s OMITTED
SEC 2430 (11-05) Page 27 of 28
FINANCIAL AND OPERATIONAL COMBINED UNIFORM SINGLE REPORT
PART IIB
_______________________________________________________________________
________________________
(Name of Dealer)
As of (MM/DD/YYYY)
II. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK AND WITH CONCENTRATION OF CREDIT RISK
(Provide notional or contractual amounts where appropriate, or in the case of options, the values of the underlying instrument.)
LONG
2.
Unlisted
a. Market value....................................................................
$
___________________ 6625
$
___________________
6626
b.
$
___________________ 6627
$
___________________
6628
$
___________________ 6630
$
___________________
6631
Value of underlying instruments ....................................
$
___________________ 6632
$
___________________
6633
Unlisted
a. Market value....................................................................
$
___________________ 6635
$
___________________
6636
b.
$
___________________ 6637
$
___________________
6638
$
___________________ 6640
$
___________________
6641
Value of underlying instruments ....................................
$
___________________ 6642
$
___________________
6643
Unlisted
a. Market value....................................................................
$
___________________ 6645
$
___________________
6646
b.
$
___________________ 6647
$
___________________
6648
Value of underlying instruments ....................................
C. Market value, and the value of the underlying instruments, of naked
call contracts:
1. Listed
a. Market value....................................................................
b.
2.
D.
Value of underlying instruments ....................................
Market value, and the value of the underlying instruments, of naked
put contracts:
1. Listed
a. Market value....................................................................
b.
2.
SHORT
Value of underlying instruments ....................................
000’s OMITTED
SEC 2430 (11-05) Page 28 of 28
FORM X-17A-5, PART IIB
GENERAL INSTRUCTIONS
The FOCUS Report (Form X-17A-5IIB) constitutes the basic financial and operational report required of OTC derivatives dealers.
Much of the information required by the FOCUS report is the same or similar to the information required to be reported by brokerdealers required to file Form X-17A-5 Part II. Consequently, for those items that appear on both forms, the instructions for X-17A-5
Part II are to be followed when completing Form X-17A-5 Part IIB. The following instructions apply to new information requests
and to items appearing on both forms that have been altered to better reflect an OTC derivatives dealer’s unique business.
Computation of Net Capital and Required Net Capital
(Under Rule 15c3-1 Appendix F)
For purposes of paragraph (a)(5) of Rule 15c3-1 of this chapter (§240.15c3-1, the term “tentative net capital” means the net capital of
an OTC derivatives dealer before deducting the charges for market and credit risk as computed pursuant to Appendix F and increased
by the balance sheet value (including counter-party net exposure) resulting from transactions in eligible OTC derivative instruments
which would otherwise be deducted by virtue of paragraph (c)(2)(iv) of Rule 15c3-1.
Market risk exposure
The capital requirement for an OTC derivatives dealer electing to apply Appendix F of Rule 240.15c3-1 is computed as follows:
(1) Value-at-Risk. An OTC derivatives dealer shall deduct from net worth an amount for market risk exposure for eligible OTC
derivatives transactions and other positions in its proprietary or other accounts equal to the value at risk (“VAR”) of these
positions obtained from its proprietary VAR model, multiplied by the appropriate multiplication factor. See paragraph
(e)(1)(v)(C) of Appendix F for more information on the multiplication factor. The proprietary model used to calculate the
capital requirement for market risk must be approved by the Commission prior to its use.
(2) Alternative Method for Equities. An OTC derivatives dealer may choose to use the Alternative Method to calculate market
risk for equity instruments, including OTC options. An OTC derivatives dealer may also use this alternative method if the
Commission does not approve the OTC derivatives dealer’s use of VAR models for equity instruments. Under the
alternative method, the deduction for market risk will be an amount equal to the largest theoretical loss calculated in
accordance with the theoretical pricing model set forth in Appendix A of § 240.15c3-1. The OTC derivatives dealer may
use its own theoretical pricing model as long as it contains the minimum pricing factors set forth in Appendix A.
