U.S. Derivatives Contracts with Foreigners, Holdings and Transactions
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Data on U.S. resident holdings of, and transactions in, derivatives
contracts with foreign residents are collected quarterly by the TIC Form D. The
data cover both Over-The-Counter (OTC) contracts and Exchange
Traded contracts. The data are
collected from banks, securities brokers and dealers, and nonfinancial
companies in the U.S. with sizable holdings of derivatives contracts.
A derivative contract is a financial contract whose value is derived
from the values of one or more underlying assets, reference rates, or
indices of asset values or reference rates. Common types of derivatives
contracts include forwards, futures, swaps and options. The TIC Form D
collects data on derivatives contracts that meet the FASB Statement
No. 133 definition.
Holdings of derivatives contracts are measured by their fair (market) values,
where the fair value is generally defined as the amount for which a derivative
contract could be exchanged in a current transaction between willing parties, other
than in a forced or liquidation sale. The fair value is different from a derivative’s
“notional” amount, which is the number of currency units, shares, bushels, pounds, or
other units specified in a derivative instrument and used to compute the payouts from
the contract.
Derivatives contracts are separated and aggregated according
to whether, from the perspective of the U.S resident, a contract's
fair value on the last day of the quarter is positive or negative.
The gross positive (or negative) fair value is the sum of
all derivatives positions with positive (or negative) fair values
from the U.S. resident's perspective.
The data on U.S. net settlements with foreign residents include all cash
receipts and payments made during the quarter for the acquisition,
sale, or final closeout of derivatives, including all settlement
payments under the terms of derivatives contracts such as
the periodic settlement under a swap agreement and the daily
settlement of an exchange-traded contract. In calculating
net settlements, U.S. receipts of cash from foreign persons
are positive amounts (+), and U.S. payments of cash to foreign
persons are negative amounts (-). Items excluded from net
settlements are: (a) commissions and fees (they are regarded as
transactions in financial services rather than as transactions
in derivatives); (b) collateral including initial and maintenance
margins, whether or not in the form of cash; and (c) purchases of
underlying commodities, securities, or other non-cash assets (e.g.
the purchase/sale by foreigners of an underlying long-term security
is reported in the TIC data on transactions in long-term securities).
The gross positive and negative fair values and net settlement payments on derivatives
contracts are reported by country based on the residence of
the direct foreign counterparty. Positions of foreign customers
on U.S. exchanges are reported opposite the country in which
the foreign counterparty resides. In the case of U.S. residents’
futures contracts on foreign exchanges, the country of the
exchange is reported as the country of the foreign counterparty.
In the last case where a U.S. resident trades on a foreign
exchange, the country information may not always reflect the
ownership of the ultimate holder of the risk in the contract.
Additional information on the use and interpretation of the data
collected on TIC Form D is available in a recent
Federal Reserve Bulletin article (available at
http://www.federalreserve.gov/pubs/bulletin/default.htm).
The data on derivatives contracts will be reported also in the
Treasury Bulletin, in Section V of CAPITAL MOVEMENTS.
Last Updated:
July 25, 2007
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