FR 2436

Semiannual Report of Derivatives Activity

Description: The FR 2436 report collects data on notional amounts and gross market values of the volumes outstanding of over-the-counter (OTC) derivatives in broad categories--foreign exchange, interest rate, equity- and commodity-linked, and credit default swaps--across a range of underlying currencies, interest rates, and equity markets.

OMB: 7100-0286

Purpose: The data provide comprehensive and internationally consistent information on the size and structure of the OTC derivatives market. The statistics are useful to the Federal Reserve, other central banks, and other parties who monitor patterns of activity in financial transactions. The information complements the ongoing triennial Central Bank Survey of Foreign Exchange and Derivatives Market Activity (FR 3036), which collects data on derivatives turnover and outstandings.

Background: In January 1997, the governors of the central banks of the Group of Ten (G-10) countries approved a proposal to collect data on global derivatives activity from leading dealers. A working group developed the reporting framework, which formed the basis for the FR 2436 report; the report was implemented in June 1998. In December 2004, the Federal Reserve began collecting data on credit default swaps as part of an international effort by the G-10 central banks. In June 2010, the Federal Reserve began collecting additional data on credit default swaps. The large size of the credit derivatives market and the important role that credit derivatives play for financial institutions in managing their credit risk have increased the need for more detailed, global data on credit default swaps activity.

Respondent Panel: The reporting panel consists of five of the large U.S. dealers of OTC derivatives. Reporting is voluntary.

Frequency: Semiannual, as of the close of business each June 30 and December 31.

Public Release: The Federal Reserve aggregates and forwards the data furnished by U.S. respondents to the Bank for International Settlements, which compiles the data from reporting countries and constructs and publishes global derivatives market statistics.

Last Update: September 8, 2016