(3) Non-Marketable Securities. An OTC derivatives dealer may not use a VAR model to determine a capital charge for any
category of securities having no ready market or any category of debt securities which are below investment grade, or any
derivative instrument based on the value of these categories of securities, unless the Commission has granted, pursuant to
paragraph (a)(1) of Appendix F, for an alternative treatment for any such category of securities, rather than calculate the
market risk capital charge for category of securities under paragraphs (c)(2)(vi) and (vii) of §240.15c3-1.
(4) Residual Positions. To the extent that a position has not been included in the calculation of the market risk charge in
subparagraphs (1) through (3) of this paragraph, the market risk charge for the position shall be computed under paragraph
(c)(2)(vi) of § 240.15c3-1.
Credit risk exposure
The capital requirement for credit risk arising from an OTC derivatives dealer’s eligible OTC derivatives transactions consists of a
counter-party charge and a concentration charge. The counter-party charge is computed as follows:
(1) The net replacement value for each counter-party (including the effect of legally enforceable netting agreements and the
application of liquid collateral) multiplied by 8% multiplied by the counter-party factor. The counter-party factors are 20%
of entities with ratings for senior unsecured long term debt or commercial paper in the two highest rating categories by a
nationally recognized statistical rating organization (“NRSRO”); 50% for entities with ratings for senior unsecured long term
debt in the third and fourth highest ratings categories by an NRSRO; and 100% for entities with ratings for senior unsecured
long term debt below the four highest rating categories.
(2) The net replacement of value for each counter-party (including the effect for legally enforceable netting agreements and the
application of liquid collateral) that is insolvent, or in bankruptcy, or that has senior unsecured long-term debt in default.
The concentration charge is computed as follows: where the net replacement value in the account of any one counter-party exceeds
25% of the OTC derivatives dealer’s tentative net capital, deduct the following amounts:
(1) For counter-parties with ratings for senior unsecured long-term debt or commercial paper in the two highest rating categories
by an NRSRO, 5% of the amount of the net replacement value in excess of 25% of the OTC derivatives dealer’s tentative net
capital;
(2) For counter-parties with ratings for senior unsecured long-term debt in the third and fourth highest rating categories by an
NRSRO, 20% of the amount of the net replacement value in excess of 25% of the OTC derivatives dealer’s tentative net
capital;
(3) For counter-parties with ratings for senior unsecured long-term debt below the four highest rating categories, 50% of the
amount of the net replacement value in excess of 25% of the OTC derivatives dealer’s tentative net capital;
Aggregate Securities and OTC Derivatives Positions
Provide information for each affiliated broker-dealer as of the end of each quarter indicating the name of each affiliated broker-dealer
in a separate column, or complete a separate schedule for each affiliated broker-dealer. In the event of a separate listing of a position,
financial instrument or other wise is required pursuant to any of the provisions of Section 240.17h-1T, the dealer should indicate as
such in the appropriate section of this schedule. Where appropriate, indicate long and short positions separately.
Paper work Reduction Act Disclosure
Part IIB of Form X-15A-5 requires an OTC derivatives dealer to file with the Commission certain financial and operational
information. The form is designed to enable the Commission to ascertain the nature and scope of a dealer’s over-the-counter
derivatives activity and to monitor the dealer’s financial condition and risk exposure.
It is estimated that an OTC derivatives dealer will spend approximately 20 hours completing Part IIB of Form X-17A-5. Any member
of the public may direct, to the Commission, any comments concerning the accuracy of this burden estimate and any suggestions for
reducing this burden.
The information collected pursuant to Part IIB of Form X-17A-5 will be kept confidential.
This collection of information has been reviewed by the Office of Management and Budget (OMB) in accordance with the clearance
requirements of 44 U.S.C. §3507. This collection of information has been assigned Control Number 3235-0498 by OMB.
An agency may or not conduct or sponsor, and a person is not required to respond to, a collection of information unless it displays a
currently valid number. Section 17(a) of the Securities Exchange Act of 1934 authorizes the Commission to collect the information on
this Form from registrants. See 15 U.S.C. § 78q.
| File Type | application/pdf |
| File Title | Form X-17A-5, Part IIB |
| Subject | SEC 2430, Date.modified: 2017-08-22 |
| Author | U.S. Securities and Exchange Commission |
| File Modified | 2019-02-01 |
| File Created | 2014-03-24 |