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| VI. Appendix I (Reporting grids) |
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Framework for Voluntary Oversight
VI. Appendix I (Reporting grids)
GRID I CREDIT CONCENTRATION REPORT ON OTC DERIVATIVES EXPOSURES1 Reporting Intermediary2 (Quarter Ending XX/XX/XX)
Counterparty Identifier3 | Industry Segment4 | Ratings5 | Current Net Exposure6 | Net Replacement Value7 | Gross Replacement Value8 Receivable Payable | Potential Additional Credit Exposure9 | Comments10 |
| Primary ISDA Members: | | | | | | |
| Non-Primary ISDA Members: | | | | | | |
| Corporates | | | | | | |
| Financial Institutions | | | | | | |
| Government/ Supranationals | | | | | | |
| Other | | | | | | |
- For purposes of this report, "OTC derivatives" include interest rate, currency, equity and commodity swaps; OTC options (including caps, floors and collars); and currency forwards (i.e., currency transactions of more than two days' duration, except that firms may elect to report only on currency transactions of 14 days' or more duration as of the report date).
- A Reporting Intermediary is any firm: (i) that is an affiliate of an SEC-registered broker-dealer; (ii) that is unregulated as to capital; (iii) that is primarily engaged in the business of holding itself out to unaffiliated counterparties as willing to structure and enter into either side of OTC derivatives transactions as principal; and (iv) whose activities are likely to have a material impact, directly or indirectly, on its SEC-registered broker-dealer affiliate. Reports may be filed on an individual firm basis or for all Reporting Intermediaries or all firms within a consolidated holding company group.
- Identify counterparty by firm's unique internal mnemonic.
- Report on a counterparty-by-counterparty basis by type of entity in accordance with ISDA guidelines.
- Ratings are internal ratings as assigned by the firm. See (;rid 111 for conversion of these ratings into Moody's or S&P equivalents.
- Report top 20 current net exposures, including the effect of legally enforceable netting agreements and application of collateral.
- Report current net replacement value (for each of the top 20 current net exposures). including the effect of legally enforceable netting agreements and excluding application of collateral.
- Report gross replacement value (receivable and payable) (for each of the top 20 current net exposures), excluding the effect of legally enforceable netting agreements and excluding the application of collateral.
- Report potential additional credit exposure (for each of the top 20 current net exposures), 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.
- Provide any additional relevant information deemed necessary (e.g., details on credit enhancements, type of contract, maturity, offsetting or significant additional exposures in affiliated entities, etc.).
GRID II
PORTFOLIO SUMMARY OF OTC DERIVATIVES EXPOSURES1 Reporting Intermediary2 (Quarter Ending XX/XX/XX)
Credit Rating Category3 | Industry Segment4 | Current Net Exposure5 | Net Replacement Value6 | Gross Replacement Value7 Receivable Payable |
XX | Primary ISDA Members: | | | |
| Non-Primary ISDA Members: | | | |
| Corporates | | | |
| Financial Institutions | | | |
| Government/ Supranationals | | | |
| Other | | | |
XX | Primary ISDA Members: | | | |
| Non-Primary ISDA Members: | | | |
| Corporates | | | |
| Financial Institutions | | | |
| Government/ Supranationals | | | |
| Other | | | |
XX | Primary ISDA Members: | | | |
| Non-Primary ISDA Members: | | | |
| Corporates | | | |
| Financial Institutions | | | |
| Government/ Supranationals | | | |
| Other | | | |
- See Footnote 1 on Grid I.
- See Footnote 2 on Grid I.
- See Footnote 5 on Grid I.
- In accordance with ISDA guidelines.
- Net replacement value, after application of collateral.
- Include effect of legally enforceable netting agreements, before application of collateral.
- Exclude effect of netting agreements and exclude application of collateral.
GRID II (a)
GEOGRAPHIC1 DISTRIBUTION OF OTC DERIVATIVES EXPOSURES2 Reporting Intermediary3 (Quarter Ending XX/XX/XX)
Country | Current Net Exposure4 | Net Replacement Value5 | Gross Replacement Value6 Receivable Payable |
| | | |
- Top 10 country exposures (by residence of main operating company).
- See Footnote 1 on Grid I.
- See Footnote 2 on Grid I.
- See Footnote 5 on Grid II.
- See Footnote 6 on Grid II.
- See Footnote 7 on Grid II.
GRID III
INTERNAL CREDIT RATING CONVERSION Reporting Intermediary1 (Quarter Ending XX/XX/XX)
Internal Credit Rating Category | Equivalent Ratings Moody's________S&P |
XX | |
XX | |
XX | |
XX | |
XX | |
XX | |
- See Footnote 2 on Grid I.
GRID IV NET REVENUES FROM OTC DERIVATIVES1 AND RELATED ACTIVITIES Reporting Intermediary2 (Quarter Ending XX/XX/XX)
Month ending | Product Category3 | Net Revenue4 |
| | |
| | |
| | |
| | |
- See Footnote 1 on Grid I.
- See Footnote 2 on Grid I.
- Product types should be organized by one or more principal market categories, such as interest rate products, currency and foreign exchange products, equity products and commodity products, as a firm may elect consistent with its internal accounting practices.
- 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).
GRID V
CONSOLIDATED1 ACTIVITY REPORT (Quarter Ending XX/XX/XX)
Product Category3 | Aggregate Notional Amount3 |
| |
X | ____________ |
X | ____________ |
X | ____________ |
X | ____________ |
Total - Aggregate Notional Amount | $___________ |
Total - Aggregate Current Net Exposure4 | $___________ | - Report for the consolidated holding company group of which the Reporting Intermediary is a member.
- Product types should be organized by one or more principal market categories, such as interest rate products, currency and foreign exchange products, equity products and commodity products, as a firm may elect consistent with its internal accounting practices.
- Report aggregate notional amount of all outstanding OTC derivatives transactions within specified product category on a group-wide consolidated basis.
- Report aggregate net current exposure for all OTC derivatives transactions, including the effect of legally enforceable netting agreements and application of collateral, on a group-wide consolidated basis.
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